Over six years of trading, Brandywine’s Symphony program has outperformed all the major managed futures indexes – including the BTOP 50, SocGen CTA index and SocGen Short-term index – while also posting a negative correlation to those same indexes. All Brandywine programs are profitable YTD in 2017.
So if you're looking for a combination of:
- Longevity (Brandywine has 35+ years of experience)
- Unique investment approach (Brandywine's negative correlation is the result of our non-traditional systematic application of fundamental trading strategies), and
- Portfolio diversification (Brandywine provides you with exposure to well over 100 financial and commodity markets and employs dozens of trading strategies)
there are few, if any, CTAs who can stand alongside Brandywine.
In this month's report, we show how including Brandywine in portfolios that include managed futures, stocks, hedge funds and bonds can improve BOTH the absolute and risk-adjusted returns of those portfolios.
Have Your Cake and Eat It Too
A recent article in The Wall Street Journal titled “As Stocks Climb, Safeguard Any Gains,” suggested that with stocks closing at all-time highs “investors might want to consider ways to protect their portfolios.” The article goes on to suggest three ways to help lock in any gains. One is to purchase puts on your positions. A second is to enter stop orders to sell if your positions drop in value. The third recommendation is to invest in managed futures funds.
Of the three recommendations, only managed futures provides the potential to earn profits both while stocks continue to climb as well as when they may fall. Read below to see statistics that show how Brandywine’s managed futures programs can add to your portfolio returns in both good times and bad.
- The S&P 500 total return index gained 9.3% in the first half of 2017.
- Bank of America’s sell-side indicator hit its highest level since 2011. This means that Wall Street strategists are recommending the highest level of allocations to stocks in six years. According to BofA ”We have found that Wall Street’s consensus allocation has been a reliable contrary indicator."
How Brandywine adds value to an equity portfolio
(and how an investment with Brandywine can serve as a hedge during periods of falling stock prices)
If you are concerned about the remaining longevity of the stock market rally, or simply understand that having a portfolio dependent on just a few Return Drivers (which is the nature of stock investing) is akin to gambling (you can read more about that here), it makes sense to learn how an investment in Brandywine’s uncorrelated investment programs has the potential to both increase returns and decrease the risk in your portfolio. Of course, that is not always the case. In 2014-2015 Brandywine suffered a drawdown that would have lowered your returns from stocks. But overall since the launch of Brandywine’s Symphony program in 2011, the addition of Brandywine to an equity portfolio would have increased both absolute and risk-adjusted returns. This is illustrated in the chart to the right as well as the chart on the following page titled “Improvement in Sharp Ratio with the Inclusion of Brandywine.” Footnote 2 on the final page of this report provides the assumptions used in preparing the charts.
So the fact is that investing with Brandywine would have improved your performance even during the strong stock market rally of the past six years. But more importantly, Brandywine has the potential to mitigate stock market losses by earning profits when stocks fall. For example, during the third quarter of 2011, while the S&P 500 fell more than 13%, Brandywine’s Symphony program earned 6%.
As always, we encourage you to contact us by calling or emailing us at our address listed in this report’s header.
Additional Reasons to Invest Now With Brandywine
(Performance of the Brandywine CPU)(2)
(Non) Correlation (highlighted in table at right) of Brandywine’s Investment Programs to Other Investment Indexes
It is this non-correlation - combined with Brandywine’s repeatable investment process and broad strategy and market diversification - that makes Brandywine such a positive addition to most investment portfolios.
Descriptions of the Brandywine Investment Programs(1)
Brandywine trades pursuant to a fully-systematic model that incorporates a wide range of both fundamental and technical trading strategies. Brandywine’s Symphony Program began trading in July 2011 and the performance of the other programs is extracted from the actual performance of trades executed within the Brandywine Symphony Program. “Brandywine CPU” is the composite performance that could have been achieved by allocating across all four Brandywine programs.
Brandywine’s most broadly diversified investment program:
- Trades in all liquid global financial and commodity futures markets (well over 100 markets)
- Trades pursuant to all Brandywine’s trading strategies
Similar to Symphony
- but excludes trading in Brandywine’s fundamental value strategies
- Allocates across the four Brandywine Programs
Trades financial markets only:
- Trades in all liquid global currency, interest rate and stock index futures markets (over 60 markets)
- Trades pursuant to all Brandywine’s trading strategies relevant to the financial markets
Brandywine Alpha Hedge
Comparable to diversified technical trend following CTAs:
- Trades in more than 100 global financial and commodity futures markets (well over 100 markets)
- Trades only pursuant to Brandywine’s alpha hedge (momentum-based) trading strategies
See the full PDF below.