Brandywine’s time-tested belief is that the most consistent and predictable returns are earned by systematically employing broad strategy and market diversification across a balanced portfolio of fundamentally-based trading strategies and global markets. It is Brandywine’s belief that as the number of valid and diverse trading strategies in a portfolio increases, and if balance is maintained, the predictability of future returns will also increase.
Every trading strategy employed by Brandywine is based on a sound, logical return driver. We believe this diversity of return drivers is unique to Brandywine and is a significant differentiator. We are not aware of any other investment firm that incorporates as many globally-diversified fundamental return drivers in a systematic program. This market and strategy diversification results in returns that are uncorrelated to stocks, bonds, real estate, gold, hedge funds, and managed futures programs.
Brandywine Asset Management’s investment programs trade in more than 100 individual global financial and commodity markets. Brandywine’s proprietary “Predictive Diversification” portfolio allocation model nets positions indicated by each trading strategy and dynamically readjusts the allocations made to each position based on changes in each market’s volatility and correlation to the other markets in the portfolio. This is intended to ensure that, over time, the portfolio will remain in balance and an “average” move in any single market will not contribute a greater influence on the risk of the portfolio than an average move in any of the other markets traded. As an example, the chart here illustrates the allocation of Brandywine’s Symphony Program portfolio across market sectors.