FORT LP : Fort Global Diversified

Year-to-Date
1.79%
Jan Performance
-1.79%
Min Investment
$ 2,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
18.54%
Sharpe (RFR=1%)
0.80
CAROR
15.05%
Assets
$ 528.4M
Worst DD
-26.55
S&P Correlation
-0.19

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
10/1993
Fort Global Diversified -1.79 0.25 -1.79 1.01 19.26 18.86 176.17 2,533.07
S&P 500 1.79 7.18 1.79 17.45 27.84 73.64 58.42 387.03
+/- S&P 500 -3.58 -6.93 -3.58 -16.44 -8.58 -54.78 117.75 2,146.04

Strategy Description

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... 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
N/A
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%
Strategy Pie Chart

Composition

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

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%.

   

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
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
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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
4.16 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
3.56 2 4/1/2012 5/1/2012
3.43 1 3/1/1998 3/1/1998
3.31 2 1/1/2014 2/1/2014
2.82 3 11/1/2012 1/1/2013
2.80 1 12/1/2010 12/1/2010
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
0.24 1 11/1/1994 11/1/1994
0.19 1 6/1/2006 6/1/2006
0.01 1 9/1/2016 9/1/2016
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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
-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
-2.62 1 8/1/2013 8/1/2013
-2.62 1 7/1/2005 7/1/2005
-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 3/1/2014 3/1/2014
-1.28 1 2/1/2006 2/1/2006
-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
-0.56 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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods280.00278.00275.00269.00263.00257.00245.00233.00221.00
Percent Profitable61.0762.9572.0085.1391.2597.28100.00100.00100.00
Average Period Return1.314.058.3117.0626.8037.1559.7184.47115.34
Average Gain4.369.3714.1021.2930.1238.2859.7184.47115.34
Average Loss-3.46-4.97-6.58-7.13-7.87-3.22
Best Period22.5943.3453.5298.6699.00126.74179.58216.03246.72
Worst Period-14.15-18.83-19.59-25.57-21.76-12.957.0115.3518.86
Standard Deviation5.3510.0513.9920.1524.5629.2839.0345.2951.90
Gain Standard Deviation4.218.5911.8818.6523.0128.8839.0345.2951.90
Loss Standard Deviation2.924.235.297.157.634.56
Sharpe Ratio (1%)0.230.380.560.801.031.201.451.782.12
Average Gain / Average Loss1.261.882.142.993.8311.89
Profit / Loss Ratio1.983.205.5117.0939.92424.59
Downside Deviation (10%)3.024.565.555.525.362.941.200.850.60
Downside Deviation (5%)2.864.084.664.153.551.11
Downside Deviation (0%)2.823.964.453.873.210.88
Sortino Ratio (10%)0.300.621.052.193.599.1536.5774.39146.74
Sortino Ratio (5%)0.430.931.673.877.1331.67
Sortino Ratio (0%)0.471.021.874.418.3642.38

Top Performer Badges

Index Award Type Rank Performance Period
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
Systematic Trader Index Month 9 9.25 12/2008
Diversified 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
Systematic Trader Index Month 6 3.41 5/1999
Diversified 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
Systematic Trader Index Month 5 3.64 7/1998
Diversified Trader Index Month 6 3.64 7/1998
IASG CTA Index Month 8 3.64 7/1998
IASG CTA Index Month 7 8.08 5/1998
Diversified Trader Index Month 7 8.08 5/1998
Systematic 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
IASG CTA Index Sharpe 9 1.42 1995 - 1996
Systematic Trader Index Month 9 -1.10 12/1996
Systematic Trader Index Month 3 3.66 8/1996
IASG CTA Index Month 7 3.66 8/1996
Diversified Trader Index Month 6 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
Systematic Trader Index Month 8 14.00 4/1996
Diversified Trader Index Month 8 14.00 4/1996
Diversified Trader Index Month 9 9.48 3/1996
IASG CTA Index Month 10 9.48 3/1996
Systematic Trader Index Month 7 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
Diversified Trader Index Month 8 6.65 11/1995
Systematic 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
IASG CTA Index Month 5 16.25 5/1995

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