FORT LP : Fort Global Contrarian

Year-to-Date: 14.82%
Dec Performance: -0.83%

Min Investment: $ 2,000k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 10.69%
Sharpe (RFR=1%): 0.83
CAROR: 9.67%

Assets: $ 2,705.9M
Worst DD: -17.42
S&P Correlation: 0.09

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Growth of 1,000 - VAMI

Monthly Performance

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	Dec	Qtr	2019	1yr	3yr	5yr	10yr	Since 10/2002
Fort Global Contrarian	-0.83	-2.08	14.82	14.82	15.65	14.96	122.07	391.39
S&P 500	2.86	8.53	28.87	28.87	42.84	55.32	186.74	260.98
+/- S&P 500	-3.69	-10.61	-14.05	-14.05	-27.19	-40.37	-64.67	130.41

Strategy Description

Summary

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%

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.

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Index: Chart Type:

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:

Monthly Annual

Reward
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Max Gain:
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Average Gain:
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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
-10.59	3	4	3/1/2004	6/1/2004
-10.11	3	6	5/1/2007	8/1/2007
-8.67	4	9	4/1/2013	8/1/2013
-7.41	5	3	8/1/2010	1/1/2011
-6.09	5	11	3/1/2015	8/1/2015
-6.07	2	6	9/1/2016	11/1/2016
-6.02	5	3	7/1/2018	12/1/2018
-5.07	1	2	11/1/2009	12/1/2009
-5.02	1	2	9/1/2003	10/1/2003
-5.01	1	1	10/1/2002	11/1/2002
-4.67	3	6	7/1/2012	10/1/2012
-3.75	2	1	6/1/2003	8/1/2003
-3.60	1	2	5/1/2017	6/1/2017
-3.51	1	3	4/1/2006	5/1/2006
-3.39	2	-	8/1/2019	10/1/2019
-3.35	1	1	9/1/2005	10/1/2005
-3.01	2	5	12/1/2017	2/1/2018
-2.95	2	1	4/1/2012	6/1/2012
-2.93	1	1	8/1/2017	9/1/2017
-1.65	1	1	8/1/2014	9/1/2014
-1.28	2	1	8/1/2011	10/1/2011
-1.17	2	1	1/1/2012	3/1/2012
-0.97	1	1	7/1/2005	8/1/2005
-0.87	1	1	7/1/2016	8/1/2016
-0.76	1	1	4/1/2019	5/1/2019
-0.60	2	1	1/1/2005	3/1/2005
-0.39	1	2	1/1/2006	2/1/2006
-0.38	1	1	6/1/2014	7/1/2014
-0.30	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
-0.10	1	1	5/1/2011	6/1/2011
-0.08	1	1	1/1/2007	2/1/2007

Consecutive Gains

Run-up	Length (Mos.)	Start	End
32.67	8	1/1/2010	8/1/2010
31.72	7	12/1/2002	6/1/2003
24.46	5	11/1/2003	3/1/2004
20.80	7	7/1/2004	1/1/2005
14.70	8	6/1/2006	1/1/2007
14.06	2	7/1/2011	8/1/2011
12.97	2	11/1/2008	12/1/2008
11.17	3	11/1/2011	1/1/2012
10.47	4	1/1/2019	4/1/2019
9.29	4	12/1/2007	3/1/2008
8.99	3	9/1/2013	11/1/2013
8.83	3	7/1/2009	9/1/2009
8.58	2	9/1/2007	10/1/2007
8.05	3	6/1/2019	8/1/2019
7.75	2	4/1/2011	5/1/2011
7.59	3	5/1/2016	7/1/2016
7.38	3	3/1/2007	5/1/2007
7.05	3	11/1/2005	1/1/2006
6.54	1	11/1/2009	11/1/2009
5.50	1	7/1/2012	7/1/2012
5.43	3	9/1/2015	11/1/2015
4.98	2	10/1/2014	11/1/2014
4.97	2	3/1/2013	4/1/2013
4.80	4	4/1/2005	7/1/2005
4.77	1	9/1/2003	9/1/2003
4.47	3	4/1/2014	6/1/2014
4.40	1	2/1/2017	2/1/2017
4.40	2	2/1/2009	3/1/2009
4.39	2	1/1/2016	2/1/2016
4.09	2	7/1/2017	8/1/2017
3.69	5	3/1/2018	7/1/2018
3.44	1	2/1/2011	2/1/2011
3.19	1	8/1/2014	8/1/2014
3.02	1	10/1/2017	10/1/2017
2.98	1	10/1/2002	10/1/2002
2.64	1	1/1/2015	1/1/2015
2.43	1	7/1/2013	7/1/2013
2.31	2	11/1/2012	12/1/2012
1.97	1	6/1/2008	6/1/2008
1.97	2	4/1/2017	5/1/2017
1.80	2	1/1/2014	2/1/2014
1.62	1	9/1/2008	9/1/2008
1.47	1	4/1/2012	4/1/2012
1.35	1	7/1/2015	7/1/2015
1.30	1	5/1/2015	5/1/2015
1.25	1	12/1/2010	12/1/2010
1.20	1	9/1/2016	9/1/2016
1.17	1	9/1/2005	9/1/2005
1.16	1	11/1/2019	11/1/2019
1.09	1	12/1/2016	12/1/2016
1.04	1	12/1/2017	12/1/2017
0.72	2	3/1/2006	4/1/2006
0.70	1	3/1/2015	3/1/2015

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-10.59	3	4/1/2004	6/1/2004
-10.11	3	6/1/2007	8/1/2007
-8.66	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
-6.07	2	10/1/2016	11/1/2016
-6.02	5	8/1/2018	12/1/2018
-5.83	2	3/1/2016	4/1/2016
-5.07	1	12/1/2009	12/1/2009
-5.02	1	10/1/2003	10/1/2003
-5.01	1	11/1/2002	11/1/2002
-4.82	3	9/1/2010	11/1/2010
-4.67	3	8/1/2012	10/1/2012
-4.43	1	8/1/2015	8/1/2015
-3.92	1	1/1/2011	1/1/2011
-3.75	2	7/1/2003	8/1/2003
-3.60	1	6/1/2017	6/1/2017
-3.51	3	4/1/2009	6/1/2009
-3.51	1	5/1/2006	5/1/2006
-3.43	1	12/1/2015	12/1/2015
-3.39	2	9/1/2019	10/1/2019
-3.35	1	10/1/2005	10/1/2005
-3.27	1	11/1/2007	11/1/2007
-3.01	2	1/1/2018	2/1/2018
-2.95	2	5/1/2012	6/1/2012
-2.93	1	9/1/2017	9/1/2017
-2.48	1	1/1/2009	1/1/2009
-2.39	1	12/1/2013	12/1/2013
-2.38	1	8/1/2013	8/1/2013
-2.36	1	6/1/2015	6/1/2015
-1.98	1	4/1/2015	4/1/2015
-1.65	1	9/1/2014	9/1/2014
-1.32	1	3/1/2011	3/1/2011
-1.28	2	9/1/2011	10/1/2011
-1.17	2	2/1/2012	3/1/2012
-0.97	1	8/1/2005	8/1/2005
-0.87	1	8/1/2016	8/1/2016
-0.83	1	12/1/2019	12/1/2019
-0.76	1	5/1/2019	5/1/2019
-0.60	2	2/1/2005	3/1/2005
-0.57	1	1/1/2017	1/1/2017
-0.40	1	3/1/2017	3/1/2017
-0.39	1	2/1/2006	2/1/2006
-0.38	1	7/1/2014	7/1/2014
-0.37	1	10/1/2009	10/1/2009
-0.37	2	1/1/2013	2/1/2013
-0.30	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
-0.10	1	6/1/2011	6/1/2011
-0.08	1	2/1/2007	2/1/2007

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	207.00	205.00	202.00	196.00	190.00	184.00	172.00	160.00	148.00
Percent Profitable	61.35	72.20	71.78	80.61	85.79	95.11	99.42	100.00	100.00
Average Period Return	0.82	2.49	4.87	9.51	14.33	19.48	30.07	42.13	55.49
Average Gain	2.63	4.81	7.84	12.43	17.11	20.61	30.25	42.13	55.49
Average Loss	-2.06	-3.55	-2.68	-2.61	-2.42	-2.51	-0.79
Best Period	13.35	23.16	30.86	39.40	53.59	66.58	87.47	101.23	111.70
Worst Period	-8.70	-11.45	-12.56	-12.69	-13.20	-5.31	-0.79	0.01	11.16
Standard Deviation	3.09	5.26	7.19	10.14	13.47	16.85	22.52	26.18	27.99
Gain Standard Deviation	2.17	4.03	6.16	9.06	12.48	16.50	22.46	26.18	27.99
Loss Standard Deviation	1.91	2.59	2.65	2.48	2.80	1.86
Sharpe Ratio (1%)	0.24	0.43	0.61	0.84	0.95	1.04	1.20	1.45	1.80
Average Gain / Average Loss	1.28	1.36	2.92	4.77	7.07	8.21	38.09
Profit / Loss Ratio	2.03	3.52	7.44	19.83	42.67	159.70	6513.47
Downside Deviation (10%)	1.94	2.87	3.12	3.73	4.40	4.48	4.54	5.31	4.95
Downside Deviation (5%)	1.78	2.42	2.19	1.92	1.81	1.10	0.49	0.54
Downside Deviation (0%)	1.74	2.31	1.99	1.57	1.38	0.68	0.06
Sortino Ratio (10%)	0.21	0.44	0.77	1.21	1.53	2.06	3.15	3.87	5.63
Sortino Ratio (5%)	0.41	0.93	1.99	4.43	7.09	15.83	55.28	70.98
Sortino Ratio (0%)	0.47	1.08	2.44	6.04	10.38	28.76	496.57

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	2001 - 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.

^#4

Top Performer

DIVERSIFIED TRADER INDEX

FEBRUARY
2017

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More Programs by FORT LP

Program Name	CAROR
Fort Global Diversified	13.97%
Global Futures Program (formerly Global Diversified Classic)	13.74%
Fort Global Contrarian	9.67%

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Watchlists 147

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FORT LP : Fort Global Contrarian

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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