Past Performance
Brandywine has 30 years of experiencing in creating and trading truly diversified portfolios. It’s not a process that can be replicated overnight. Over that period Brandywine has developed and traded dozens of separate trading strategies applied to more than 100 global markets. Some of these strategies take long-term positions based on underlying fundamentals or market trends, while others look at market sentiment, seasonal tendencies, and arbitrage opportunities to capture mispricings in global financial and commodity markets. In all, Brandywine employs hundreds of strategy-market combinations. The result of this true portfolio diversification is a “Free Lunch” (which our CEO describes in the final chapter of his book, Jackass Investing), a portfolio that produces greater returns with less risk than a conventional portfolio.
| Brandywine's Symphony Actual Trading Begins July 2011 | |
| Years | 7/12 |
| Average Annual Return | 14.74% |
| Annualized Volatility | 7.09% | Maximum Drawdown | -0.45% |
| % Profitable Months | 86% |
| % Profitable Years | 100% |
| Brandywine's Symphony Program | ||
| Month | 2012 | 2011 |
|---|---|---|
| Jan | 0.41% | |
| Feb | ||
| Mar | ||
| Apr | ||
| May | ||
| Jun | ||
| Jul | 0.92% | |
| Aug | 2.47% | |
| Sep | 2.83% | |
| Oct | -0.45% | |
| Nov | 0.65% | |
| Dec | 1.27% | |
| 0.41% | 7.90% | |
| Targets 12% annual returns and 8% annualized standard deviation | ||
Brandywine also traded the broadly diversified Brandywine Benchmark program during the 1990s, which produced the following performance.
| Brandywine Benchmark Actual Trading 1991 - 1998 | |
| Years | 8 |
| Average Annual Return | 21.25% |
| Annualized Volatility | 23.53% |
| Maximum Drawdown | -20.81% | % Profitable Months | 59% |
| % Profitable Rolling 12-month | 97% |
| % Profitable Years | 100% |
| Yearly Returns | |||||
| Year | Return | ||||
|---|---|---|---|---|---|
| 1990 | |||||
| 1991 | 45.13% | ||||
| 1992 | 18.56% | ||||
| 1993 | 35.48% | ||||
| 1994 | 16.00% | ||||
| 1995 | 12.15% | ||||
| 1996 | 30.79% | ||||
| 1997 | 6.73% | ||||
| 1998 | 10.32% | ||||
| 1999 | |||||
| 1990's | 21.25% | ||||
Disclosure Statement
Because the following performance is the tested performance for Brandywine’s Symphony program prior to the start of actual trading in July 2011, the following disclaimer is required.
HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.
| Brandywine's Symphony Tested Yearly Returns, 1999 - June 2011 | |
| Years | 12 1/2 |
| Average Annual Return | 12.00% |
| Annualized Volatility | 8.29% | Maximum Drawdown | -7.28% |
| % Profitable Months | 65% |
| % Profitable Rolling 12-month | 94% |
| % Profitable Years | 92% |
| Yearly Returns | |||||
| Year | Return | Year | Return | Year | Return |
|---|---|---|---|---|---|
| 1990 | 2000 | 3.26% | 2010 | 12.71% | |
| 1991 | 2001 | 6.85% | 2011 | 5.80%i. | |
| 1992 | 2002 | 28.86% | |||
| 1993 | 2003 | 10.30% | |||
| 1994 | 2004 | 17.51% | |||
| 1995 | 2005 | 9.64% | |||
| 1996 | 2006 | -0.14% | |||
| 1997 | 2007 | 8.60% | |||
| 1998 | 2008 | 28.18% | |||
| 1999 | 18.44% | 2009 | 3.98% | ||
| 1990's | 18.44% | 2000's | 11.31% | 2010's | 12.44% |
| Hypothetical performance of Brandywine's Symphony Program from 1999 to June 2011 (from end of Benchmark to the beginning of Symphony).i.2011 from January - June (partial year). | |||||