Fort Orange Capital : Global Strategic

archived programs
Year-to-Date
N / A
Dec Performance
11.92%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
34.67%
Sharpe (RFR=1%)
0.66
CAROR
19.90%
Assets
$ 21.3M
Worst DD
-47.63
S&P Correlation
-0.08

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
11/1991
Global Strategic 11.92 - - - - - - 2,153.77
S&P 500 0.78 - - - - - - 823.27
+/- S&P 500 11.14 - - - - - - 1,330.50

Strategy Description

Summary

-Fort Orange Capital Management's business is global investment management. As a registered Commodity Trading Advisor, Fort Orange is committed to providing investors with long-term capital growth through systematic trading of global markets.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $10.00
Available to US Investors

Subscriptions

High Water Mark Yes
Subscription Frequency Anytime
Redemption Frequency Anytime
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 2500 RT/YR/$M
Avg. Margin-to-Equity 20%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

Over 12 Months 15.00%
4-12 Months 50.00%
1-3 Months 35.00%
1-30 Days
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
15.00%
Trend-following
85.00%
Strategy Pie Chart

Summary

-Fort Orange Capital Management's business is global investment management. As a registered Commodity Trading Advisor, Fort Orange is committed to providing investors with long-term capital growth through systematic trading of global markets.

Investment Strategy

Fort Orange is a managed futures advisor that applies a systematic, quantitative investment methodology across multiple trading models. The goal is to achieve long-term capital appreciation by attempting to capture “right-tail” profit potential, while managing risk through rigorous adherence to investment discipline, robust trading controls, and multi-layered portfolio diversification. Managed futures advisors generally exhibit positive skew in their return distributions. Fort Orange recognizes that positive skew, or “right tails”, is an inherent attribute of systematic trend-following programs, and structures its trading methodologies to attempt to exploit this attribute over the long term. Returns have historically been non-correlated to those of traditional equity, fixed income and many managed futures programs.

   

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
-47.63 5 - 2/1/2008 7/1/2008
-39.24 18 38 4/1/1999 10/1/2000
-38.19 14 5 6/1/2006 8/1/2007
-32.16 13 7 3/1/2004 4/1/2005
-22.08 2 6 1/1/1996 3/1/1996
-16.99 3 7 7/1/1993 10/1/1993
-11.28 3 1 12/1/1998 3/1/1999
-10.81 2 4 6/1/1995 8/1/1995
-9.33 3 3 11/1/1994 2/1/1995
-8.33 1 2 3/1/1998 4/1/1998
-7.88 2 1 9/1/1998 11/1/1998
-7.67 2 1 12/1/1991 2/1/1992
-7.66 1 4 7/1/1997 8/1/1997
-5.56 2 2 6/1/1994 8/1/1994
-4.61 1 1 5/1/1997 6/1/1997
-4.55 1 1 11/1/1996 12/1/1996
-4.09 3 1 10/1/1992 1/1/1993
-3.44 1 1 6/1/1998 7/1/1998
-3.03 1 1 5/1/1993 6/1/1993
-1.16 1 1 7/1/1992 8/1/1992
-0.77 1 1 12/1/2003 1/1/2004
-0.76 1 1 3/1/1997 4/1/1997
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Consecutive Gains

Run-up Length (Mos.) Start End
84.35 8 11/1/2005 6/1/2006
80.12 3 12/1/2007 2/1/2008
58.14 4 8/1/1996 11/1/1996
54.88 3 12/1/2002 2/1/2003
48.43 5 3/1/1992 7/1/1992
44.39 2 9/1/2007 10/1/2007
41.25 5 5/1/2005 9/1/2005
35.25 3 10/1/2003 12/1/2003
33.52 4 2/1/1993 5/1/1993
32.68 1 6/1/2008 6/1/2008
30.15 3 11/1/1995 1/1/1996
29.69 4 12/1/1997 3/1/1998
29.05 1 10/1/2008 10/1/2008
27.56 2 8/1/1998 9/1/1998
27.21 3 4/1/2007 6/1/2007
25.96 1 8/1/2008 8/1/2008
21.24 2 11/1/1999 12/1/1999
20.00 2 11/1/1991 12/1/1991
17.40 2 11/1/1993 12/1/1993
16.99 2 2/1/2004 3/1/2004
16.74 4 6/1/2002 9/1/2002
16.73 3 9/1/1994 11/1/1994
16.69 3 1/1/1997 3/1/1997
16.63 2 9/1/2001 10/1/2001
15.73 4 3/1/1995 6/1/1995
15.71 1 4/1/1999 4/1/1999
14.42 2 2/1/2001 3/1/2001
14.16 2 5/1/1994 6/1/1994
13.76 2 5/1/1998 6/1/1998
13.52 1 7/1/1997 7/1/1997
12.77 2 4/1/2003 5/1/2003
12.68 2 11/1/2000 12/1/2000
11.92 1 12/1/2008 12/1/2008
11.39 2 9/1/1992 10/1/1992
10.64 3 10/1/2004 12/1/2004
10.53 1 4/1/1996 4/1/1996
10.22 1 12/1/1998 12/1/1998
9.08 1 2/1/2005 2/1/2005
8.37 1 2/1/2000 2/1/2000
8.11 2 9/1/1997 10/1/1997
6.45 1 8/1/2003 8/1/2003
6.15 1 8/1/2000 8/1/2000
6.11 1 6/1/1996 6/1/1996
5.74 1 5/1/1997 5/1/1997
5.41 1 7/1/1993 7/1/1993
5.26 3 10/1/2006 12/1/2006
4.73 1 3/1/1994 3/1/1994
3.54 1 9/1/1995 9/1/1995
2.28 1 2/1/1999 2/1/1999
2.03 1 9/1/1999 9/1/1999
1.61 1 3/1/2002 3/1/2002
1.34 1 7/1/2004 7/1/2004
0.63 1 12/1/1992 12/1/1992
0.58 1 12/1/2001 12/1/2001
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Consecutive Losses

Run-up Length (Mos.) Start End
-45.26 3 3/1/2008 5/1/2008
-30.67 5 3/1/2000 7/1/2000
-27.90 1 7/1/2008 7/1/2008
-25.99 2 7/1/2007 8/1/2007
-23.63 4 5/1/1999 8/1/1999
-22.22 3 7/1/2006 9/1/2006
-22.08 2 2/1/1996 3/1/1996
-20.63 3 4/1/2004 6/1/2004
-19.82 3 1/1/2007 3/1/2007
-18.24 2 10/1/2002 11/1/2002
-17.50 2 6/1/2003 7/1/2003
-16.99 3 8/1/1993 10/1/1993
-14.76 1 3/1/2003 3/1/2003
-14.22 5 4/1/2001 8/1/2001
-13.70 2 3/1/2005 4/1/2005
-12.06 1 9/1/2008 9/1/2008
-11.09 2 1/1/1994 2/1/1994
-10.81 2 7/1/1995 8/1/1995
-10.78 1 1/1/2005 1/1/2005
-9.94 1 10/1/1999 10/1/1999
-9.33 3 12/1/1994 2/1/1995
-9.22 2 8/1/2004 9/1/2004
-8.40 1 3/1/1999 3/1/1999
-8.33 1 4/1/1998 4/1/1998
-8.24 1 5/1/1996 5/1/1996
-8.02 2 9/1/2000 10/1/2000
-7.88 2 10/1/1998 11/1/1998
-7.67 2 1/1/1992 2/1/1992
-7.66 1 8/1/1997 8/1/1997
-7.38 1 10/1/2005 10/1/2005
-6.54 1 1/1/2001 1/1/2001
-5.77 2 1/1/2002 2/1/2002
-5.56 2 7/1/1994 8/1/1994
-5.30 1 1/1/1999 1/1/1999
-5.07 1 11/1/2001 11/1/2001
-4.61 1 6/1/1997 6/1/1997
-4.61 2 4/1/2002 5/1/2002
-4.55 1 12/1/1996 12/1/1996
-4.48 1 11/1/2007 11/1/2007
-4.33 1 11/1/1997 11/1/1997
-3.58 1 1/1/1993 1/1/1993
-3.44 1 7/1/1998 7/1/1998
-3.34 1 10/1/1995 10/1/1995
-3.03 1 6/1/1993 6/1/1993
-2.95 1 11/1/2008 11/1/2008
-2.63 1 1/1/2000 1/1/2000
-2.42 1 4/1/1994 4/1/1994
-1.62 1 7/1/1996 7/1/1996
-1.16 1 8/1/1992 8/1/1992
-1.15 1 11/1/1992 11/1/1992
-0.77 1 1/1/2004 1/1/2004
-0.76 1 4/1/1997 4/1/1997
-0.06 1 9/1/2003 9/1/2003
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods206.00204.00201.00195.00189.00183.00171.00159.00147.00
Percent Profitable56.3159.3169.6574.3677.7884.1584.8088.6897.28
Average Period Return2.005.6510.8321.6031.5741.8169.6094.18126.74
Average Gain8.5015.6220.7133.4444.1753.1985.03107.92130.49
Average Loss-6.37-8.89-11.85-12.75-12.52-18.63-16.45-13.45-7.34
Best Period47.8180.12148.42131.37127.85172.15230.52254.46320.18
Worst Period-29.36-45.26-34.04-28.04-39.24-35.31-34.96-31.00-16.94
Standard Deviation10.0116.0822.8331.2837.5043.3462.5471.9789.84
Gain Standard Deviation7.6312.3719.8027.3432.5537.3254.9864.4588.18
Loss Standard Deviation5.437.428.857.6610.7610.2510.219.908.36
Sharpe Ratio (1%)0.190.340.450.660.800.921.061.251.35
Average Gain / Average Loss1.331.761.752.623.532.855.178.0217.78
Profit / Loss Ratio1.722.564.017.6112.3515.1628.8362.84635.77
Downside Deviation (10%)5.737.999.269.8010.7812.2513.3712.668.91
Downside Deviation (5%)5.567.498.357.958.309.148.546.732.39
Downside Deviation (0%)5.527.378.127.517.748.437.515.571.70
Sortino Ratio (10%)0.280.550.901.692.222.584.035.7411.13
Sortino Ratio (5%)0.350.721.242.593.624.357.7913.3950.82
Sortino Ratio (0%)0.360.771.332.884.084.969.2716.9274.53

Top Performer Badges

Index Award Type Rank Performance Period

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