Performance Summary
Brandywine’s Symphony program posted a +0.65% gain in November. After trading quietly for most of the month a late-month surge in the U.S. and Asian equity markets produced profits for Brandywine’s fundamentally-based long positions in those indexes. Additional profits were generated by directional arbitrage trades in the currency markets.
This was opposite the behavior of the major CTA indexes, which rallied early in the month and gave up profits during the final week. (During the final week the BTOP 50 CTA index fell 0.8% while Brandywine’s Symphony gained more than 0.75%).
Performance
| Investment | November | 2011 (1) | Annualized Volatility (2) | Brandywine’s Symphony Performance When Index Suffers a Drawdown (3) | |
|---|---|---|---|---|---|
| Brandywine's Symphony | +0.65% | +6.55% | 7.70% | NA | |
| BTOP 50 | +0.21% | -0.85% | 5.00% | +0.62% | |
| S&P 500 | +0.16% | -4.84% | 32.12% | +1.26% | |
| (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 29 drawdowns averaging -5.56%. Brandywine gained +1.26% on average during those periods. |
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This uncorrelated performance continues the non-correlated results produced in the 20+ years of back-tested results leading up to the start of actual trading. The benefits of this non-correlation are displayed in this report: "The Diversification Benefits of Brandywine’s Symphony Program”.