The Mill

381 Brinton Lake Road

Thornton, PA 19373
610-361-1000
www.brandywine.com
joe@brandywine.com

Monthly Report
December 2016
Brandywine Outperformsand Does so with Negative Correlation
Over the past 5 years, Brandywines Symphony program, despite
suffering its largest expected drawdown, has outperformed the managed
futures indexes while doing so with a negative -0.10 correlation. In
addition, the three programs extracted from Symphony also posted solid
performances in 2016, with only Brandywines Alpha Hedge program
recording a slight loss. As a result, when included in a portfolio with other
CTAs, Brandywine both increases portfolio returns and decreases risk. This
is made clear by the chart to the right.
Brandywines Symphony program is the only non-correlated CTA program
that is also:
diversified by markets (trades in well over 100 markets)
diversified by strategies (dozens of independent trading strategies)
100% systematic

Improvement in Annual Rate of Return

with the Inclusion of Brandywine
15%

Without Brandywine
With Brandywine

10%
5%
0%
S&P 500

60-40

Hedge

Futures

We are distinct in that we do not achieve our non-correlation by specializing in a particular market, sector or strategy, or through
the use of discretion, but instead through our unique Return Driver based investment approach.
In addition to the obvious benefits of our non-correlation, we believe that now may be an especially opportune time for you to
invest with Brandywine. Following our largest drawdown in 2015, Brandywine Symphonys solid +12% return in 2016 began the
path back to our expected performance. In the three years prior to the drawdown - while all CTA indexes posted negative returns Brandywine recorded high single-digit returns with a 1.0+ Sharpe ratio.
With 35 years of experience, we are also one of the most established CTA firms but with manageable AUM that allows for
optimal allocations to commodity markets.
Benefit of Return Driver Based Approach
When we launched Brandywines Symphony program in 2011 we stressed that our Return Driver based investment approach
would produce returns that were uncorrelated to those of other CTAs, stocks, bonds and hedge funds. Our performance has
continued to prove this point. But even more importantly, this approach, pioneered by Brandywine, makes it easier for investors
to stay the course through performance drawdowns. That is because our investment strategies are based on sound,
fundamentally-based Return Drivers. If the
Performance Summaries of Brandywine's Programs(1)
fundamentals remain valid, during periods of loss
Brandywine
December 2016 Annual Annual Maximum Sharpe you can more confidently add to your
Program
Return
Return Return Volatility Drawdown Ratio
investment. Instead, without the confidence of
4.41% 12.14% 1.09% 10.02%
-25.57%
0.10 the validity of Return Drivers, most people either
Symphony
3.81% 0.13% 3.79% 9.40%
-14.90%
0.39 dont invest, or if they have already invested,
Classic
2.28% 8.48% 7.36% 10.33%
-14.50%
0.70 withdraw money when those programs lose.
Monetary
Alpha Hedge
Brandywine CPU

0.73%
2.61%

-1.56%
4.51%

5.33% 12.29%
5.29% 8.80%

-15.23%
-13.26%

0.43
0.59

As always, please contact us with any questions

or opportunities you may have.

(1) All Footnotes and required disclosures are on the last page of this report
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THERE IS THE RISK OF LOSS AS WELL AS THE OPPORTUNITY FOR
GAIN WHEN INVESTING WITH BRANDYWINE. BRANDYWINES INVESTMENT PROGRAMS ARE ONLY AVAILABLE TO INVESTORS THAT QUALIFY
AS QUALIFIED ELIGIBLE PARTICIPANTS AS THAT TERM IS DEFINED IN CFTC REG. SECTION 4.7(a)(2) PROMULGATED UNDER THE COMMODITY
EXCHANGE ACT, WHICH ARE QUALIFIED TO INVEST IN THE PROGRAMS BY (a) THEIR KNOWLEDGE AND ACCEPTANCE OF THE RISKS
ASSOCIATED WITH HIGHLY LEVERAGED SECURITIES AND FUTURES TRADING AND (b) THEIR FINANCIAL ABILITY TO ACCEPT SUCH RISK.
1

Brandywine Asset Management, Inc.

Monthly Performance Report

December 2016

Additional Reasons to Invest Now With Brandywine(2)

1600

Performance Below Targeted Return but

Basing After Largest Drawdown in 2015

Improvement in Sharpe Ratio

with the Inclusion of Brandywine

1500

1.50

1400

1.25

1300

1.00

1200

0.75

Without Brandywine
With Brandywine

0.50

1100

0.25

1000

0.00

S&P 500

(Non) Correlation (highlighted in red in table at

right) of Brandywines Investment Programs to
Other Investment Indexes3
It is this non-correlation - combined with Brandywines
repeatable investment process and broad strategy and
market diversification - that makes Brandywine such a
positive addition to most investment portfolios.

60-40

Hedge

Index
Symphony Classic
S&P 500
0.14
0.02
Bonds
0.23
0.24
Hedge Funds
0.24
0.08
Mgd. Futures
-0.10
0.31

Futures

Monetary
0.05
0.45
0.12
0.40

Alpha
Hedge
-0.44
0.38
-0.40
0.67

Descriptions of the
Brandywine Investment Programs(1)
Brandywine trades pursuant to a fully-systematic model that incorporates a wide range of both fundamental and technical
trading strategies. Brandywines Symphony Program began trading in July 2011 and the performance of the other programs is
extracted from the actual performance of trades executed within the Brandywine Symphony Program. Brandywine CPU is the
composite performance that could have been achieved by allocating across all four Brandywine programs.

Diversified Portfolios

Specialized Portfolios

Brandywine Symphony

Brandywine Monetary

Brandywines most broadly diversified investment program:

Trades in all liquid global financial and commodity
futures markets (well over 100 markets)
Trades pursuant to all Brandywines trading strategies

Trades financial markets only:

Trades in all liquid global currency, interest rate and
stock index futures markets (over 60 markets)
Trades pursuant to all Brandywines trading strategies
relevant to the financial markets

Brandywine Classic
Similar to Symphony
but excludes trading in Brandywines fundamental value
strategies

Brandywine CPU(1)

Allocates across the four Brandywine Programs

Brandywine Alpha Hedge

Comparable to diversified technical trend following CTAs:
Trades in more than 100 global financial and commodity
futures markets (well over 100 markets)
Trades only pursuant to Brandywines alpha hedge
(momentum-based) trading strategies

All Programs can be accessed both through individually managed accounts or cash-efficient funds that trade at 2x the
standard risk of the Classic, Monetary and Alpha Hedge Programs or 3x-5x in the case of Brandywines Symphony Program.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THERE IS THE RISK OF LOSS AS WELL AS THE OPPORTUNITY FOR
GAIN WHEN INVESTING WITH BRANDYWINE. BRANDYWINES INVESTMENT PROGRAMS ARE ONLY AVAILABLE TO INVESTORS THAT QUALIFY
AS QUALIFIED ELIGIBLE PARTICIPANTS AS THAT TERM IS DEFINED IN CFTC REG. SECTION 4.7(a)(2) PROMULGATED UNDER THE COMMODITY
EXCHANGE ACT, WHICH ARE QUALIFIED TO INVEST IN THE PROGRAMS BY (a) THEIR KNOWLEDGE AND ACCEPTANCE OF THE RISKS
ASSOCIATED WITH HIGHLY LEVERAGED SECURITIES AND FUTURES TRADING AND (b) THEIR FINANCIAL ABILITY TO ACCEPT SUCH RISK.
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Brandywine Asset Management, Inc.

Monthly Performance Report

December 2016

Monthly Performances of
Brandywines Investment Programs1,4
Monthly Performance - Brandywine Symphony Program
2016
2015
2014
2013
2012
2011

Jan
1.07%
-0.74%
0.10%
3.46%
0.41%

Feb
0.18%
3.55%
5.68%
-1.10%
2.17%

Mar
Apr
2.14% 10.46%
-0.60%
3.20%
1.71%
1.18%
2.55% -0.08%
-3.31%
0.00%

Jan
2.98%
-1.14%
0.08%
4.63%
0.47%

Feb
4.43%
3.77%
7.25%
-1.56%
2.98%

Jan
2.62%
3.58%
-3.85%
4.65%
1.03%

Feb
5.57%
1.51%
5.29%
-0.07%
3.57%

Jan
2.00%
9.55%
-2.00%
5.91%
-2.48%

Feb
6.07%
-2.61%
1.36%
-1.23%
1.66%

Mar
-5.85%
4.34%
-1.77%
0.59%
-3.61%

Jan
2.20%
3.89%
-1.93%
4.69%
-0.21%

Feb
4.67%
0.74%
4.61%
-0.86%
2.63%

Mar
-2.08%
3.13%
0.56%
2.26%
-3.17%

May
-1.22%
0.01%
1.14%
-3.03%
-2.28%

Jun
1.88%
-1.82%
0.05%
-1.54%
0.79%

Jul
-1.06%
-6.72%
-1.71%
-3.09%
3.85%
0.92%

Aug
-4.47%
0.33%
4.65%
0.16%
-0.61%
2.47%

Sep
0.04%
-1.48%
-6.46%
3.57%
-0.48%
2.83%

Oct
-0.92%
-0.30%
-3.05%
2.95%
-1.45%
-0.45%

Nov
-0.27%
-7.80%
-2.26%
0.32%
0.11%
0.65%

Dec
YEAR
4.41% 12.14%
-2.18% -14.16%
-2.18% -1.75%
-0.16%
3.77%
1.20%
0.20%
1.27%
7.90%

Nov
0.51%
0.05%
1.01%
0.42%
0.15%
0.84%

Dec
3.81%
-2.60%
-0.89%
-0.26%
1.53%
1.70%

YEAR
0.13%
-4.29%
10.64%
4.63%
-0.08%
10.70%

Dec
2.28%
-6.00%
1.87%
-1.51%
1.48%
2.68%

YEAR
8.48%
-5.80%
6.38%
7.39%
8.12%
17.07%

Dec
0.73%
-1.92%
6.96%
1.82%
1.64%
3.77%

YEAR
-1.56%
-3.44%
20.11%
3.26%
-5.63%
19.60%

Jul
Aug
Sep
Oct
Nov
Dec
-0.47% -2.45% -0.22% -0.68% -0.21%
2.61%
-2.75% -0.82%
2.03% -4.10% -0.70% -3.45%
-0.31%
5.28% -3.30% -3.72%
2.77%
2.39%
-2.76%
0.02%
3.34%
3.32%
0.66% -0.09%
4.82% -1.24% -0.99% -1.81%
0.28%
1.56%
1.09%
5.62%
5.88% -1.70%
1.05%
2.63%
Combined Actual Performance of Symphony plus extracted performance for Classic, Monetary & Alpha Hedge

YEAR
4.51%
-6.38%
10.76%
4.98%
1.26%
15.26%

Extracted Monthly Performance - Brandywine Classic Program

2016
2015
2014
2013
2012
2011

Mar
-2.44%
1.54%
2.25%
3.41%
-3.41%

Apr
1.07%
1.84%
1.54%
-0.13%
-0.12%

May
-0.46%
0.71%
1.49%
-4.09%
-3.38%

Jun
-1.22%
-3.35%
0.02%
-2.11%
0.41%

Jul
-1.88%
-1.58%
-0.27%
-4.20%
4.97%
1.21%

Aug
-2.61%
-0.22%
5.78%
0.20%
-0.80%
3.34%

Sep
-3.76%
2.10%
-2.60%
4.80%
-0.62%
3.82%

Oct
0.07%
-5.15%
-4.90%
3.97%
-1.94%
-0.58%

Extracted Monthly Performance - Brandywine Monetary Program

2016
2015
2014
2013
2012
2011

Mar
-0.09%
4.78%
1.04%
2.98%
-2.65%

Apr
-0.46%
-0.69%
-0.11%
2.28%
1.41%

May
-1.86%
-0.58%
4.74%
-4.52%
-1.86%

Jun
0.51%
-3.32%
1.47%
-3.28%
1.12%

Jul
0.28%
-2.05%
-1.41%
-2.50%
5.53%
1.68%

Aug
-1.87%
-0.62%
6.58%
0.61%
-0.67%
5.65%

Sep
0.70%
1.39%
-7.20%
6.31%
-0.21%
5.15%

Oct
0.91%
-3.06%
-3.81%
3.49%
-1.39%
1.09%

Nov
-0.18%
-0.41%
2.53%
-0.66%
0.75%
-0.16%

Extracted Monthly Performance - Brandywine Alpha Hedge Program

2016
2015
2014
2013
2012
2011

Apr
-0.76%
-3.19%
2.19%
-0.53%
0.65%

May
-1.24%
-1.00%
1.29%
-2.68%
3.57%

Jun
2.55%
-3.89%
1.02%
-1.75%
-3.92%

Jul
-0.19%
-1.99%
1.33%
-2.12%
4.80%
0.44%

Aug
-1.91%
-1.85%
4.19%
-0.71%
-2.62%
8.59%

Sep
0.53%
4.40%
1.65%
-0.46%
-2.62%
9.54%

Oct
-2.49%
-6.48%
-3.35%
2.23%
-2.35%
-5.94%

Nov
-0.53%
2.21%
6.11%
2.46%
-0.04%
2.56%

Extracted Monthly Performance - Brandywine CPU

2016
2015
2014
2013
2012
2011

Apr
1.51%
-0.36%
1.04%
0.61%
0.78%

May
-1.33%
-0.39%
2.47%
-3.66%
-0.48%

Jun
1.12%
-3.41%
0.84%
-2.29%
-0.68%

Monthly Performance - Brandywine Symphony Preferred Fund

2016
2015
2014
2013
2012
2011

Jan
Feb
Mar
Apr
May
2.59% -0.04%
8.96% 45.16% -5.93%
-2.07% 10.76% -1.98% 10.16% -0.47%
0.12% 20.09%
5.13%
3.36%
3.22%
13.32% -4.02%
9.26% -0.35% -10.56%
1.48%
8.27% -12.14% -0.07% -9.20%

Jun
Jul
Aug
Sep
Oct
Nov
Dec
YEAR
7.70% -5.22% -22.22% -0.16% -5.22% -1.98% 21.72% 36.77%
-6.35% -20.36%
0.40% -5.47% -2.07% -33.77% -11.39% -52.58%
-0.04% -5.35% 13.85% -19.76% -9.65% -7.02% -6.25% -8.20%
-5.85% -12.22%
0.57% 15.39% 11.27%
1.03% -0.67% 13.44%
3.32% 16.13% -2.36% -1.91% -5.69%
0.55%
4.85%
0.08%
4.34% 11.72% 12.33% -2.01%
2.47%
4.86% 37.88%
Aggressive: Trades at 3x - 5x standard leverage of Brandywine's Symphony Program

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THERE IS THE RISK OF LOSS AS WELL AS THE OPPORTUNITY FOR
GAIN WHEN INVESTING WITH BRANDYWINE. BRANDYWINES INVESTMENT PROGRAMS ARE ONLY AVAILABLE TO INVESTORS THAT QUALIFY
AS QUALIFIED ELIGIBLE PARTICIPANTS AS THAT TERM IS DEFINED IN CFTC REG. SECTION 4.7(a)(2) PROMULGATED UNDER THE COMMODITY
EXCHANGE ACT, WHICH ARE QUALIFIED TO INVEST IN THE PROGRAMS BY (a) THEIR KNOWLEDGE AND ACCEPTANCE OF THE RISKS
ASSOCIATED WITH HIGHLY LEVERAGED SECURITIES AND FUTURES TRADING AND (b) THEIR FINANCIAL ABILITY TO ACCEPT SUCH RISK.
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Brandywine Asset Management, Inc.

Monthly Performance Report

December 2016

Footnotes & Disclaimers

(1) Performance Summaries table on Front Page and monthly performance tables on prior page:
Performance since the start of actual trading in July 2011. Most recent month may be an estimate.
Symphony performance is the composite performance of all accounts managed pursuant to Brandywine's Symphony Program.
Classic, Monetary and Alpha Hedge performances are extracted using the performance of actual trades executed in Brandywine's
Symphony Program.
Brandywine CPU is the composite of allocating 1/3 to Brandywines Diversified Programs (split equally between Symphony and Classic)
and 1/3 each to Monetary and Alpha Hedge, reallocating monthly.
Brandywine Symphony Program is also offered through Brandywine Symphony Preferred Fund, which trades at an aggressive 3x-5x
standard risk. Brandywine Classic, Brandywine Monetary and Brandywine Alpha Hedge Programs are also offered through investments
into funds that each trade at 2x the standard risk of each Program.
(2) Improvement chart on page 1 and Additional Reasons charts on Page 2:
Brandywine is the composite of allocating 1/3 to Brandywines Diversified Programs (split equally between Symphony and Classic) and
1/3 each to Monetary and Alpha Hedge.
With Brandywine means, respectively, allocating 100% to each of the indexes and an additional 50% to Brandywine.
Trendline is 8% target return for Brandywine CPU.
(3) Correlation Table on Page 2:
* S&P 500" is the S&P 500 Total Return Index
* Hedge or Hedge Funds" is the Barclay Hedge Fund Index
* Bonds" is the Barclays U.S. Aggregate Bond Index
* Mgd. Futures" is the BTOP 50 Index
(4) Material assumptions used in creating the extracted past performance of Brandywines Classic, Monetary and Alpha Hedge Programs:
The performance of Brandywines Classic, Monetary and Alpha Hedge Programs are each derived from actual trades made in Brandywines
Symphony Program. Brandywines Symphony Program trades pursuant to a systematic trading model and every trade in every market is
triggered by, and automatically allocated to, one of Brandywines specific trading strategies. Brandywine employs an account management
program to calculate the number of contracts to be traded in each market and the resultant performance for each market and trading strategy
in the portfolio. Because of this automated process, Brandywine is able to create the extracted performance record for the Brandywine Classic,
Monetary and Alpha Hedge Programs, pursuant to the following steps:
The gross percentage returns are calculated for each trade made in Brandywines Symphony Program and these returns are allocated to
each Program pursuant to the strategies and markets relevant to each Program.
The percentage returns on those trades are then translated into each applicable Program based on the percentage allocation of that
Program within Brandywines Symphony Program, as disclosed in Brandywines July 2011 disclosure document.
The performance is then reduced for the commissions charged on the trades.
The performance of each Program is charged a monthly management fee and quarterly incentive fee at the following rates:
Classic: 1/6 of 1% (approximately 2% annually) management fee & 20% incentive fee
Monetary: 1/6 of 1% (approximately 2% annually) management fee & 20% incentive fee
Alpha Hedge: 1/12 of 1% (approximately 1% annually) management fee & 10% incentive fee
Performance of Brandywines Alpha Hedge Program is then adjusted by multiplying the monthly performances by a percentage in order
to represent the actual trading level employed in client accounts in that Program. The Brandywine Classic and Brandywine Monetary
Programs require no further adjustment.
The past performance of Brandywines Classic, Monetary and Alpha Hedge Programs assumes the reallocation of profits and losses.
Because no single account traded pursuant to the extracted performance displayed for the Brandywine Classic, Monetary and Alpha Hedge
Programs the following disclaimer is required and relevant to the track records displayed for those Programs:
HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO
REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN
FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS
SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM.
ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF
HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN
COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR
TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY
AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE
IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF
HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THERE IS THE RISK OF LOSS AS WELL AS THE OPPORTUNITY FOR
GAIN WHEN INVESTING WITH BRANDYWINE. BRANDYWINES INVESTMENT PROGRAMS ARE ONLY AVAILABLE TO INVESTORS THAT QUALIFY
AS QUALIFIED ELIGIBLE PARTICIPANTS AS THAT TERM IS DEFINED IN CFTC REG. SECTION 4.7(a)(2) PROMULGATED UNDER THE COMMODITY
EXCHANGE ACT, WHICH ARE QUALIFIED TO INVEST IN THE PROGRAMS BY (a) THEIR KNOWLEDGE AND ACCEPTANCE OF THE RISKS
ASSOCIATED WITH HIGHLY LEVERAGED SECURITIES AND FUTURES TRADING AND (b) THEIR FINANCIAL ABILITY TO ACCEPT SUCH RISK.
4