FORT LP : Fort Global Diversified

Year-to-Date: 2.24%
Mar Performance: 2.44%

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

Annualized Vol: 15.44%
Sharpe (RFR=1%): 0.66
CAROR: 10.55%

Assets: $ 51.1M
Worst DD: -17.45
S&P Correlation: -0.13

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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	Mar	Qtr	YTD	1yr	3yr	5yr	10yr	Since 3/2002
Fort Global Diversified	2.44	-2.24	-2.24	-0.58	1.76	1.17	85.03	577.71
S&P 500	4.24	9.21	9.21	58.70	55.31	97.12	206.17	253.80
+/- S&P 500	-1.80	-11.44	-11.44	-59.29	-53.55	-95.95	-121.13	323.91

Strategy Description

Summary

Account & Fees

Type	Fund
Minimum Investment	$ 2,000k
Trading Level Incremental Increase	$ 50k
CTA Max Funding Factor
Management Fee	2.00%
Performance Fee	20.00%
Average Commission	$0
Available to US Investors	Yes

Subscriptions

High Water Mark	Yes
Subscription Frequency	1-7 Days
Redemption Frequency	1-7 Days
Investor Requirements	QEP
Lock-up Period	0

Trading

Trading Frequency	1200 RT/YR/$M
Avg. Margin-to-Equity	13%
Targeted Worst DD
Worst Peak-to-Trough
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: 45.00%
Momentum: 10.00%
Trend-following: 45.00%

Composition

Interest Rates: 48.00%
Stock Indices: 29.00%
Currency Futures: 16.00%
Energy: 4.00%
Precious Metals: 2.00%
Other: 1.00%

Summary

Global Diversified has evolved since FORT’s inception in 1993. Originally composed entirely of the Trend strategy, Contrarian was added as approximately 50% of the portfolio in 2002. In 2009, Short-Term Mean Reversion was added as approximately 10% (Contrarian and Trend both approximately 45%), and in August, 2014, Equity Market Neutral was added. The Equity Market Neutral strategy was traded with proprietary capital for 5 ½ years before being added to Global Diversified. Currently, Global Diversified is made up of approximately 29% Trend, 29% Contrarian, 9% Short-Term Mean Reversion, and 33% Equity Market Neutral.

Investment Strategy

This product is a combination of the four strategies that the firm has ever developed and they are uncorrelated to each other and the equity markets. There are 3 futures strategies (trend, Contrarian, and short term mean reversion) and an equity market neutral strategy.

Risk Management

The model employs the Bayesian process of shifting risk from underperforming to outperforming asset classes. The four underlying strategies have little correlation and individual contract exposure is capped. The maximum marging to equity it 12% but the average is around 7-9%.

Compare to:

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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
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
-17.45	5	4	5/1/2003	10/1/2003
-17.05	18	-	8/1/2019	2/1/2021
-17.00	2	1	9/1/2002	11/1/2002
-16.85	7	2	3/1/2008	10/1/2008
-16.84	3	5	3/1/2004	6/1/2004
-13.68	4	12	4/1/2013	8/1/2013
-9.33	5	6	3/1/2015	8/1/2015
-8.87	2	5	6/1/2007	8/1/2007
-8.18	3	5	3/1/2009	6/1/2009
-7.99	3	29	7/1/2016	10/1/2016
-7.35	5	3	8/1/2010	1/1/2011
-7.17	4	13	6/1/2005	10/1/2005
-7.17	1	2	11/1/2009	12/1/2009
-6.14	3	1	2/1/2016	5/1/2016
-5.47	3	6	7/1/2012	10/1/2012
-3.37	2	2	1/1/2012	3/1/2012
-3.01	1	2	3/1/2002	4/1/2002
-2.95	2	1	2/1/2003	4/1/2003
-2.54	1	2	9/1/2011	10/1/2011
-2.45	1	1	5/1/2012	6/1/2012
-1.63	3	2	11/1/2004	2/1/2005
-1.61	1	1	5/1/2011	6/1/2011
-1.37	1	2	1/1/2007	2/1/2007
-1.03	1	2	12/1/2008	1/1/2009

Consecutive Gains

Run-up	Length (Mos.)	Start	End
55.93	5	5/1/2002	9/1/2002
43.16	3	12/1/2002	2/1/2003
38.31	8	1/1/2010	8/1/2010
29.10	5	11/1/2003	3/1/2004
24.13	5	7/1/2004	11/1/2004
22.50	3	7/1/2011	9/1/2011
20.91	8	1/1/2019	8/1/2019
20.42	2	11/1/2008	12/1/2008
17.08	8	8/1/2014	3/1/2015
12.69	3	11/1/2011	1/1/2012
12.47	2	1/1/2016	2/1/2016
10.99	3	1/1/2008	3/1/2008
10.45	1	5/1/2003	5/1/2003
10.27	2	4/1/2011	5/1/2011
9.48	4	3/1/2007	6/1/2007
9.05	3	9/1/2013	11/1/2013
8.65	1	7/1/2012	7/1/2012
8.50	1	11/1/2009	11/1/2009
8.49	4	3/1/2005	6/1/2005
8.47	2	6/1/2016	7/1/2016
8.39	3	9/1/2007	11/1/2007
7.57	3	7/1/2009	9/1/2009
7.16	3	11/1/2006	1/1/2007
6.62	3	4/1/2014	6/1/2014
6.29	2	3/1/2013	4/1/2013
5.53	2	5/1/2008	6/1/2008
5.21	1	9/1/2015	9/1/2015
4.71	1	8/1/2006	8/1/2006
4.67	4	10/1/2017	1/1/2018
3.88	1	11/1/2005	11/1/2005
3.88	1	2/1/2017	2/1/2017
3.87	1	2/1/2011	2/1/2011
3.53	2	4/1/2012	5/1/2012
3.47	4	4/1/2020	7/1/2020
3.41	2	1/1/2014	2/1/2014
3.37	2	4/1/2017	5/1/2017
3.13	1	1/1/2020	1/1/2020
3.07	2	7/1/2017	8/1/2017
2.91	3	11/1/2012	1/1/2013
2.77	1	12/1/2010	12/1/2010
2.75	1	6/1/2018	6/1/2018
2.44	1	3/1/2021	3/1/2021
2.38	2	3/1/2006	4/1/2006
2.09	2	11/1/2016	12/1/2016
1.99	1	9/1/2003	9/1/2003
1.91	1	11/1/2018	11/1/2018
1.70	2	2/1/2009	3/1/2009
1.13	1	7/1/2013	7/1/2013
1.00	1	7/1/2015	7/1/2015
0.89	1	11/1/2019	11/1/2019
0.78	1	1/1/2006	1/1/2006
0.76	1	12/1/2020	12/1/2020
0.68	1	8/1/2005	8/1/2005
0.58	1	9/1/2008	9/1/2008
0.34	1	10/1/2010	10/1/2010
0.30	1	4/1/2018	4/1/2018
0.30	1	3/1/2002	3/1/2002
0.11	1	6/1/2006	6/1/2006
0.07	1	8/1/2018	8/1/2018
0.03	1	9/1/2016	9/1/2016

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-17.00	2	10/1/2002	11/1/2002
-16.84	3	4/1/2004	6/1/2004
-12.50	3	6/1/2003	8/1/2003
-12.38	2	2/1/2020	3/1/2020
-12.34	2	5/1/2013	6/1/2013
-11.42	2	7/1/2008	8/1/2008
-8.92	1	4/1/2008	4/1/2008
-8.87	2	7/1/2007	8/1/2007
-8.18	3	4/1/2009	6/1/2009
-7.49	1	10/1/2003	10/1/2003
-7.17	1	12/1/2009	12/1/2009
-6.85	3	4/1/2015	6/1/2015
-6.14	3	3/1/2016	5/1/2016
-5.91	2	9/1/2019	10/1/2019
-5.58	1	10/1/2016	10/1/2016
-5.47	3	8/1/2012	10/1/2012
-5.24	1	11/1/2010	11/1/2010
-5.23	2	9/1/2005	10/1/2005
-4.57	2	1/1/2021	2/1/2021
-4.48	3	10/1/2015	12/1/2015
-4.21	1	12/1/2013	12/1/2013
-4.04	1	9/1/2017	9/1/2017
-3.62	1	8/1/2015	8/1/2015
-3.37	2	2/1/2012	3/1/2012
-3.01	1	4/1/2002	4/1/2002
-2.99	1	12/1/2018	12/1/2018
-2.95	2	3/1/2003	4/1/2003
-2.91	1	10/1/2008	10/1/2008
-2.79	1	1/1/2011	1/1/2011
-2.76	2	2/1/2018	3/1/2018
-2.71	1	7/1/2005	7/1/2005
-2.63	1	8/1/2013	8/1/2013
-2.62	1	6/1/2017	6/1/2017
-2.58	1	8/1/2016	8/1/2016
-2.58	1	5/1/2006	5/1/2006
-2.54	1	10/1/2011	10/1/2011
-2.46	1	9/1/2010	9/1/2010
-2.46	4	8/1/2020	11/1/2020
-2.45	1	6/1/2012	6/1/2012
-1.78	1	1/1/2017	1/1/2017
-1.63	2	9/1/2018	10/1/2018
-1.63	3	12/1/2004	2/1/2005
-1.61	1	6/1/2011	6/1/2011
-1.51	1	3/1/2011	3/1/2011
-1.37	1	2/1/2007	2/1/2007
-1.37	1	2/1/2006	2/1/2006
-1.34	1	3/1/2014	3/1/2014
-1.30	2	9/1/2006	10/1/2006
-1.29	1	3/1/2017	3/1/2017
-1.23	1	7/1/2018	7/1/2018
-1.03	1	1/1/2009	1/1/2009
-0.94	1	10/1/2009	10/1/2009
-0.68	1	2/1/2013	2/1/2013
-0.60	1	12/1/2005	12/1/2005
-0.48	1	7/1/2006	7/1/2006
-0.37	1	7/1/2014	7/1/2014
-0.36	1	12/1/2019	12/1/2019
-0.09	1	12/1/2007	12/1/2007
-0.02	1	5/1/2018	5/1/2018

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	229.00	3.00	6.00	12.00	18.00	24.00	36.00	48.00	60.00
Percent Profitable	60.26	0.00	0.00	83.33	5.56	45.83	94.44	97.92	70.00
Average Period Return	0.94	-2.70	-1.74	1.04	-8.52	0.82	6.05	6.10	2.97
Average Gain	3.38			1.60	0.45	6.22	6.45	6.24	5.12
Average Loss	-2.78	-2.70	-1.74	-1.77	-9.04	-3.74	-0.81	-0.44	-2.03
Best Period	22.76	-1.31	-0.18	3.47	0.45	11.55	19.75	21.34	19.06
Worst Period	-14.22	-4.57	-4.73	-2.95	-14.58	-7.47	-0.96	-0.44	-4.57
Standard Deviation	4.46	1.68	1.65	1.61	4.56	5.60	5.91	5.73	5.65
Gain Standard Deviation	3.65			0.88		3.18	5.84	5.71	5.41
Loss Standard Deviation	2.63	1.68	1.65	1.67	4.10	1.50	0.21		1.56
Sharpe Ratio (1%)	0.19	-1.76	-1.36	0.02	-2.20	-0.21	0.51	0.36	-0.38
Average Gain / Average Loss	1.22			0.90	0.05	1.66	7.92	14.04	2.53
Profit / Loss Ratio	1.85			4.51	0.00	1.41	134.66	660.11	5.89
Downside Deviation (10%)	2.60	4.16	4.47	4.25	16.71	10.90	11.31	16.46	25.28
Downside Deviation (5%)	2.44	3.26	2.70	1.24	10.96	4.38	1.37	1.62	4.63
Downside Deviation (0%)	2.40	3.03	2.30	0.87	9.60	2.95	0.20	0.06	1.39
Sortino Ratio (10%)	0.20	-0.94	-0.94	-0.93	-0.96	-0.86	-0.86	-0.94	-0.98
Sortino Ratio (5%)	0.35	-0.91	-0.83	0.03	-0.91	-0.27	2.20	1.26	-0.46
Sortino Ratio (0%)	0.39	-0.89	-0.76	1.19	-0.89	0.28	31.00	95.13	2.14

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Diversified Trader Index	Month	10	3.00	4/2017
IASG CTA Index	Month	8	7.61	2/2016
IASG CTA Index	5 Year	9	128.68	2009 - 2014
Systematic Trader Index	Month	8	5.90	12/2011
Diversified Trader Index	Month	7	5.90	12/2011
Systematic Trader Index	Month	9	7.36	2/2010
Diversified Trader Index	Month	9	7.36	2/2010
Diversified Trader Index	Month	9	9.25	12/2008
Systematic Trader Index	Month	9	9.25	12/2008
Diversified Trader Index	Month	9	4.76	8/2006
Systematic Trader Index	Month	10	4.76	8/2006
IASG CTA Index	5 Year	8	152.06	2000 - 2005
Systematic Trader Index	Month	8	7.46	10/2004
IASG CTA Index	Month	10	7.46	10/2004
Diversified Trader Index	Month	9	7.46	10/2004
IASG CTA Index	Month	9	5.18	8/2004
Diversified Trader Index	Month	6	5.18	8/2004
Systematic Trader Index	Month	5	5.18	8/2004
IASG CTA Index	3 Year	8	103.56	2000 - 2003
IASG CTA Index	Annual	6	56.01	2002
IASG CTA Index	5 Year	6	166.84	1997 - 2002
IASG CTA Index	Month	9	22.59	12/2002
Systematic Trader Index	Month	9	22.59	12/2002
Diversified Trader Index	Month	9	22.59	12/2002
IASG CTA Index	3 Year	10	92.41	1999 - 2002
Systematic Trader Index	Month	3	17.99	9/2002
Diversified Trader Index	Month	3	17.99	9/2002
IASG CTA Index	Month	3	17.99	9/2002
IASG CTA Index	Month	8	15.28	7/2002
Diversified Trader Index	Month	7	15.28	7/2002
Systematic Trader Index	Month	7	15.28	7/2002
Diversified Trader Index	Month	4	1.70	2/2002
Systematic Trader Index	Month	5	1.70	2/2002
IASG CTA Index	Month	9	1.70	2/2002
Systematic Trader Index	Month	6	16.18	10/2001
Diversified Trader Index	Month	6	16.18	10/2001
IASG CTA Index	Month	7	16.18	10/2001
Systematic Trader Index	Month	7	4.61	1/2001
Diversified Trader Index	Month	8	4.61	1/2001
IASG CTA Index	Month	10	4.61	1/2001
IASG CTA Index	Month	9	4.49	1/2000
Systematic Trader Index	Month	8	4.49	1/2000
Diversified Trader Index	Month	7	4.49	1/2000
IASG CTA Index	5 Year	5	195.80	1994 - 1999
Diversified Trader Index	Month	6	3.41	5/1999
Systematic Trader Index	Month	6	3.41	5/1999
IASG CTA Index	Month	7	3.41	5/1999
IASG CTA Index	3 Year	6	120.61	1995 - 1998
IASG CTA Index	5 Year	3	246.72	1993 - 1998
Diversified Trader Index	Month	1	17.00	12/1998
IASG CTA Index	Month	2	17.00	12/1998
IASG CTA Index	Annual	2	48.17	1998
Systematic Trader Index	Month	1	17.00	12/1998
Systematic Trader Index	Month	1	14.43	10/1998
Diversified Trader Index	Month	1	14.43	10/1998
IASG CTA Index	Month	1	14.43	10/1998
Diversified Trader Index	Month	6	3.64	7/1998
Systematic Trader Index	Month	5	3.64	7/1998
IASG CTA Index	Month	8	3.64	7/1998
Systematic Trader Index	Month	7	8.08	5/1998
IASG CTA Index	Month	7	8.08	5/1998
Diversified Trader Index	Month	7	8.08	5/1998
Systematic Trader Index	Month	10	3.43	3/1998
IASG CTA Index	3 Year	10	113.29	1994 - 1997
Systematic Trader Index	Month	10	2.25	11/1997
Systematic Trader Index	Month	4	3.48	10/1997
IASG CTA Index	Month	4	3.48	10/1997
Diversified Trader Index	Month	3	3.48	10/1997
IASG CTA Index	Annual	4	52.45	1996
IASG CTA Index	3 Year	3	139.60	1993 - 1996
Diversified Trader Index	Month	10	-1.10	12/1996
Systematic Trader Index	Month	9	-1.10	12/1996
IASG CTA Index	Sharpe	9	1.42	1996
Systematic Trader Index	Month	3	3.66	8/1996
Diversified Trader Index	Month	6	3.66	8/1996
IASG CTA Index	Month	7	3.66	8/1996
Systematic Trader Index	Month	1	3.33	5/1996
IASG CTA Index	Month	1	3.33	5/1996
Diversified Trader Index	Month	1	3.33	5/1996
IASG CTA Index	Month	8	14.00	4/1996
Diversified Trader Index	Month	8	14.00	4/1996
Systematic Trader Index	Month	8	14.00	4/1996
Systematic Trader Index	Month	7	9.48	3/1996
Diversified Trader Index	Month	9	9.48	3/1996
IASG CTA Index	Month	10	9.48	3/1996
Diversified Trader Index	Month	1	5.85	2/1996
IASG CTA Index	Month	1	5.85	2/1996
Systematic Trader Index	Month	1	5.85	2/1996
IASG CTA Index	Sharpe	10	1.06	1995
Systematic Trader Index	Month	8	6.65	11/1995
Diversified Trader Index	Month	8	6.65	11/1995
IASG CTA Index	Month	8	6.65	11/1995
Systematic Trader Index	Month	10	-0.56	10/1995
Diversified Trader Index	Month	10	-0.56	10/1995
Systematic Trader Index	Month	2	4.53	9/1995
Diversified Trader Index	Month	2	4.53	9/1995
IASG CTA Index	Month	3	4.53	9/1995
Diversified Trader Index	Month	6	1.52	6/1995
Systematic Trader Index	Month	8	1.52	6/1995
IASG CTA Index	Month	8	1.52	6/1995

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

^#10

Top Performer

DIVERSIFIED TRADER INDEX

APRIL
2017

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Portfolios 62
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FORT LP : Fort Global Diversified

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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