Performance Summary
Brandywine’s Symphony program continued its positive performance with a +1.27% gain in December, bringing its year-to-date performance to +7.90% (since the start of trading in July 2011). This performance compares quite favorably to both the managed futures industry (the BTOP 50 index fell -0.71% over the same 6-month period) and the S&P 500 (which dropped -5.07%).
Volatility remained low throughout the month, coming in at less than 1/5 that of the U.S. stock market and Brandywine’s performance remained uncorrelated to both managed futures and equity indexes. The benefits of this non-correlation are displayed in this report: The Diversification Benefits of Brandywine’s Symphony Program.
Performance
| Investment | December | 2011 (1) | Annualized Volatility (2) | Brandywine’s Symphony Performance When Index Suffers a Drawdown (3) | |
|---|---|---|---|---|---|
| Brandywine's Symphony | +1.27% | +7.90% | 7.09% | NA | |
| BTOP 50 | -0.08% | -0.71% | 4.65% | +0.62% | |
| S&P 500 | +1.02% | -5.07% | 30.08% | +1.10% | |
| (1) Beginning July 2011 (start of actual trading for Brandywine's Symphony) (2) Annualized standard deviation of daily returns (3) Based on 20 years of testing, the BTOP 50 suffered 34 drawdowns averaging -4.35% each. During those periods, the tested performance of Brandywine’s Symphony program gained an average of +0.62%. S&P 500 had 28 drawdowns averaging -5.56%. Brandywine gained +1.10% on average during those periods. |
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