Market Diversification
Brandywine Asset Management's Diversified Futures program trades in more than one-hundred (100) individual markets and may hold dozens of additional positions in multiple contract months as signaled by its trading strategies. Brandywine's proprietary portfolio allocation model nets positions indicated by each trading strategy and dynamically readjusts the allocations made to each position based on changes in each market's volatility and correlation to the other markets in the portfolio. This ensures that, over time, an "average" move in any single market will not have a greater influence on the volatility of the portfolio than an "average" move in any of the other markets traded. The chart below illustrates the allocation of the Brandywine Diversified Futures Program portfolio across market sectors:
Allocation Across Market Sectors
Strategy Diversification
Strategy Types: In addition to market diversification across six market sectors, Brandywine incorporates more than twenty (20) independent trading strategies into its trading model. Brandywine has aggregated these trading strategies into six (6) "Strategy Types", as illustrated in the chart below. As is evident from the chart, Brandywine's uncorrelated returns to trend following futures traders during choppy market periods are the result of having a preponderance of strategies that are based on variables that are dissimilar to those underlying trend-following strategies:
Target Allocation Across Trading Strategy-types
This strategy and market diversification results in returns that are uncorrelated to both traditional investments such as stocks, as well as other managed futures traders. The following two reports show how adding Brandywine's Symphony to a portfolio of stocks or other CTAs both increases returns - sometimes dramatically - and decreases risk: