FORT LP : Global Futures Program (formerly Global Diversified Classic)

Year-to-Date
27.62%
Aug Performance
4.39%
Min Investment
$ 10,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
18.12%
Sharpe (RFR=1%)
0.77
CAROR
14.27%
Assets
$ 2,273.5M
Worst DD
-26.55
S&P Correlation
-0.17

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
10/1993
Global Futures Program (formerly Global Diversified Classic) 4.39 12.72 27.62 22.47 10.65 31.97 198.98 3,075.31
S&P 500 -1.81 6.34 16.73 0.85 33.43 44.59 183.77 519.07
+/- S&P 500 6.20 6.38 10.89 21.62 -22.78 -12.62 15.21 2,556.24

Strategy Description

Summary

FORT Global Futures is a systematic multi-strategy trading program. It trades a spectrum of futures contracts in the global markets that includes: interest rates, bonds, currencies, equity indices, energy and metals. Global Futures is a proprietary blend of three strategies with dates... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 10,000k
Trading Level Incremental Increase
$ 0k
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
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%
Strategy Pie Chart

Composition

Interest Rates
50.00%
Currency Futures
20.00%
Stock Indices
20.00%
Energy
6.00%
Industrial Metals
2.00%
Precious Metals
2.00%
Composition Pie Chart

Summary

FORT Global Futures is a systematic multi-strategy trading program. It trades a spectrum of futures contracts in the global markets that includes: interest rates, bonds, currencies, equity indices, energy and metals. Global Futures is a proprietary blend of three strategies with dates of implementation as follows: (i) trend-following (inception); (ii)trend-anticipating (Global Contrarian,Oct. 2002); and (iii) short-term mean reversion (Dec.2009). The addition of each of these components is designed to reduce the volatility of returns. FORT Global Futures is also designed to have a low correlation with broad equity indices as well as dynamically and systematically shifts risk allocations among asset classes and underlying parameter choices.

   

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
-18.94 7 14 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
-16.42 29 6 7/1/2016 12/1/2018
-13.71 4 12 4/1/2013 8/1/2013
-12.72 4 2 3/1/2001 7/1/2001
-9.08 7 6 1/1/2015 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
-7.38 1 2 11/1/2009 12/1/2009
-7.34 5 3 8/1/2010 1/1/2011
-6.84 4 10 6/1/2005 10/1/2005
-6.00 2 2 2/1/2016 4/1/2016
-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
-4.66 2 2 5/1/1996 7/1/1996
-4.19 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
-1.41 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
36.39 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
29.19 5 11/1/2003 3/1/2004
27.62 8 1/1/2019 8/1/2019
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
20.49 2 11/1/2008 12/1/2008
17.00 1 12/1/1998 12/1/1998
15.89 6 8/1/2014 1/1/2015
14.48 5 9/1/1997 1/1/1998
12.70 3 11/1/2011 1/1/2012
12.48 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
10.90 3 5/1/2016 7/1/2016
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
8.08 1 5/1/1998 5/1/1998
7.81 1 9/1/2015 9/1/2015
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
6.96 2 7/1/2017 8/1/2017
6.93 1 2/1/2017 2/1/2017
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
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
3.44 1 3/1/1998 3/1/1998
3.31 1 7/1/2015 7/1/2015
3.31 2 1/1/2014 2/1/2014
3.18 2 4/1/2017 5/1/2017
3.13 1 10/1/2017 10/1/2017
2.92 1 12/1/2016 12/1/2016
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
2.06 2 2/1/2002 3/1/2002
2.05 1 8/1/2000 8/1/2000
1.90 2 5/1/2018 6/1/2018
1.76 2 2/1/2009 3/1/2009
1.74 2 10/1/1993 11/1/1993
1.40 1 9/1/2016 9/1/2016
1.31 1 11/1/2018 11/1/2018
1.13 1 7/1/2013 7/1/2013
0.86 1 1/1/2006 1/1/2006
0.77 1 11/1/2015 11/1/2015
0.77 1 8/1/2005 8/1/2005
0.76 1 12/1/2017 12/1/2017
0.67 1 3/1/2015 3/1/2015
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
0.32 1 3/1/2018 3/1/2018
0.24 1 11/1/1994 11/1/1994
0.19 1 6/1/2006 6/1/2006
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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
-15.15 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
-9.26 2 10/1/2016 11/1/2016
-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
-6.77 2 12/1/1996 1/1/1997
-6.51 1 6/1/2017 6/1/2017
-6.27 3 4/1/2015 6/1/2015
-6.07 4 7/1/2018 10/1/2018
-6.00 2 3/1/2016 4/1/2016
-5.50 3 8/1/2012 10/1/2012
-5.23 1 11/1/2010 11/1/2010
-5.06 2 9/1/2005 10/1/2005
-4.94 1 9/1/2017 9/1/2017
-4.94 1 7/1/1995 7/1/1995
-4.80 1 12/1/1993 12/1/1993
-4.66 2 6/1/1996 7/1/1996
-4.62 2 1/1/2018 2/1/2018
-4.22 1 2/1/1998 2/1/1998
-4.19 1 1/1/1996 1/1/1996
-4.15 1 8/1/2015 8/1/2015
-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
-3.84 1 12/1/2015 12/1/2015
-3.60 1 8/1/2016 8/1/2016
-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
-2.99 1 1/1/2017 1/1/2017
-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
-2.69 1 2/1/2015 2/1/2015
-2.66 1 3/1/2017 3/1/2017
-2.62 1 8/1/2013 8/1/2013
-2.62 1 7/1/2005 7/1/2005
-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
-2.47 1 5/1/2006 5/1/2006
-1.96 1 12/1/2018 12/1/2018
-1.72 1 6/1/2011 6/1/2011
-1.58 2 12/1/1994 1/1/1995
-1.55 1 4/1/2018 4/1/2018
-1.45 1 3/1/2011 3/1/2011
-1.41 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 11/1/2017 11/1/2017
-0.66 1 2/1/2013 2/1/2013
-0.64 1 10/1/2015 10/1/2015
-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 Periods311.00309.00306.00300.00294.00288.00276.00264.00252.00
Percent Profitable61.0961.4970.2681.0086.7392.3697.4698.86100.00
Average Period Return1.253.817.6615.3224.0433.2853.7076.30103.72
Average Gain4.239.1513.6020.5528.8336.4955.2177.23103.72
Average Loss-3.43-4.72-6.37-6.96-7.25-5.46-4.52-4.25
Best Period22.5943.3453.5298.6699.00126.74179.58212.78243.16
Worst Period-14.15-18.83-19.59-25.57-21.76-12.95-11.40-6.309.79
Standard Deviation5.239.7413.6919.9424.6629.8540.2347.4256.85
Gain Standard Deviation4.108.3611.7218.3822.8628.7839.6146.8956.85
Loss Standard Deviation2.834.095.006.216.234.343.491.78
Sharpe Ratio (1%)0.220.370.520.720.911.051.261.521.73
Average Gain / Average Loss1.231.942.142.953.986.6812.2118.16
Profit / Loss Ratio1.943.095.0512.6026.0080.81469.171580.33
Downside Deviation (10%)2.974.485.555.956.104.914.454.012.85
Downside Deviation (5%)2.813.994.624.393.902.381.330.93
Downside Deviation (0%)2.773.874.414.053.461.910.880.48
Sortino Ratio (10%)0.280.580.941.732.704.698.5313.6626.73
Sortino Ratio (5%)0.420.891.553.275.7813.1638.0577.29
Sortino Ratio (0%)0.450.981.743.786.9417.4260.68159.32

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 7 8.46 3/2019
Systematic Trader Index Month 8 8.46 3/2019
IASG CTA Index Month 9 8.46 3/2019
Systematic Trader Index Month 10 5.08 8/2017
Diversified Trader Index Month 6 5.08 8/2017
Diversified Trader Index Month 2 6.93 2/2017
IASG CTA Index Month 3 6.93 2/2017
Systematic Trader Index Month 3 6.93 2/2017

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