FORT LP : Fort Global Diversified Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 0.10% Sep Performance -0.60% Min Investment $ 2,000k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 18.02% Sharpe (RFR=1%) 0.77 CAROR 14.20% Assets $ 634.9M Worst DD -26.55 S&P Correlation -0.19 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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since10/1993 Fort Global Diversified -0.60 -1.76 -0.10 2.92 5.64 28.44 185.12 2,665.53 S&P 500 0.43 7.20 8.99 14.67 50.24 71.54 147.27 513.85 +/- S&P 500 -1.03 -8.96 -9.09 -11.75 -44.59 -43.10 37.84 2,151.68 Strategy Description SummaryGlobal 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... Read More 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% SummaryGlobal 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 StrategyThis 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 ManagementThe 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: {{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 -26.55 16 4 5/1/1999 9/1/2000 -18.18 7 7 11/1/1996 6/1/1997 -17.85 8 4 5/1/1994 1/1/1995 -17.16 5 4 5/1/2003 10/1/2003 -16.85 2 1 9/1/2002 11/1/2002 -16.63 3 5 3/1/2004 6/1/2004 -16.62 7 2 3/1/2008 10/1/2008 -16.53 6 3 10/1/2001 4/1/2002 -13.71 4 12 4/1/2013 8/1/2013 -12.72 4 2 3/1/2001 7/1/2001 -10.74 3 4 1/1/1998 4/1/1998 -9.37 5 6 3/1/2015 8/1/2015 -8.81 2 5 6/1/2007 8/1/2007 -8.41 1 1 10/1/1998 11/1/1998 -8.11 3 5 3/1/2009 6/1/2009 -8.04 3 - 7/1/2016 10/1/2016 -7.38 1 2 11/1/2009 12/1/2009 -7.33 5 3 8/1/2010 1/1/2011 -6.84 4 10 6/1/2005 10/1/2005 -6.14 3 1 2/1/2016 5/1/2016 -5.50 3 6 7/1/2012 10/1/2012 -4.94 1 4 6/1/1995 7/1/1995 -4.80 1 2 11/1/1993 12/1/1993 -4.67 2 2 5/1/1996 7/1/1996 -4.16 1 1 12/1/1995 1/1/1996 -3.94 1 3 12/1/1998 1/1/1999 -3.40 2 2 1/1/2012 3/1/2012 -3.22 1 2 2/1/2003 3/1/2003 -2.54 1 2 9/1/2011 10/1/2011 -2.48 1 1 5/1/2012 6/1/2012 -1.72 1 1 5/1/2011 6/1/2011 -1.40 3 2 11/1/2004 2/1/2005 -1.18 1 2 1/1/2007 2/1/2007 -1.10 2 1 8/1/2006 10/1/2006 -1.00 1 1 12/1/2008 1/1/2009 Show More Consecutive Gains Run-up Length (Mos.) Start End 56.46 5 5/1/2002 9/1/2002 49.17 6 10/1/2000 3/1/2001 43.34 3 12/1/2002 2/1/2003 41.10 8 1/1/2010 8/1/2010 39.41 4 7/1/1998 10/1/1998 36.51 4 2/1/1996 5/1/1996 34.01 5 2/1/1995 6/1/1995 33.34 3 8/1/2001 10/1/2001 32.16 5 1/1/1994 5/1/1994 29.20 5 11/1/2003 3/1/2004 23.98 5 7/1/2004 11/1/2004 23.60 4 8/1/1996 11/1/1996 22.67 3 7/1/2011 9/1/2011 20.48 2 11/1/2008 12/1/2008 17.08 8 8/1/2014 3/1/2015 17.00 1 12/1/1998 12/1/1998 14.48 5 9/1/1997 1/1/1998 12.69 3 11/1/2011 1/1/2012 12.19 2 1/1/2016 2/1/2016 11.13 3 1/1/2008 3/1/2008 11.05 1 7/1/1997 7/1/1997 10.66 2 4/1/2003 5/1/2003 10.64 2 4/1/2011 5/1/2011 10.44 4 2/1/1999 5/1/1999 9.12 4 3/1/2007 6/1/2007 9.12 2 11/1/1995 12/1/1995 8.88 3 9/1/2013 11/1/2013 8.80 1 11/1/2009 11/1/2009 8.78 4 3/1/2005 6/1/2005 8.70 1 7/1/2012 7/1/2012 8.49 3 9/1/2007 11/1/2007 8.47 2 6/1/2016 7/1/2016 8.08 1 5/1/1998 5/1/1998 7.67 3 7/1/2009 9/1/2009 7.21 1 5/1/2000 5/1/2000 7.00 3 11/1/2006 1/1/2007 6.37 3 4/1/2014 6/1/2014 6.22 2 3/1/2013 4/1/2013 5.71 2 12/1/1999 1/1/2000 5.63 2 5/1/2008 6/1/2008 5.20 1 9/1/2015 9/1/2015 4.76 1 8/1/2006 8/1/2006 4.72 2 8/1/1995 9/1/1995 4.60 4 10/1/2017 1/1/2018 4.16 2 8/1/1999 9/1/1999 3.90 1 2/1/2011 2/1/2011 3.90 1 11/1/2005 11/1/2005 3.88 1 2/1/2017 2/1/2017 3.56 2 4/1/2012 5/1/2012 3.43 1 3/1/1998 3/1/1998 3.33 2 4/1/2017 5/1/2017 3.31 2 1/1/2014 2/1/2014 3.02 2 7/1/2017 8/1/2017 2.82 3 11/1/2012 1/1/2013 2.80 1 12/1/2010 12/1/2010 2.71 1 6/1/2018 6/1/2018 2.55 2 3/1/2006 4/1/2006 2.46 2 2/1/1997 3/1/1997 2.08 1 9/1/2003 9/1/2003 2.08 2 11/1/2016 12/1/2016 2.06 2 2/1/2002 3/1/2002 2.05 1 8/1/2000 8/1/2000 1.76 2 2/1/2009 3/1/2009 1.74 2 10/1/1993 11/1/1993 1.13 1 7/1/2013 7/1/2013 1.00 1 7/1/2015 7/1/2015 0.86 1 1/1/2006 1/1/2006 0.77 1 8/1/2005 8/1/2005 0.63 1 9/1/2008 9/1/2008 0.39 1 10/1/2010 10/1/2010 0.34 1 5/1/2001 5/1/2001 0.29 1 4/1/2018 4/1/2018 0.24 1 11/1/1994 11/1/1994 0.19 1 6/1/2006 6/1/2006 0.06 1 8/1/2018 8/1/2018 0.01 1 9/1/2016 9/1/2016 Show More Consecutive Losses Run-up Length (Mos.) Start End -18.83 3 2/1/2000 4/1/2000 -16.85 2 10/1/2002 11/1/2002 -16.73 5 6/1/1994 10/1/1994 -16.63 3 4/1/2004 6/1/2004 -15.74 3 11/1/2001 1/1/2002 -14.35 3 4/1/1997 6/1/1997 -12.38 2 5/1/2013 6/1/2013 -12.35 3 6/1/2003 8/1/2003 -11.34 2 7/1/2008 8/1/2008 -9.90 1 4/1/1998 4/1/1998 -9.53 1 4/1/2001 4/1/2001 -8.89 1 4/1/2008 4/1/2008 -8.87 2 10/1/1999 11/1/1999 -8.81 2 7/1/2007 8/1/2007 -8.41 1 11/1/1998 11/1/1998 -8.12 2 6/1/1999 7/1/1999 -8.11 3 4/1/2009 6/1/2009 -7.60 2 6/1/2000 7/1/2000 -7.42 1 10/1/2003 10/1/2003 -7.38 1 12/1/2009 12/1/2009 -6.89 3 4/1/2015 6/1/2015 -6.77 2 12/1/1996 1/1/1997 -6.14 3 3/1/2016 5/1/2016 -5.60 1 10/1/2016 10/1/2016 -5.50 3 8/1/2012 10/1/2012 -5.22 1 11/1/2010 11/1/2010 -5.06 2 9/1/2005 10/1/2005 -4.94 1 7/1/1995 7/1/1995 -4.80 1 12/1/1993 12/1/1993 -4.67 2 6/1/1996 7/1/1996 -4.49 3 10/1/2015 12/1/2015 -4.22 1 2/1/1998 2/1/1998 -4.16 1 1/1/1996 1/1/1996 -4.10 1 12/1/2013 12/1/2013 -4.01 1 9/1/2017 9/1/2017 -3.94 1 1/1/1999 1/1/1999 -3.85 2 6/1/2001 7/1/2001 -3.63 1 8/1/2015 8/1/2015 -3.40 2 2/1/2012 3/1/2012 -3.23 1 8/1/1997 8/1/1997 -3.22 1 3/1/2003 3/1/2003 -2.93 1 4/1/2002 4/1/2002 -2.91 1 9/1/2000 9/1/2000 -2.89 1 10/1/2008 10/1/2008 -2.75 1 1/1/2011 1/1/2011 -2.74 2 2/1/2018 3/1/2018 -2.62 1 8/1/2013 8/1/2013 -2.62 1 7/1/2005 7/1/2005 -2.60 1 6/1/2017 6/1/2017 -2.59 1 8/1/2016 8/1/2016 -2.58 1 9/1/2010 9/1/2010 -2.54 1 10/1/2011 10/1/2011 -2.48 1 6/1/2012 6/1/2012 -2.48 1 5/1/2006 5/1/2006 -1.79 1 1/1/2017 1/1/2017 -1.72 1 6/1/2011 6/1/2011 -1.58 2 12/1/1994 1/1/1995 -1.45 1 3/1/2011 3/1/2011 -1.40 3 12/1/2004 2/1/2005 -1.34 1 6/1/1998 6/1/1998 -1.29 1 3/1/2017 3/1/2017 -1.29 1 3/1/2014 3/1/2014 -1.28 1 2/1/2006 2/1/2006 -1.23 1 7/1/2018 7/1/2018 -1.18 1 2/1/2007 2/1/2007 -1.10 2 9/1/2006 10/1/2006 -1.00 1 1/1/2009 1/1/2009 -0.91 1 10/1/2009 10/1/2009 -0.66 1 2/1/2013 2/1/2013 -0.60 1 9/1/2018 9/1/2018 -0.56 1 10/1/1995 10/1/1995 -0.50 1 12/1/2005 12/1/2005 -0.40 1 7/1/2006 7/1/2006 -0.37 1 7/1/2014 7/1/2014 -0.06 1 12/1/2007 12/1/2007 -0.03 1 5/1/2018 5/1/2018 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods300.00298.00295.00289.00283.00277.00265.00253.00241.00 Percent Profitable61.0062.4271.1983.3989.7595.6799.62100.00100.00 Average Period Return1.243.837.8115.9525.1334.7156.0279.54107.74 Average Gain4.178.9513.4320.4028.7536.4056.2379.54107.74 Average Loss-3.33-4.67-6.10-6.35-6.54-2.50-0.44 Best Period22.5943.3453.5298.6699.00126.74179.58216.03246.72 Worst Period-14.15-18.83-19.59-25.57-21.76-12.95-0.4413.4013.83 Standard Deviation5.209.7613.6519.8824.4629.5439.7546.6455.79 Gain Standard Deviation4.148.5011.8518.5923.0829.0939.6746.6455.79 Loss Standard Deviation2.874.195.256.767.273.52 Sharpe Ratio (1%)0.220.370.540.750.971.111.331.621.84 Average Gain / Average Loss1.251.922.203.214.3914.54128.58 Profit / Loss Ratio1.963.185.4416.1238.48321.0833944.61 Downside Deviation (10%)2.944.435.415.505.383.552.531.241.89 Downside Deviation (5%)2.783.954.524.053.451.190.23 Downside Deviation (0%)2.743.844.313.763.100.870.03 Sortino Ratio (10%)0.280.590.991.993.266.8915.8846.9442.39 Sortino Ratio (5%)0.420.911.623.696.8627.57229.21 Sortino Ratio (0%)0.451.001.814.248.1139.722085.14 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 Rolling 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 Rolling 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 Rolling 8 103.56 2000 - 2003 IASG CTA Index Year Rolling 6 56.01 2001 - 2002 IASG CTA Index 5 Year Rolling 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 Rolling 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 Rolling 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 Rolling 6 120.61 1995 - 1998 IASG CTA Index 5 Year Rolling 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 Year Rolling 2 48.17 1997 - 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 Rolling 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 Year Rolling 4 52.45 1995 - 1996 IASG CTA Index 3 Year Rolling 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 1995 - 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 1994 - 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. x {{title}} x {{title}} Add Cancel