Brandywine Asset Management : Brandywine's Symphony Fund

archived programs
Year-to-Date
N / A
Jun Performance
13.80%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
11.49%
Sharpe (RFR=1%)
0.21
CAROR
2.79%
Assets
$ 23.0M
Worst DD
-25.58
S&P Correlation
0.19

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Jun Qtr YTD 1yr 3yr 5yr 10yr Since
7/2011
Brandywine's Symphony Fund 13.80 - - - 6.00 25.34 - 21.22
S&P 500 0.48 - - - 30.43 67.53 - 177.36
+/- S&P 500 13.32 - - - -24.43 -42.19 - -156.14

Strategy Description

Summary

Brandywine’s Symphony program incorporates multiple fundamentally-based trading strategies in a systematic, diversified portfolio that trades across more than 100 global financial and commodity markets. The program utilizes Brandywine's proprietary Predictive Diversification portfolio... Read More

Account & Fees

Type Fund
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 5.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 1000 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 25.00%
1-3 Months 50.00%
1-30 Days 25.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Arbitrage
15.00%
Counter-trend
14.00%
Fundamental
24.00%
Seasonal/cyclical
12.00%
Spreading/hedging
5.00%
Trend-following
20.00%
Other
10.00%
Strategy Pie Chart

Composition

Interest Rates
20.00%
Currency Futures
18.00%
Stock Indices
18.00%
Industrial Metals
12.00%
Energy
10.00%
Softs
10.00%
Grains
8.00%
Precious Metals
4.00%
Composition Pie Chart

Summary

Brandywine’s Symphony program incorporates multiple fundamentally-based trading strategies in a systematic, diversified portfolio that trades across more than 100 global financial and commodity markets. The program utilizes Brandywine's proprietary Predictive Diversification portfolio allocation model and Return Driver based investment approach. Because of its unique trading methodology, Brandywine’s Symphony program produces returns that are uncorrelated to the major CTA indexes and trend following CTAs.

Investment Strategy

Brandywine's investment philosophy is based on the belief that the most consistent and persistent investment returns across a variety of market environments are best achieved by combining multiple uncorrelated trading strategies each designed to profit from a logical, distinct return driver into a truly diversified investment portfolio. As a result of this belief, Brandywine's founder and CEO, Michael Dever, has developed and employed hundreds of unique futures trading strategies over the past thirty years. These strategies incorporate a diverse range of variables, including: fundamental, seasonal, sentiment, arbitrage and technical factors. As a result, Brandywine tends to be uncorrelated to trend following traders during choppy market periods (when its performance is dominated by its fundamental, arbitrage and other non-trend strategies), but correlated to trend following traders during strongly trending periods. This favorable performance profile means that adding Brandywine to a portfolio of trend following traders can increase the portfolio's risk-adjusted rate of return, sometimes substantially.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
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Sharpe Ratio: (RF=1%)
Skewness:
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Compound RoR:
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Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-25.58 16 - 8/1/2014 12/1/2015
-7.55 4 7 3/1/2013 7/1/2013
-5.51 3 8 2/1/2012 5/1/2012
-1.71 1 1 6/1/2014 7/1/2014
-1.10 1 1 1/1/2013 2/1/2013
-0.45 1 1 9/1/2011 10/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
14.23 4 1/1/2016 4/1/2016
13.95 4 10/1/2017 1/1/2018
13.80 1 6/1/2018 6/1/2018
10.16 6 1/1/2014 6/1/2014
9.92 3 12/1/2016 2/1/2017
7.14 4 8/1/2013 11/1/2013
6.34 3 7/1/2011 9/1/2011
4.82 3 11/1/2012 1/1/2013
4.67 2 6/1/2012 7/1/2012
4.65 1 8/1/2014 8/1/2014
4.57 4 11/1/2011 2/1/2012
3.55 1 2/1/2015 2/1/2015
3.28 2 7/1/2017 8/1/2017
3.21 2 4/1/2015 5/1/2015
2.55 1 3/1/2013 3/1/2013
1.88 1 6/1/2016 6/1/2016
0.33 1 8/1/2015 8/1/2015
0.31 1 5/1/2017 5/1/2017
0.04 1 9/1/2016 9/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.35 4 2/1/2018 5/1/2018
-13.94 5 9/1/2014 1/1/2015
-11.41 4 9/1/2015 12/1/2015
-8.42 2 6/1/2015 7/1/2015
-7.55 4 4/1/2013 7/1/2013
-5.51 3 3/1/2012 5/1/2012
-5.48 2 7/1/2016 8/1/2016
-2.68 2 3/1/2017 4/1/2017
-2.52 3 8/1/2012 10/1/2012
-1.86 1 9/1/2017 9/1/2017
-1.71 1 7/1/2014 7/1/2014
-1.24 1 6/1/2017 6/1/2017
-1.22 1 5/1/2016 5/1/2016
-1.19 2 10/1/2016 11/1/2016
-1.10 1 2/1/2013 2/1/2013
-0.60 1 3/1/2015 3/1/2015
-0.45 1 10/1/2011 10/1/2011
-0.16 1 12/1/2013 12/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods84.0082.0079.0073.0067.0061.0049.0037.0025.00
Percent Profitable53.5757.3262.0363.0170.1559.0242.8635.1464.00
Average Period Return0.280.561.041.552.001.50-0.96-1.862.34
Average Gain2.394.365.416.637.618.797.814.364.80
Average Loss-2.20-4.54-6.09-7.12-11.19-8.99-7.54-5.23-2.05
Best Period13.8013.0314.9521.0116.1130.0823.5914.1112.01
Worst Period-8.04-11.36-17.09-15.99-24.65-19.29-14.52-13.77-4.63
Standard Deviation3.325.506.978.4010.2711.089.546.214.59
Gain Standard Deviation2.663.303.975.264.667.117.234.023.76
Loss Standard Deviation2.143.274.454.887.316.244.284.281.66
Sharpe Ratio (1%)0.060.060.080.070.05-0.05-0.42-0.95-0.60
Average Gain / Average Loss1.080.960.890.930.680.981.040.832.35
Profit / Loss Ratio1.281.291.451.591.601.410.780.454.17
Downside Deviation (10%)2.264.335.968.1211.2613.4919.1324.2025.69
Downside Deviation (5%)2.093.774.885.747.958.068.638.284.82
Downside Deviation (0%)2.053.644.625.227.246.966.525.401.55
Sortino Ratio (10%)-0.06-0.15-0.24-0.43-0.50-0.65-0.87-0.97-0.98
Sortino Ratio (5%)0.100.080.110.100.06-0.06-0.46-0.72-0.57
Sortino Ratio (0%)0.140.150.230.300.280.22-0.15-0.351.51

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.