Performance Summary
Brandywine’s Symphony program posted a +2.8% gain in September. This capped off a solid third quarter performance totaling +6.3%. Returns were steady throughout the period, in stark contrast to the instability pervading the global financial and commodity markets. Brandywine’s volatility remained subdued and exactly on target at an 8% annualized rate.
Performance
| Investment | September | 3rd Quarter | 2011 (1) | Volatility (2) | Brandywine’s Performance When Index Has Losing Quarter (3) |
|---|---|---|---|---|---|
| Brandywine's Symphony | 2.86% | 6.37% | 6.37% | 0.50% | NA |
| BTOP 50 | 0.05% | 1.51% | 1.55% | 0.31% | +1.42% |
| S&P 500 | -7.1% | -14.3% | -14.3% | 2.07% | +2.49% |
| (1) Beginning July 2011 (start of actual trading for Brandywine's Symphony) (2) 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%. |
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Brandywine’s consistent performance throughout the month and quarter was the result of the complimentary interaction among Brandywine’s multiple fundamentally-based trading strategies. (Brandywine’s fully systematic trading model incorporates more than 20 individual trading strategies, the majority of which are fundamentally-based.) For example, during the first seven days of the month, while global stock markets collapsed more than 5% and trend followers produced profits, Brandywine’s Symphony program also rode those trends to a 1.8% gain. Over the final three weeks of the month though, a period when global stock markets rallied strongly, then collapsed to new lows, trend-following futures traders gave back their gains. In contrast, Brandywine added to its profits. One of the reasons for Brandywine’s uncorrelated performance was its use of sentiment-based strategies that entered into long stock index positions on the morning of September 12, immediately prior to a 5-day, 6% rally. See this month’s “Trade Example” for a description of this trade and its underlying return driver.