The Benefits of Brandywine’s Non-Correlation

Originally published in the Brandywine Asset Management Monthly Report.

August was another differentiating month for Brandywine. Our positive performance was in sharp contrast to the substantial volatility and negative returns suffered by investors in the world’s stock markets.
The benefit of this non-correlation is starkly evident in the following statistics:

As can be seen, adding 20% Brandywine to an investment in the S&P 500 both increases returns and decreases risk. This is despite the fact that the S&P 500 total return index is just one month past its highest-ever monthly close and Brandywine is in our largest drawdown to date. In other words, because of our non-correlation with stocks, Brandywine adds value to stock portfolios not only when we’re outperforming stocks, but even when we underperform. If Brandywine can add this much value when we’re down, think of the value we add when we’re performing strongly.
In addition, Brandywine provides the same diversification value to a portfolio of CTAs, as the major CTA indexes all dropped during August while Brandywine gained.

And the longer-term benefits of including Brandywine are just as positive:


Allocating 20% of a CTA portfolio (also referred to as managed futures) to Brandywine also both increases returns and decreases risk. And for long-term investors our current drawdown may present an excellent entry opportunity for a new investment.
As a bonus, Brandywine can be added to your portfolio without requiring any reallocation of existing assets. We can be purely additive. Call or email us to find out how.

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