FORT LP : Fort Global Contrarian

Year-to-Date
2.93%
Aug Performance
-1.38%
Min Investment
$ 2,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
10.61%
Sharpe (RFR=1%)
0.78
CAROR
9.11%
Assets
$ 2,694.0M
Worst DD
-17.42
S&P Correlation
0.11

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
10/2002
Fort Global Contrarian -1.38 0.21 -2.93 -5.91 6.12 15.16 62.49 377.01
S&P 500 7.01 14.98 8.34 19.61 40.39 75.68 230.13 291.09
+/- S&P 500 -8.39 -14.76 -11.27 -25.52 -34.27 -60.52 -167.64 85.92

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.

Reward
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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

Consecutive Gains

Run-up Length (Mos.) Start End
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Consecutive Losses

Run-up Length (Mos.) Start End
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods215.00213.00210.00204.00198.00192.00180.00168.00156.00
Percent Profitable60.9371.3669.5279.9086.3695.3199.44100.00100.00
Average Period Return0.782.364.589.2414.1219.0029.1940.7053.25
Average Gain2.594.737.8012.2416.7420.0629.3640.7053.25
Average Loss-2.06-3.53-2.77-2.65-2.42-2.51-0.79
Best Period13.3523.1630.8639.4053.5966.5887.47101.23111.70
Worst Period-8.70-11.45-12.56-12.69-13.20-5.31-0.790.017.51
Standard Deviation3.065.237.2110.1113.2416.6722.4026.3528.93
Gain Standard Deviation2.154.016.159.0412.3116.3522.3526.3528.93
Loss Standard Deviation1.892.562.542.462.801.86
Sharpe Ratio (1%)0.230.400.570.820.951.021.171.391.66
Average Gain / Average Loss1.261.342.814.626.917.9936.96
Profit / Loss Ratio1.963.346.4218.3843.79162.526616.43
Downside Deviation (10%)1.942.903.253.824.314.444.675.636.04
Downside Deviation (5%)1.782.432.281.971.771.080.480.52
Downside Deviation (0%)1.742.332.071.611.350.660.06
Sortino Ratio (10%)0.190.390.651.111.511.972.883.404.24
Sortino Ratio (5%)0.390.871.794.197.1215.7254.7170.00
Sortino Ratio (0%)0.441.022.215.7410.4428.66493.09

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.