Brandywine Asset Management : Brandywine Symphony Preferred Fund, LP

archived programs
Year-to-Date
N / A
Jun Performance
69.10%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
33.00%
Annualized Vol
50.63%
Sharpe (RFR=1%)
0.28
CAROR
2.88%
Assets
$ 5.5M
Worst DD
-70.03
S&P Correlation
0.17

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 Symphony Preferred Fund, LP 69.10 18.74 - 25.96 -22.20 -11.32 - 22.02
S&P 500 0.48 2.93 - 11.21 30.43 67.53 - 108.20
+/- S&P 500 68.62 15.81 - 14.75 -52.63 -78.84 - -86.18

Strategy Description

Summary

Brandywine Symphony Preferred utilizes Brandywine's proprietary Predictive Diversification portfolio allocation model and Return Driver based investment approach to trade a systematic, diversified portfolio across more than 100 global financial and commodity markets.

BSPF... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
3.00
Management Fee
0%
Performance Fee
33.00%
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
3000 RT/YR/$M
Avg. Margin-to-Equity
30%
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 Symphony Preferred utilizes Brandywine's proprietary Predictive Diversification portfolio allocation model and Return Driver based investment approach to trade a systematic, diversified portfolio across more than 100 global financial and commodity markets.

BSPF is aggressively-traded at 3x the standard leverage of Brandywine’s Symphony program. Because of its unique trading methodology, BSPF produces returns that are uncorrelated to the major CTA indexes and trend following CTAs.

   

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
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

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
-70.03 16 - 8/1/2014 12/1/2015
-26.34 4 7 3/1/2013 7/1/2013
-20.28 3 8 2/1/2012 5/1/2012
-5.39 2 1 5/1/2014 7/1/2014
-4.02 1 1 1/1/2013 2/1/2013
-2.01 1 1 9/1/2011 10/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
83.07 4 10/1/2017 1/1/2018
69.10 1 6/1/2018 6/1/2018
58.17 2 3/1/2016 4/1/2016
54.40 3 12/1/2016 2/1/2017
34.86 5 1/1/2014 5/1/2014
30.94 3 7/1/2011 9/1/2011
30.46 4 8/1/2013 11/1/2013
19.99 2 6/1/2012 7/1/2012
19.47 3 11/1/2012 1/1/2013
18.06 4 11/1/2011 2/1/2012
16.54 2 7/1/2017 8/1/2017
13.85 1 8/1/2014 8/1/2014
10.76 1 2/1/2015 2/1/2015
10.16 1 4/1/2015 4/1/2015
9.26 1 3/1/2013 3/1/2013
7.70 1 6/1/2016 6/1/2016
2.59 1 1/1/2016 1/1/2016
1.54 1 5/1/2017 5/1/2017
0.40 1 8/1/2015 8/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-61.69 4 2/1/2018 5/1/2018
-45.67 4 9/1/2015 12/1/2015
-38.11 5 9/1/2014 1/1/2015
-31.62 5 7/1/2016 11/1/2016
-26.34 4 4/1/2013 7/1/2013
-25.77 3 5/1/2015 7/1/2015
-20.28 3 3/1/2012 5/1/2012
-13.91 2 3/1/2017 4/1/2017
-9.67 3 8/1/2012 10/1/2012
-8.85 1 9/1/2017 9/1/2017
-6.25 1 6/1/2017 6/1/2017
-5.93 1 5/1/2016 5/1/2016
-5.39 2 6/1/2014 7/1/2014
-4.02 1 2/1/2013 2/1/2013
-2.01 1 10/1/2011 10/1/2011
-1.98 1 3/1/2015 3/1/2015
-0.67 1 12/1/2013 12/1/2013
-0.04 1 2/1/2016 2/1/2016
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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 Profitable48.8153.6651.9052.0561.1952.4630.6110.8116.00
Average Period Return1.252.323.553.993.870.10-14.74-25.70-20.74
Average Gain11.0419.4124.8729.9328.2033.5635.3626.099.94
Average Loss-8.07-17.47-19.46-24.18-34.50-36.83-36.85-31.98-26.59
Best Period69.1060.7386.4287.1777.51169.50110.9856.8420.47
Worst Period-42.17-45.71-56.56-55.16-69.27-63.70-56.91-65.81-50.62
Standard Deviation14.6223.3328.2434.0936.5045.8440.6624.1717.68
Gain Standard Deviation12.6715.5719.0723.8018.7736.5935.6921.328.20
Loss Standard Deviation9.3112.6715.4916.5921.2418.1414.8315.4611.87
Sharpe Ratio (1%)0.080.090.110.090.06-0.04-0.44-1.23-1.46
Average Gain / Average Loss1.371.111.281.240.820.910.960.820.37
Profit / Loss Ratio1.301.291.381.341.291.010.420.100.07
Downside Deviation (10%)8.9515.3118.5423.2029.2934.8045.6552.6151.38
Downside Deviation (5%)8.8014.7617.4420.7925.9129.4735.3836.9530.93
Downside Deviation (0%)8.7614.6217.1620.2125.1128.2133.0233.4526.58
Sortino Ratio (10%)0.090.070.06-0.04-0.13-0.29-0.67-0.90-0.94
Sortino Ratio (5%)0.130.140.170.140.09-0.06-0.50-0.81-0.84
Sortino Ratio (0%)0.140.160.210.200.150.00-0.45-0.77-0.78

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 1 10.16 4/2015
Diversified Trader Index Month 1 10.16 4/2015
IASG CTA Index Month 2 10.16 4/2015
Diversified Trader Index Month 3 10.76 2/2015
Systematic Trader Index Month 4 10.76 2/2015
IASG CTA Index Month 4 10.76 2/2015
IASG CTA Index Month 4 13.85 8/2014
Systematic Trader Index Month 3 13.85 8/2014
Diversified Trader Index Month 2 13.85 8/2014
Diversified Trader Index Month 8 5.13 3/2014
Systematic Trader Index Month 9 5.13 3/2014
Diversified Trader Index Month 1 20.09 2/2014
IASG CTA Index Month 1 20.09 2/2014
Systematic Trader Index Month 1 20.09 2/2014
IASG CTA Index Month 6 11.27 10/2013
Diversified Trader Index Month 6 11.27 10/2013
Systematic Trader Index Month 4 11.27 10/2013
Systematic Trader Index Month 1 15.39 9/2013
IASG CTA Index Month 2 15.39 9/2013
Diversified Trader Index Month 1 15.39 9/2013
IASG CTA Index Month 3 9.26 3/2013
Diversified Trader Index Month 4 9.26 3/2013
Systematic Trader Index Month 4 9.26 3/2013
IASG CTA Index Month 3 13.32 1/2013
Systematic Trader Index Month 3 13.32 1/2013
Diversified Trader Index Month 3 13.32 1/2013
Systematic Trader Index Month 5 16.13 7/2012
Diversified Trader Index Month 5 16.13 7/2012
Diversified Trader Index Month 10 3.32 6/2012
Systematic Trader Index Month 10 8.27 2/2012
Diversified Trader Index Month 10 8.27 2/2012
Diversified Trader Index Month 10 4.86 12/2011
IASG CTA Index Sharpe 6 3.47 2010 - 2011
Systematic Trader Index Month 7 12.33 9/2011
Diversified Trader Index Month 9 12.33 9/2011

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