Performance Summary
Brandywine’s Symphony program posted a slight -0.45% loss in October, following three months of solid gains. While Brandywine’s non-trend strategies performed quite well throughout the month, their gains were offset by trend-following losses. The slight loss compares quite favorably with the negative performance of managed futures indexes during the month, which generally fell 2% to 4%.
Performance
| Investment | October | 2011 (1) | Annualized Volatility (2) | Brandywine’s Performance When Index Has Losing Quarter (3) | |
|---|---|---|---|---|---|
| Brandywine's Symphony | -0.45% | +5.87% | 8.19% | NA | |
| BTOP 50 | -2.33% | -0.67% | 5.37% | +1.46% | |
| S&P 500 | +10.93% | -4.45% | 32.93% | +2.51% | |
| (1) Beginning July 2011 (start of actual trading for Brandywine's Symphony) (2) Annualized standard deviation of daily returns (3) Includes back-test period starting 1/1990. Average losing quarter for BTOP 50: -2.2%. Average losing quarter for S&P 500: -7.1%. |
|||||
In a repeat performance from September, one of the month’s best performing strategies was a sentiment-based strategy that aggressively purchased stock index contracts in the U.S., Europe and Asia on the morning of Monday, October 3rd and held those long positions into the following week. These trades contributed more than 1% positive performance to Brandywine’s Symphony program during the month. This trading strategy is featured this month in the Featured Strategy section.
A second strategy that helped offset trend following losses was a directional arbitrage strategy Brandywine employs in the currency markets. This strategy uses the term structure of currency markets to enter into positions that are also completely uncorrelated to those of trend followers (the correlation of the performance of Brandywine’s directional arbitrage strategy to trend following strategies is 0.01). As an example, the strategy had shorted the Japanese Yen prior to the collapse in prices that occurred on October 31. This led to strong currency profits on the 31st, as well as an overall contribution to profits during October of more than 1%.