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Alternative Market Briefing

Brandywine’s systematic program completes third straight profitable year thanks to diversification philosophy

Friday, January 10, 2014

Mike Dever
Benedicte Gravrand, Opalesque Geneva for New Managers:

Brandywine Asset Management, a boutique fund manager located near Philadelphia, PA, has just completed its third profitable year.

Its Symphony Fund finished 2013 up 3.72% and its more aggressively-traded Symphony Preferred Fund was up 13.45%. Both funds made a small loss in December (-0.16% and -0.66% respectively).

Comparatively, the S&P 500 TR is up 32.2% for the year; the HFRI RV Multi-Strategy Index is up 8.16% (est.) and the Barclay CTA Index is down 1.44% (est.) for 2013.

The Symphony Program is a globally-diversified investment program that incorporates multiple fundamentally-based trading strategies in a systematic portfolio. The Symphony Preferred Fund trades more aggressively at three to five times the standard risk of the other fund. Both were incepted in July 2011.

Over the past two and a half years (July 2011 through December 2013), the S&P 500 Total Return Index (with reinvested dividends) returned +47.91% and the Brandywine Symphony Preferred Fund +56.54% (the Symphony program produced a 12%+ cumulative return). According to Brandywine’s monthly report, the Preferred Fund’s outperformance was achieved without taking on the high level of event risk that is accepted by people who buy stocks.

Event risk is present when an investment is powered by one or a few Return Drivers.

Mike Dever, who was a trader for 30 years befo......................

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