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Brandywine Asset Mangement
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Program Description: Brandywine's Symphony Program - Investment Philosophy
Brandywine Asset Management’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
Asset Management’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 –
the majority of them producing returns that are
uncorrelated to trend following futures traders.
Brandywine Asset Management also employs short and
longer term trend following strategies to ensure
that Brandywine Asset Management’s Symphony
Program is positioned in the direction of major
trends when they occur. As a result, Brandywine
Asset Management 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 Asset Management to a portfolio
of trend following traders can increase the portfolio’s
risk-adjusted rate of return, sometimes substantially.
Past results are not necessarily indicative of future
results. The risk of loss in trading futures, options
and off-exchange forex can be substantial.
Program Description: Market Diversification
Brandywine Asset Management’s Symphony Program trades in more than 100 individual markets, and may hold dozens of additional positions in multiple contract months as signaled by many of its trading strategies. Brandywine Asset Management’s proprietary portfolio allocation model is designed to dynamically readjust the allocations made to each position based on changes in each market’s volatility and correlation to the other markets in the portfolio and by netting offsetting positions indicated by the strategies in the Trading Model. This ensures that, over time, an “average” move in any single market will not have a greater influence on the volatility of the portfolio than an “average” move in any of the other markets traded. The chart below illustrates the allocation of Brandywine Asset Management’s Symphony Program’s portfolio across market sectors:
Program Description: Strategy Diversification
Strategy Types: In addition to market diversification
across all available market sectors, Brandywine
Asset Management incorporates dozens of independent
trading strategies into its trading model. For presentation
purposes, Brandywine Asset Management has aggregated
these trading strategies into six “Strategy
Types”, as illustrated in the chart below.
As is evident from the chart, Brandywine’s
uncorrelated returns to trend following futures
traders during choppy market periods are the result
of having a preponderance of strategies that are
based on variables that are dissimilar to those
underlying long-term trend-followers.
A key element in the success of Brandywine Asset Management’s multi-strategy approach is its proprietary portfolio allocation model, which balances trades across multiple independent trading strategies and markets. This model was originally developed in the late-1980’s by Brandywine Asset Management’s founder in combination with outside researchers from three universities.
The model takes into account the fact that some
strategies, by design, are specific to certain markets
(such as fundamental, which also includes seasonal
and event strategies), while others can be more
broadly applied (such as short and long-term trend
and sentiment strategies). Because of this the model
is designed to dynamically adjust the weightings
among each of the trading strategies and markets
in the portfolio to account for the calculated risk
and profit opportunities being signaled by the interaction
of the various strategies operating in each market.
Program Description: Research Legacy
Brandywine Asset Management’s Symphony Program would not be possible if it were not for the fact that many of the strategies developed by Brandywine Asset Management and its principals over the past three decades continue to be valid today. This enabled the Symphony Program to be built on the back of this cumulative expertise. That said, in keeping with the philosophy underlying Brandywine Asset Management’s multi-strategy approach, Brandywine Asset Management is firmly dedicated to conducting ongoing research designed to further diversify its trading model.
Account Size and Portfolio Characteristics: Brandywine
Asset Management’s Symphony Program requires
a minimum account size of $5 million. Clients may
employ notional funding in the funding of their
accounts equal to no less than 30% of their nominal
account value. The average margin-to-equity ratio
for a portfolio is approximately 10%. The program
trades approximately 1,000 round-turn contracts
per year per million dollars under management. Brandywine
Asset Management’s Symphony Program is targeting
12% annualized returns with 9% maximum drawdowns.
Management Information: Michael P. Dever
Michael P. Dever is the founder, principal and CEO of Brandywine. Michael Dever began trading futures in 1979 and founded Brandywine Asset Management in 1982. The Brandywine Asset Management managed futures programs were conceived of during the 1980’s, a decade of extensive discretionary trading by Michael Dever. During that period he developed and cataloged hundreds of trading ideas and research techniques derived from his immersion in the markets. In 1987 Michael Dever began a massive research project in order to combine all of his concepts together into a systematic trading model. The project entailed combining Michael Dever's trading experience with specialized scientific, statistical and mathematical research skills.
The initial phase of the project took four years and combined the talents of Brandywine Asset Management's own in-house researchers and programmers with the specialized skills of more than one dozen academic researchers from three different Universities. The resultant Brandywine Benchmark Program, launched in 1991, traded in more than 100 futures markets using more than three dozen strategies. The result was performance uncorrelated to traditional investments and other CTAs, and most importantly, performance that in actual trading tracked the Program’s prior simulated performance. Past results are not necessarily indicative of future results. The risk of loss in trading futures, options and off-exchange forex can be substantial.
The Brandywine Benchmark Trading Program was a top-performer throughout the 1990’s, managing hundreds of millions of dollars in client capital. The Benchmark Program was one of the most broadly diversified managed futures programs in existence.
In 2011 Michael Dever published the best-selling book, Jackass Investing: Don't do it. Profit from it., in which he exposes 20 common investment myths and provides readers with specific actions they can take to exploit many of those myths. In the book he introduces the concept of "return drivers," which are the basis for the trading strategies incorporated in Brandywine Asset Management's Symphony program.
The descriptions above are primarily from the manager’s disclosure document.
THE RISK OF LOSS IN TRADING FUTURES AND
OPTIONS CAN BE SUBSTANTIAL. PAST RESULTS
ARE NOT NECESSARILY INDICATIVE OF FUTURE
RESULTS. THIS MATERIAL HAS BEEN PREPARED
BY A SALES OR TRADING EMPLOYEE OR AGENT
OF ALTAVRA AND IS, OR IS IN THE NATURE
OF A SOLICITATION. THIS MATERIAL IS NOT
A RESEARCH REPORT PREPARED BY AN ALTAVRA
RESEARCH DEPARTMENT. YOU AGREE THAT YOU
ARE AN EXPERIENCED USER OF THE FINANCIAL
MARKETS, CAPABLE OF MAKING INDEPENDENT
TRADING DECISIONS, AND AGREE THAT YOU
ARE NOT, AND WILL NOT RELY SOLELY ON
THIS DOCUMENT IN MAKING TRADING
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