FORT LP

Global Contrarian Program QEP only

Investment Strategy

FORT Global Contrarian uses a systematic trend-anticipatory investment strategy that can trade in over 60 global futures markets across stock indices, bonds, currencies, and commodities. Through the deployment of proprietary trading systems and algorithms, the program strives to anticipate shifts in market direction by identifying price behaviors which may signal turning points in markets. Long or short positions can be initiated while market prices are still moving in the opposite direction. By design, the strategy is usually early in entering and exiting trends. Unlike traditional trend-following strategies, it attempts to “get in early” by capturing performance in the first half of a trend move and also in the noise around a trend.

Performance (VAMI)

Monthly Returns

Fund Manager

Yves Balcer has been a principal of FORT since 1993. From 1985 to 1992 he was a Senior Manager of Investment at the World Bank. During his tenure at the World Bank Dr. Balcer directed the research and implementation of system-based trading strategies in global bond markets. Prior to that he served as Senior Manager for the North American, European and Asian portfolios where he managed teams of professional traders overseeing a multi-billion dollar portfolio in fixed income assets.

From 1977 to 1985 he was a Professor of Economics at the University of Wisconsin in Madison. Dr. Balcer has published more than twenty-five articles on finance and economics in professional journals. He holds a Ph.D in Economics and Finance from Massachusetts Institute of Technology, a Ph.D in Operations Research and a MS in Statistics from Stanford University, and a MS in Mathematics from the Université de Montréal in Canada.


Sanjiv Kumar has been a principal of FORT since 1993. From 1987 to 1992 he was a Senior Manager of Investment at the World Bank. During his tenure at the World Bank Dr. Kumar managed various fixed-income portfolios in all the major currencies.At the time of his departure Dr. Kumar was responsible for investing a multi-billion dollar portfolio in US and Canadian dollar securities.

From 1985 to 1986 Dr. Kumar was a Vice-President of Free Market Inc., a Chicago based economic and financial advisory firm for institutional money managers. Dr.Kumar has a Ph.D in Economics from the University of Chicago and a BA in Mathematicsfrom the University of Delhi in India.

General Information

Inception DateOct 2002
Minimum Investment100,000 USD
Management Fee2.00%
Performance Fee20.00%
Highwater MarkYes
Phone+1 301 986 6940
E-mail[email protected]
Websitewww.fortlp.com

Statistics

Total Return Cumulative 265.17%
Sharpe Ratio 0.57
Sortino Ratio 0.77
Winning Months (%) 60.54%
Correlation vs. S&P 500 TR 0.13

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 1.32 4.67 2.03 5.75 0.38 0.45 15.38
2023 -3.32 5.22 -6.94 0.37 1.92 11.50 0.94 0.13 2.85 0.14 -5.13 -2.88 3.57
2022 -7.51 -3.52 -3.61 -4.31 1.65 -17.06 -5.04 0.00 1.19 1.28 -6.50 1.08 -36.18
2021 -1.58 -2.45 2.12 1.73 1.86 -0.37 1.94 -0.79 -8.51 5.55 -1.32 0.63 -1.84
2020 2.99 -2.05 -4.30 0.70 -0.40 0.87 0.74 -1.38 0.51 -1.84 1.63 1.96 -0.80
2019 2.53 1.55 4.71 1.33 -0.76 3.38 2.34 2.13 -1.02 -2.38 1.16 -0.81 14.85
2018 -0.27 -2.75 0.67 0.59 0.44 1.14 0.81 -0.12 -0.16 -3.49 -1.14 -1.22 -5.47
2017 -0.57 4.40 -0.40 1.07 0.89 -3.60 1.32 2.73 -2.93 3.02 -0.30 1.04 6.56
2016 0.59 3.78 -3.39 -2.53 1.33 4.94 1.15 -0.86 1.19 -3.41 -2.75 1.09 0.72
2015 2.64 -0.16 0.70 -1.98 1.30 -2.36 1.35 -4.43 3.58 1.18 0.65 -3.43 -1.29
2014 0.19 1.61 -0.22 0.78 3.05 0.59 -0.38 3.19 -1.65 2.33 2.59 -0.24 12.36
2013 -0.23 -0.14 2.39 2.52 -3.17 -5.67 2.43 -2.38 4.31 3.20 1.25 -2.39 1.62
2012 2.68 -0.19 -0.98 1.47 -1.01 -1.96 5.50 -2.01 -0.14 -2.58 1.32 0.98 2.83
2011 -3.92 3.44 -1.32 6.70 0.98 -0.10 8.73 4.90 -0.89 -0.39 3.42 4.69 28.70
2010 1.42 5.64 3.02 3.04 1.78 3.76 2.34 7.92 -0.74 -0.72 -3.42 1.26 27.84
2009 -2.48 1.21 3.15 -2.53 -0.18 -0.83 1.48 2.85 4.28 -0.37 6.54 -5.07 7.73
2008 1.12 6.64 0.68 -5.55 -1.88 1.97 -1.31 -5.53 1.62 -7.76 7.22 5.36 1.29
2007 1.87 -0.08 1.52 3.84 1.86 -0.14 -4.37 -5.87 3.17 5.24 -3.27 0.66 3.87
2006 1.93 -0.39 0.10 0.62 -3.51 0.98 0.66 4.63 0.52 1.20 3.05 0.99 11.10
2005 1.25 -0.44 -0.16 1.52 1.78 1.13 0.29 -0.97 1.17 -3.35 4.20 0.79 7.26
2004 0.59 7.13 3.05 -8.70 -1.77 -0.30 2.67 3.39 2.72 4.58 3.12 1.45 18.45
2003 7.21 1.35 1.35 0.04 4.79 0.66 -2.83 -0.95 4.77 -5.02 2.56 9.28 24.74
2002 2.98 -5.01 13.35 10.88
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.
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Monthly Returns

Performance (VAMI)

Distribution of Monthly Returns

12 Month Rolling ROR

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

AUM

Volatility (12 Months Rolling)

Risk/Return Comparison

Drawdown

Instruments

No data filled

Return Statistics

Last Month 0.45%
Year To Date 15.38%
3 Month ROR 6.63%
12 Months ROR 10.66%
36 Month ROR -26.04%
Total Return Cumulative 265.17%
Total Return Annualized 6.14%
Best Month 13.35%
Winning Months (%) 60.54%
Gain Deviation 2.20

Risk Statistics

Standard Deviation Annualized 11.72%
Max Drawdown (Monthly) -42.95%
Max Drawdown Length 43
Worst Month -17.06%
Losing Months (%) 39.08%
Average Losing Month -2.50%
Loss Deviation 2.53
Correlation vs S&P 500 0.13
Correlation vs DJ/CS MF 0.47

Risk/Reward Statistics

Sharpe Ratio 0.57
Sortino Ratio 0.77
Omega Ratio 0.79
Skewness -0.39
Kurtosis 3.49

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -42.95% 43 0 09/2019 -
2 -17.42% 7 13 04/2008 11/2009
3 -10.59% 3 4 04/2004 10/2004
4 -10.11% 3 6 06/2007 02/2008
5 -8.67% 4 9 05/2013 05/2014

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 13.35%-17.06%0.56%0.78%0.45%60.54%
3 Months 23.16%-21.24%1.69%1.72%6.63%67.18%
6 Months 30.86%-30.61%3.16%2.73%15.38%64.06%
1 Year 39.39%-37.31%6.21%6.28%10.66%72.80%
2 Years 66.58%-40.32%12.18%10.46%9.90%81.93%
3 Years 87.47%-41.66%19.96%16.75%-26.04%86.73%
5 Years 111.72%-34.72%38.51%39.91%-24.74%85.64%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg6.14%19.61%38.90%85.55%210.50%515.35%
% Positive60.54%67.18%64.06%72.80%81.93%86.73%
Avg. Pos. Period2.53%4.80%7.74%11.78%19.22%27.50%
Avg. Neg. Period-2.50%-4.68%-5.00%-8.73%-19.71%-29.31%
Sharpe Ratio0.570.971.251.611.942.43
Sortino Ratio0.771.461.952.423.325.01
Standard Deviation3.38%6.04%8.74%13.32%21.80%28.48%
Downside Deviation2.23%3.57%4.92%7.56%10.34%11.30%
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Company Information

Minimum Investment$100,000 fund, $5,000,000 managed account
AUM11,000,000 USD
Management Fee2.00%
Performance Fee20.00%
Highwater MarkYes
RT per Million1200
Margin to Equity11.00%
Legal StructureManaged Account or Fund
Investment RestrictionOnly for Qualified Eligible Persons

Company Information

CompanyFORT LP
PrincipalYves Balcer
Phone+1 301 986 6940
E-mail[email protected]
License NumberNFA 297637
LocationUnited States
Performance Compiled byNAV Consulting

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 1.32 4.67 2.03 5.75 0.38 0.45 15.38
2023 -3.32 5.22 -6.94 0.37 1.92 11.50 0.94 0.13 2.85 0.14 -5.13 -2.88 3.57
2022 -7.51 -3.52 -3.61 -4.31 1.65 -17.06 -5.04 0.00 1.19 1.28 -6.50 1.08 -36.18
2021 -1.58 -2.45 2.12 1.73 1.86 -0.37 1.94 -0.79 -8.51 5.55 -1.32 0.63 -1.84
2020 2.99 -2.05 -4.30 0.70 -0.40 0.87 0.74 -1.38 0.51 -1.84 1.63 1.96 -0.80
2019 2.53 1.55 4.71 1.33 -0.76 3.38 2.34 2.13 -1.02 -2.38 1.16 -0.81 14.85
2018 -0.27 -2.75 0.67 0.59 0.44 1.14 0.81 -0.12 -0.16 -3.49 -1.14 -1.22 -5.47
2017 -0.57 4.40 -0.40 1.07 0.89 -3.60 1.32 2.73 -2.93 3.02 -0.30 1.04 6.56
2016 0.59 3.78 -3.39 -2.53 1.33 4.94 1.15 -0.86 1.19 -3.41 -2.75 1.09 0.72
2015 2.64 -0.16 0.70 -1.98 1.30 -2.36 1.35 -4.43 3.58 1.18 0.65 -3.43 -1.29
2014 0.19 1.61 -0.22 0.78 3.05 0.59 -0.38 3.19 -1.65 2.33 2.59 -0.24 12.36
2013 -0.23 -0.14 2.39 2.52 -3.17 -5.67 2.43 -2.38 4.31 3.20 1.25 -2.39 1.62
2012 2.68 -0.19 -0.98 1.47 -1.01 -1.96 5.50 -2.01 -0.14 -2.58 1.32 0.98 2.83
2011 -3.92 3.44 -1.32 6.70 0.98 -0.10 8.73 4.90 -0.89 -0.39 3.42 4.69 28.70
2010 1.42 5.64 3.02 3.04 1.78 3.76 2.34 7.92 -0.74 -0.72 -3.42 1.26 27.84
2009 -2.48 1.21 3.15 -2.53 -0.18 -0.83 1.48 2.85 4.28 -0.37 6.54 -5.07 7.73
2008 1.12 6.64 0.68 -5.55 -1.88 1.97 -1.31 -5.53 1.62 -7.76 7.22 5.36 1.29
2007 1.87 -0.08 1.52 3.84 1.86 -0.14 -4.37 -5.87 3.17 5.24 -3.27 0.66 3.87
2006 1.93 -0.39 0.10 0.62 -3.51 0.98 0.66 4.63 0.52 1.20 3.05 0.99 11.10
2005 1.25 -0.44 -0.16 1.52 1.78 1.13 0.29 -0.97 1.17 -3.35 4.20 0.79 7.26
2004 0.59 7.13 3.05 -8.70 -1.77 -0.30 2.67 3.39 2.72 4.58 3.12 1.45 18.45
2003 7.21 1.35 1.35 0.04 4.79 0.66 -2.83 -0.95 4.77 -5.02 2.56 9.28 24.74
2002 2.98 -5.01 13.35 10.88
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.

Strategy Description

FORT Global Contrarian uses a systematic trend-anticipatory investment strategy that can trade in over 60 global futures markets across stock indices, bonds, currencies, and commodities. Through the deployment of proprietary trading systems and algorithms, the program strives to anticipate shifts in market direction by identifying price behaviors which may signal turning points in markets. Long or short positions can be initiated while market prices are still moving in the opposite direction. By design, the strategy is usually early in entering and exiting trends. Unlike traditional trend-following strategies, it attempts to “get in early” by capturing performance in the first half of a trend move and also in the noise around a trend.

Return Statistics

Last Month 0.45%
Year To Date 15.38%
3 Month ROR 6.63%
12 Months ROR 10.66%
36 Month ROR -26.04%
Total Return Cumulative 265.17%
Total Return Annualized 6.14%
Best Month 13.35%
Winning Months (%) 60.54%
Gain Deviation 2.20

Risk Statistics

Standard Deviation Annualized 11.72%
Max Drawdown (Monthly) -42.95%
Max Drawdown Length 43
Worst Month -17.06%
Losing Months (%) 39.08%
Average Losing Month -2.50%
Loss Deviation 2.53
Correlation vs S&P 500 0.13
Correlation vs DJ/CS MF 0.47

Risk/Reward Statistics

Sharpe Ratio 0.57
Sortino Ratio 0.77
Omega Ratio 0.79
Skewness -0.39
Kurtosis 3.49

Monthly Returns

Performance (VAMI)

Fund Manager

Yves Balcer has been a principal of FORT since 1993. From 1985 to 1992 he was a Senior Manager of Investment at the World Bank. During his tenure at the World Bank Dr. Balcer directed the research and implementation of system-based trading strategies in global bond markets. Prior to that he served as Senior Manager for the North American, European and Asian portfolios where he managed teams of professional traders overseeing a multi-billion dollar portfolio in fixed income assets.

From 1977 to 1985 he was a Professor of Economics at the University of Wisconsin in Madison. Dr. Balcer has published more than twenty-five articles on finance and economics in professional journals. He holds a Ph.D in Economics and Finance from Massachusetts Institute of Technology, a Ph.D in Operations Research and a MS in Statistics from Stanford University, and a MS in Mathematics from the Université de Montréal in Canada.


Sanjiv Kumar has been a principal of FORT since 1993. From 1987 to 1992 he was a Senior Manager of Investment at the World Bank. During his tenure at the World Bank Dr. Kumar managed various fixed-income portfolios in all the major currencies.At the time of his departure Dr. Kumar was responsible for investing a multi-billion dollar portfolio in US and Canadian dollar securities.

From 1985 to 1986 Dr. Kumar was a Vice-President of Free Market Inc., a Chicago based economic and financial advisory firm for institutional money managers. Dr.Kumar has a Ph.D in Economics from the University of Chicago and a BA in Mathematicsfrom the University of Delhi in India.

Distribution of Monthly Returns

12 Month Rolling ROR

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -42.95% 43 0 09/2019 -
2 -17.42% 7 13 04/2008 11/2009
3 -10.59% 3 4 04/2004 10/2004
4 -10.11% 3 6 06/2007 02/2008
5 -8.67% 4 9 05/2013 05/2014

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 13.35%-17.06%0.56%0.78%0.45%60.54%
3 Months 23.16%-21.24%1.69%1.72%6.63%67.18%
6 Months 30.86%-30.61%3.16%2.73%15.38%64.06%
1 Year 39.39%-37.31%6.21%6.28%10.66%72.80%
2 Years 66.58%-40.32%12.18%10.46%9.90%81.93%
3 Years 87.47%-41.66%19.96%16.75%-26.04%86.73%
5 Years 111.72%-34.72%38.51%39.91%-24.74%85.64%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg6.14%19.61%38.90%85.55%210.50%515.35%
% Positive60.54%67.18%64.06%72.80%81.93%86.73%
Avg. Pos. Period2.53%4.80%7.74%11.78%19.22%27.50%
Avg. Neg. Period-2.50%-4.68%-5.00%-8.73%-19.71%-29.31%
Sharpe Ratio0.570.971.251.611.942.43
Sortino Ratio0.771.461.952.423.325.01
Standard Deviation3.38%6.04%8.74%13.32%21.80%28.48%
Downside Deviation2.23%3.57%4.92%7.56%10.34%11.30%

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

Drawdown

Volatility (12 Months Rolling)

Instruments

AUM

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