Welcome to Brandywine
Rob Proctor and I are excited to announce the relaunch of trading by Brandywine Asset Management. Brandywine has a long history as a successful CTA. After a period of intensive discretionary trading during the 1980s, our Brandywine Benchmark managed futures program consistently ranked as one of the leading CTA programs throughout the 1990’s. Performance from 1991 through 1998 averaged 21% annualized returns with a 20% maximum drawdown. In preparation for the launch of our new Brandywine Symphony Fund in July, we updated the walk-forward performance of the trading strategies used in the Brandywine Benchmark program. Encouragingly, the walk-forward test closely matched our actual performance from more than a decade ago, confirming the validity of our research methods.
Brandywine’s new Symphony program is built on the legacy of the Brandywine Benchmark program. It trades across more than 100 markets and incorporates more than two dozen trading strategies, including many that were previously traded by Brandywine as well as additional non-correlated strategies developed more recently. Click here to view the allocation among strategy-types and market sectors.
We received a $10 million seed investment and began trading on July 1st. It was a great time to start as it gave us the opportunity to display our non-correlation with not just stocks, but with other managed futures traders as well. Following a 0.9% gain in July, Brandywine’s Symphony program posted an additional 2.4% profit in August, while both stock and managed futures traders, on average, lost money. Brandywine’s volatility remained subdued, averaging less than 20% of that of the U.S. stock market over the same period.
Regards,
Mike Dever & Rob Proctor