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/ FORT LP / Fort Global Contrarian

FORT LP : Fort Global Contrarian

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Year-to-Date
1.60%
May Performance
1.85%
Min Investment
$ 2,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
10.50%
Sharpe (RFR=1%)
0.77
CAROR
8.91%
Assets
$ 2,592.0M
Worst DD
-17.42
S&P Correlation
0.11
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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 May Qtr YTD 1yr 3yr 5yr 10yr Since
10/2002
Fort Global Contrarian 1.85 5.82 1.60 4.10 11.39 19.33 67.76 392.03
S&P 500 0.55 10.31 15.56 42.58 60.44 104.89 219.32 384.97
+/- S&P 500 1.30 -4.49 -13.97 -38.48 -49.04 -85.56 -151.56 7.06

Strategy Description

Summary

Global 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%
Strategy Pie Chart

Composition

Interest Rates
57.00%
Currency Futures
19.00%
Stock Indices
18.00%
Energy
3.00%
Precious Metals
2.00%
Other
1.00%
Composition Pie Chart

Summary

Global 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 Strategy

This 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 Management

As 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.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

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
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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
5.82 3 3/1/2021 5/1/2021
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
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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
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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.

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