Performance Summary
Brandywine’s Symphony program gained +0.41% in January and +8.34% since its launch in July 2011.
The Brandywine Symphony Preferred Fund gained +1.57% in January and +43.09% since its launch in July 2011.
Brandywine’s fundamentally-based systematic approach also resulted in low volatility and returns that have been uncorrelated with other managed futures traders. The benefits of this non-correlation are displayed in this report: The Diversification Benefits of Brandywine’s Symphony Program.
Performance
| Investment | Jan 2012 | YTD 2012 | 2011 (1) | Annual Return | Annual Volatility (2) | Symphony Return When Others Lose (3) |
|---|---|---|---|---|---|---|
| Brandywine's Symphony | +0.41% | +0.41% | +7.90% | +14.74% | 6.84% | NA |
| Brandywine Symphony Preferred Fund | +1.47% | +1.47% | +37.89% | +79.96% | 29.95% | N/A |
| BTOP 50 | +0.56% | +0.56% | -0.71% | -0.23% | 4.68% | +0.62% |
| S&P 500 | +4.48% | +4.48% | -3.69% | +1.08% | 28.10% | +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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