FORT LP : Fort Global Contrarian Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 3.99% Feb Performance -2.45% Min Investment $ 2,000k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 10.56% Sharpe (RFR=1%) 0.75 CAROR 8.70% Assets $ 2,605.0M Worst DD -17.42 S&P Correlation 0.11 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page Growth of 1,000 - VAMI Monthly Performance Export Data Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Period Returns Program / Index Feb Qtr YTD 1yr 3yr 5yr 10yr Since10/2002 Fort Global Contrarian -2.45 -2.11 -3.99 -5.54 7.07 7.40 68.63 364.97 S&P 500 5.94 8.65 4.76 33.19 44.98 101.57 193.41 339.64 +/- S&P 500 -8.39 -10.76 -8.75 -38.73 -37.91 -94.17 -124.78 25.33 Strategy Description SummaryGlobal Contrarian is a trend anticipation trading program. 100% futures based with daily liquidity. Mathematically attempts to recreate the concepts behind technical charting in a statistically robust way. By utilizing past price data, the program systematically identifies support... Read More Account & Fees Type Fund Minimum Investment $ 2,000k Trading Level Incremental Increase $ 50k CTA Max Funding Factor 1.00 Management Fee 2.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 1200 RT/YR/$M Avg. Margin-to-Equity 10% Targeted Worst DD Worst Peak-to-Trough 0% Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 0% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Counter-trend 100.00% Composition Interest Rates 57.00% Currency Futures 19.00% Stock Indices 18.00% Energy 3.00% Precious Metals 2.00% Other 1.00% SummaryGlobal Contrarian is a trend anticipation trading program. 100% futures based with daily liquidity. Mathematically attempts to recreate the concepts behind technical charting in a statistically robust way. By utilizing past price data, the program systematically identifies support and resistance for each security on a daily basis. The typical holding period is between 5 and 8 weeks. The program (contrary to trend followers) does not use moving averages or breakouts. It seeks to participate in trends early by buying as prices decline to estimated support levels and selling as prices increase toward estimated resistance levels. The other key feature of this program is that it uses a Bayesian based adaptive analytic approach. This methodology dynamically and systematically shifts asset weightings and parameter choices. The program’s exposure to an asset class can shift dramatically—depending on the asset class’s relative performance.Investment StrategyThis strategy has a unique signal generation by using past high/low data to creat a channel where the system buys at the support levels and sells at the resistance levels. As a result, the system is able to buy early and sell early as opposed to traditional trend following models that buy late and sell late.Risk ManagementAs a result of the dynamic asset allocation (Bayesian process) that is built in to the models, risk is shifted systematically from losing markets to winning markets. The maximum margin to equity is 14% and the average is 7-9%. The model can be long or short like securities at market turning points. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual Reward Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Reward Compound RoR: Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year. Drawdown Report Depth Length (Mos.) Recovery (Mos.) Peak Valley -17.42 7 13 3/1/2008 10/1/2008 -10.82 3 4 3/1/2004 6/1/2004 -10.12 3 6 5/1/2007 8/1/2007 -8.66 4 9 4/1/2013 8/1/2013 -7.63 18 - 8/1/2019 2/1/2021 -7.45 5 3 8/1/2010 1/1/2011 -6.08 5 6 3/1/2015 8/1/2015 -6.08 2 6 9/1/2016 11/1/2016 -6.05 5 3 7/1/2018 12/1/2018 -6.01 2 2 2/1/2016 4/1/2016 -5.10 1 2 9/1/2003 10/1/2003 -5.09 1 1 10/1/2002 11/1/2002 -4.91 1 2 11/1/2009 12/1/2009 -4.65 3 6 7/1/2012 10/1/2012 -3.91 2 1 6/1/2003 8/1/2003 -3.73 1 2 5/1/2017 6/1/2017 -3.58 1 3 4/1/2006 5/1/2006 -3.43 1 1 9/1/2005 10/1/2005 -3.16 1 1 8/1/2017 9/1/2017 -3.00 2 5 12/1/2017 2/1/2018 -2.92 2 1 4/1/2012 6/1/2012 -1.62 1 1 8/1/2014 9/1/2014 -1.24 2 1 8/1/2011 10/1/2011 -1.15 2 1 1/1/2012 3/1/2012 -0.86 1 1 7/1/2016 8/1/2016 -0.77 1 1 4/1/2019 5/1/2019 -0.73 2 1 1/1/2005 3/1/2005 -0.45 1 2 1/1/2006 2/1/2006 -0.37 1 1 6/1/2014 7/1/2014 -0.32 1 1 10/1/2017 11/1/2017 -0.24 1 1 11/1/2014 12/1/2014 -0.16 1 1 1/1/2015 2/1/2015 -0.11 1 1 5/1/2011 6/1/2011 -0.07 1 1 7/1/2005 8/1/2005 -0.06 1 1 1/1/2007 2/1/2007 -0.05 1 1 3/1/2003 4/1/2003 Show More Consecutive Gains Run-up Length (Mos.) Start End 31.90 8 1/1/2010 8/1/2010 24.51 4 12/1/2002 3/1/2003 24.03 5 11/1/2003 3/1/2004 21.22 7 7/1/2004 1/1/2005 14.30 8 6/1/2006 1/1/2007 14.00 2 7/1/2011 8/1/2011 12.96 2 11/1/2008 12/1/2008 11.10 3 11/1/2011 1/1/2012 10.86 4 1/1/2019 4/1/2019 9.45 4 12/1/2007 3/1/2008 9.15 3 9/1/2013 11/1/2013 8.86 3 7/1/2009 9/1/2009 8.63 2 9/1/2007 10/1/2007 8.12 3 6/1/2019 8/1/2019 7.91 3 5/1/2016 7/1/2016 7.80 2 4/1/2011 5/1/2011 7.33 3 3/1/2007 5/1/2007 6.89 3 11/1/2005 1/1/2006 6.40 1 11/1/2009 11/1/2009 5.54 3 9/1/2015 11/1/2015 5.47 1 7/1/2012 7/1/2012 5.34 2 5/1/2003 6/1/2003 4.97 2 3/1/2013 4/1/2013 4.95 2 10/1/2014 11/1/2014 4.81 1 9/1/2003 9/1/2003 4.59 2 1/1/2016 2/1/2016 4.55 1 2/1/2017 2/1/2017 4.50 4 4/1/2005 7/1/2005 4.38 2 2/1/2009 3/1/2009 4.37 3 4/1/2014 6/1/2014 4.36 2 7/1/2017 8/1/2017 3.73 5 3/1/2018 7/1/2018 3.62 2 11/1/2020 12/1/2020 3.43 1 2/1/2011 2/1/2011 3.31 1 10/1/2017 10/1/2017 3.18 1 8/1/2014 8/1/2014 2.99 1 1/1/2020 1/1/2020 2.98 1 10/1/2002 10/1/2002 2.64 1 1/1/2015 1/1/2015 2.46 1 7/1/2013 7/1/2013 2.31 2 11/1/2012 12/1/2012 2.12 2 4/1/2017 5/1/2017 1.97 1 6/1/2008 6/1/2008 1.82 2 1/1/2014 2/1/2014 1.63 2 6/1/2020 7/1/2020 1.62 1 9/1/2008 9/1/2008 1.44 1 4/1/2012 4/1/2012 1.37 1 7/1/2015 7/1/2015 1.30 1 5/1/2015 5/1/2015 1.24 1 12/1/2010 12/1/2010 1.20 1 9/1/2016 9/1/2016 1.17 1 11/1/2019 11/1/2019 1.10 1 9/1/2005 9/1/2005 1.09 1 12/1/2016 12/1/2016 1.07 1 12/1/2017 12/1/2017 0.74 1 4/1/2020 4/1/2020 0.70 1 3/1/2015 3/1/2015 0.59 2 3/1/2006 4/1/2006 0.51 1 9/1/2020 9/1/2020 Show More Consecutive Losses Run-up Length (Mos.) Start End -10.82 3 4/1/2004 6/1/2004 -10.12 3 6/1/2007 8/1/2007 -8.65 2 5/1/2013 6/1/2013 -7.76 1 10/1/2008 10/1/2008 -7.33 2 4/1/2008 5/1/2008 -6.77 2 7/1/2008 8/1/2008 -6.26 2 2/1/2020 3/1/2020 -6.08 2 10/1/2016 11/1/2016 -6.05 5 8/1/2018 12/1/2018 -6.01 2 3/1/2016 4/1/2016 -5.10 1 10/1/2003 10/1/2003 -5.09 1 11/1/2002 11/1/2002 -4.91 1 12/1/2009 12/1/2009 -4.83 3 9/1/2010 11/1/2010 -4.65 3 8/1/2012 10/1/2012 -4.45 1 8/1/2015 8/1/2015 -3.99 2 1/1/2021 2/1/2021 -3.94 1 1/1/2011 1/1/2011 -3.91 2 7/1/2003 8/1/2003 -3.73 1 6/1/2017 6/1/2017 -3.58 1 5/1/2006 5/1/2006 -3.54 3 4/1/2009 6/1/2009 -3.50 1 12/1/2015 12/1/2015 -3.43 1 10/1/2005 10/1/2005 -3.40 2 9/1/2019 10/1/2019 -3.30 1 11/1/2007 11/1/2007 -3.16 1 9/1/2017 9/1/2017 -3.00 2 1/1/2018 2/1/2018 -2.92 2 5/1/2012 6/1/2012 -2.48 1 1/1/2009 1/1/2009 -2.41 1 8/1/2013 8/1/2013 -2.40 1 12/1/2013 12/1/2013 -2.36 1 6/1/2015 6/1/2015 -1.97 1 4/1/2015 4/1/2015 -1.84 1 10/1/2020 10/1/2020 -1.62 1 9/1/2014 9/1/2014 -1.38 1 8/1/2020 8/1/2020 -1.33 1 3/1/2011 3/1/2011 -1.24 2 9/1/2011 10/1/2011 -1.15 2 2/1/2012 3/1/2012 -0.86 1 8/1/2016 8/1/2016 -0.82 1 12/1/2019 12/1/2019 -0.77 1 5/1/2019 5/1/2019 -0.73 2 2/1/2005 3/1/2005 -0.57 1 1/1/2017 1/1/2017 -0.45 1 2/1/2006 2/1/2006 -0.43 1 3/1/2017 3/1/2017 -0.40 1 5/1/2020 5/1/2020 -0.38 2 1/1/2013 2/1/2013 -0.37 1 7/1/2014 7/1/2014 -0.37 1 10/1/2009 10/1/2009 -0.32 1 11/1/2017 11/1/2017 -0.24 1 12/1/2014 12/1/2014 -0.22 1 3/1/2014 3/1/2014 -0.16 1 2/1/2015 2/1/2015 -0.11 1 6/1/2011 6/1/2011 -0.07 1 8/1/2005 8/1/2005 -0.06 1 2/1/2007 2/1/2007 -0.05 1 4/1/2003 4/1/2003 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods221.00219.00216.00210.00204.00198.00186.00174.00162.00 Percent Profitable60.1871.2369.4477.6285.7896.4699.46100.00100.00 Average Period Return0.742.284.438.8313.6318.6328.3939.4951.42 Average Gain2.584.627.5912.1716.3019.4228.5439.4951.42 Average Loss-2.04-3.51-2.77-2.74-2.50-2.96-0.12 Best Period13.2922.8830.3238.6751.8865.4686.3299.92110.62 Worst Period-8.78-11.45-12.56-12.60-13.07-5.22-0.120.857.40 Standard Deviation3.055.177.1110.0413.0116.1221.8625.7128.55 Gain Standard Deviation2.143.986.098.8512.0615.8621.8225.7128.55 Loss Standard Deviation1.882.542.492.422.891.69 Sharpe Ratio (1%)0.220.390.550.780.931.031.161.381.62 Average Gain / Average Loss1.271.322.744.446.516.56247.07 Profit / Loss Ratio1.923.266.2315.4139.31178.8645708.71 Downside Deviation (10%)1.942.893.254.024.444.234.575.496.22 Downside Deviation (5%)1.782.432.262.101.861.020.340.39 Downside Deviation (0%)1.742.322.051.721.430.630.01 Sortino Ratio (10%)0.170.370.600.951.361.982.763.273.83 Sortino Ratio (5%)0.370.841.743.736.5316.3674.6090.32 Sortino Ratio (0%)0.430.992.165.149.5629.563351.45 Top Performer Badges Index Award Type Rank Performance Period Diversified Trader Index Month 4 4.40 2/2017 Systematic Trader Index Month 7 4.40 2/2017 IASG CTA Index Month 8 4.40 2/2017 Diversified Trader Index Month 8 4.31 9/2013 Systematic Trader Index Month 9 3.15 3/2009 IASG CTA Index Month 10 1.25 1/2005 Systematic Trader Index Month 7 1.25 1/2005 Diversified Trader Index Month 5 1.25 1/2005 Diversified Trader Index Month 5 2.56 11/2003 IASG CTA Index Month 7 2.56 11/2003 Systematic Trader Index Month 2 2.56 11/2003 Diversified Trader Index Month 4 1.35 3/2003 Systematic Trader Index Month 8 1.35 3/2003 IASG CTA Index Sharpe 8 1.39 2002 Diversified Trader Index Month 7 0.00 10/2002 Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel