From rural Pennsylvania, Brandywine takes on the world
The old mill on this scenic New England road looks like something straight out of a Norman Rockwell painting. But make no mistake, there's nothing old-fashioned about this place. It's where Mike Dever runs the newly revived Brandywine Asset Management. He began trading more than 30 years ago before spending a decade in the dot com world. Now, back in the markets full time, Mike tells Andy Webb about his twin penchants for diversity and automation.
Andy: It seems like you've been around in this industry for an awfully long time. Can you give me a bit of the history?
Mike: I started trading in 1979. I was finishing up college and had a few thousand dollars from the sale of a car and started trading some gold. I got into futures in 1979. I founded Brandywine in 1982 to really formalise the fact that I was trading, and turned it into a CTA. In 1984, in addition to my own trading, I set up an account with Paul Tudor Jones and shortly after that with John Henry.
In the late '80s, I set up a program - it was about a three-year research project - to fully automate what I was doing with my trading, which was discretionary at that time, and come up with what we launched in 1991: a fully automated, broadly diversified, multi-strategy approach. The result was our Benchmark Trading program, which averaged 20 percent annualised returns throughout the 1990s.
Andy: And your current incarnation?
Mike: After spending most of the 2000s founding and operating technology-related businesses, I relaunched our trading in July 2011 in Brandywine's Symphony program.
We've been targeting 8 percent annualised standard deviation in our standard product. We're almost exactly on that - I think we're a little under, maybe 7 - and targeting 12 percent annualised returns, and I think we're right around 10. So everything is on track. We've got a more aggressively traded product, Brandywine Symphony Preferred Fund, that's gained substantially more than that, as it should have. It's up 45 percent over its first 13 months. The volatility is higher too - it's close to 25 to 30 - but it's tracking along what we were hoping or expecting.
Andy: At the moment you are futures only - is it purely directional stuff or are you spreading as well?
Mike: It's a mix. Our belief is broad strategy, market diversification. We're in over a hundred markets. We've got dozens of independent strategies. They each operate based on their own unique return driver, and we incorporate those into a balanced portfolio. Some of the strategies are looking at spread relationships, some are directional outright. They might range from a couple of days to a year-long trade depending on the strategy.
Andy: How many trading models would you be running at any one time?