Brandywine Asset Management, Inc.

Brandywine Protected 500 Strategy *QEP*


Monthly Performance (%)

Date Range: 05/20 - 09/21
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2021 1.27 1.31 -1.60 7.30 -1.11 -0.33 1.48 0.36 -1.27   7.36 
2020 0.01 7.26 6.13 -5.12 -1.23 4.61 7.69  20.19 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Strategy Description

Brandywine Protected 500 strategy is designed to be “a smarter way to buy and hold.” It features 100% exposure to the S&P 500 plus Brandywine’s Performance Protection. Brandywine’s Performance Protection incorporates options to protect against significant losses and - based on Brandywine’s 40 years of research and investment experience - a “Return Driver based Diversifier” structured to both pay for that protection and provide additional non-correlated returns.

Performance Statistics

Date Range: 05/20 - 09/21
  Program S&P 500 Coquest 40 
Total Return 29.03% 51.32% 7.88% 
Annualized Return 21.07% 33.96% 5.50% 
Annualized Std. Deviation 12.79% 13.43% 5.01% 
Correlation 0.69 0.53 
Sharpe Ratio (rf=2.5%) 1.45 2.34 0.60 
Worst Month -5.12% -4.65% -1.46% 
Date of Worst Month 09/2020 09/2021 09/2020 
Worst Drawdown -6.29% -6.36% -3.44% 
Date of Worst Drawdown 8/20 - 10/20 8/20 - 10/20 7/20 - 10/20 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 05/20 - 09/21
Year or YTD Program S&P 500 Coquest 40 
2021 7.36 15.93 6.73 
2020 20.19 24.59 2.28 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 05/20 - 09/21
Date: 9/30/2021
Perf: $1,091.59 Date: 8/31/2021
Perf: $1,086.16 Date: 7/31/2021
Perf: $1,085.94 Date: 6/30/2021
Perf: $1,081.19 Date: 5/31/2021
Perf: $1,085.31 Date: 4/30/2021
Perf: $1,069.69 Date: 3/31/2021
Perf: $1,051.19 Date: 2/28/2021
Perf: $1,037.29 Date: 1/31/2021
Perf: $1,013.48 Date: 12/31/2020
Perf: $1,022.78 Date: 11/30/2020
Perf: $985.63 Date: 10/31/2020
Perf: $977.03 Date: 9/30/2020
Perf: $980.16 Date: 8/31/2020
Perf: $994.69 Date: 7/31/2020
Perf: $1,006.06 Date: 6/30/2020
Perf: $987.20 Date: 5/31/2020
Perf: $1,000.00 Date: 9/30/2021
Perf: $1,444.44 Date: 8/31/2021
Perf: $1,514.88 Date: 7/31/2021
Perf: $1,470.19 Date: 6/30/2021
Perf: $1,436.01 Date: 5/31/2021
Perf: $1,403.31 Date: 4/30/2021
Perf: $1,393.56 Date: 3/31/2021
Perf: $1,322.91 Date: 2/28/2021
Perf: $1,267.40 Date: 1/31/2021
Perf: $1,233.36 Date: 12/31/2020
Perf: $1,245.94 Date: 11/30/2020
Perf: $1,199.87 Date: 10/31/2020
Perf: $1,081.45 Date: 9/30/2020
Perf: $1,111.00 Date: 8/31/2020
Perf: $1,154.89 Date: 7/31/2020
Perf: $1,077.42 Date: 6/30/2020
Perf: $1,019.90 Date: 5/31/2020
Perf: $1,000.00 Date: 9/30/2021
Perf: $1,290.34 Date: 8/31/2021
Perf: $1,306.93 Date: 7/31/2021
Perf: $1,302.25 Date: 6/30/2021
Perf: $1,283.25 Date: 5/31/2021
Perf: $1,287.50 Date: 4/30/2021
Perf: $1,301.95 Date: 3/31/2021
Perf: $1,213.38 Date: 2/28/2021
Perf: $1,233.11 Date: 1/31/2021
Perf: $1,217.16 Date: 12/31/2020
Perf: $1,201.90 Date: 11/30/2020
Perf: $1,116.07 Date: 10/31/2020
Perf: $1,066.89 Date: 9/30/2020
Perf: $1,080.17 Date: 8/31/2020
Perf: $1,138.46 Date: 7/31/2020
Perf: $1,072.71 Date: 6/30/2020
Perf: $1,000.10 Date: 5/31/2020
Perf: $1,000.00

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Monthly Returns

Date Range: 05/20 - 09/21
Date: 9/30/2021
Return: -1.27 % Date: 8/31/2021
Return: 0.36 % Date: 7/31/2021
Return: 1.48 % Date: 6/30/2021
Return: -0.33 % Date: 5/31/2021
Return: -1.11 % Date: 4/30/2021
Return: 7.30 % Date: 3/31/2021
Return: -1.60 % Date: 2/28/2021
Return: 1.31 % Date: 1/31/2021
Return: 1.27 % Date: 12/31/2020
Return: 7.69 % Date: 11/30/2020
Return: 4.61 % Date: 10/31/2020
Return: -1.23 % Date: 9/30/2020
Return: -5.12 % Date: 8/31/2020
Return: 6.13 % Date: 7/31/2020
Return: 7.26 % Date: 6/30/2020
Return: 0.01 % Date: 5/31/2020
Return: 0.00 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 05/20 - 09/21
Return: -2.00 %
Count: 1 Return: 1.00 %
Count: 3 Return: 8.00 %
Count: 1 Return: 5.00 %
Count: 1 Return: -1.00 %
Count: 3 Return: -5.00 %
Count: 1 Return: 6.00 %
Count: 1 Return: 7.00 %
Count: 2 Return: 0.00 %
Count: 4

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Underwater Curve

Date Range: 05/20 - 09/21
Date: 9/30/2021
Drawdown: -1.27 % Date: 8/31/2021
Drawdown: 0.00 % Date: 7/31/2021
Drawdown: 0.00 % Date: 6/30/2021
Drawdown: -1.44 % Date: 5/31/2021
Drawdown: -1.11 % Date: 4/30/2021
Drawdown: 0.00 % Date: 3/31/2021
Drawdown: -1.60 % Date: 2/28/2021
Drawdown: 0.00 % Date: 1/31/2021
Drawdown: 0.00 % Date: 12/31/2020
Drawdown: 0.00 % Date: 11/30/2020
Drawdown: -1.97 % Date: 10/31/2020
Drawdown: -6.29 % Date: 9/30/2020
Drawdown: -5.12 % Date: 8/31/2020
Drawdown: 0.00 % Date: 7/31/2020
Drawdown: 0.00 % Date: 6/30/2020
Drawdown: 0.00 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Manager Information

Manager Name:  Brandywine Asset Management, Inc.
Address: The Mill, 381 Brinton Lake Road
City: Thornton
State: PA
Zip: 19373
Country: USA

Key People

Name:  Michael Dever
Position:  Principal
Biography: 

Michael Dever is the founder and CEO of Bran¬dywine Asset Management and author of the best-selling book Jackass Investing: Don't do it. Profit from it. Brandywine, founded in 1982, is an investment management firm with experience trading in a broad range of markets, including equities, mutual funds, currencies, and global futures and commodities. Brandywine’s highly-rated Symphony Program is built on this 30-year legacy of research and trading. The investment program uses Brandywine’s Return Driver based research approach and Predictive Diversification portfolio allocation model to trade across more than 100 global financial and commodity markets. Because of its fundamental approach and broad market and strategy diversification, the program produces returns that are uncorrelated to traditional investments, trend-following CTAs and hedge fund managers. In 2011 Mr. 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's Symphony program. Mike has also been a featured subject of three books, Bulls, Bears and Millionaires, Market Beaters and The Investor's Guide to Hedge Funds. He and his businesses have been the subject of numerous interviews and articles in publications including: Bloomberg Television, The Wall Street Journal, Barrons, Computer World, Information Week, the Philadelphia Inquirer, Philadelphia Business Journal, Wall Street & Technology, Futures Magazine, Futures & Options World, Forbes Magazine and Fox Television. Mr. Dever received a bachelor’s degree in Business from West Chester University in 1981.


Additional Information

 Futures Sectors Traded
 Stock Indexes Yes 
 Interest Rates Yes 
 Currencies Yes 
 Metals Yes 
 Energies Yes 
 Softs Yes 
 Grains Yes 
 Meats Yes 
 Investment Methodology
 Systematic Yes 
 Diversified Yes 
 Quantitative Analysis Yes 
 Instruments Traded
 Futures Yes 
 Listed Options Yes 
 Geographical Focus
 Global Yes 
 Holding Period
 Long Term Yes 
 Medium Term Yes 
 Investment Terms & Information
 Managed Account Minimum: $10,000,000 
 Margin / Equity Ratio: 4% 
 Managed Account Availability: Open 
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