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FORT LP

Global Diversified QEP only

Investment Strategy

Global Diversified Program equally blends the trend following and counter trend programs. FORT’s Global Trend strategy follows identical trading rules, which utilize between one and three specific parameters, across all of the markets it trades. These rules consider a variety of market indicators, such as breakouts (bands or points-and-figure), simple or exponential averages, trend-line regression, Dow theory and Market Profile type frequency distributions. Though the design of the trading system is identical across markets, its actual estimated parameters and rule choices are different for each market. This leads to different trading behaviors in those markets. FORT’s Global Contrarian program also uses the same rules and parameters across the markets, but attempts to buy at market lows and sell at market highs. The levels at which to buy and sell are identified through the analysis of cluster of support and resistance points, which are derived using proprietary analytical tools.

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.

Fund Information

Inception DateMar 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 514.80%
Sharpe Ratio 0.62
Sortino Ratio 0.98
Winning Months (%) 58.67%
Correlation vs. S&P 500 TR -0.09

Monthly Performance

Export Data
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 1.26 3.02 1.76 2.81 0.11 -0.37 -1.33 -0.41 0.75 7.77
2023 -4.09 3.06 -3.90 0.28 -0.47 7.03 -0.31 -0.47 2.48 -0.29 -2.93 -2.53 -2.66
2022 -4.73 -1.93 -1.98 -4.32 -0.05 -9.39 -1.66 -1.08 1.55 3.82 -4.22 1.38 -20.97
2021 -1.31 -3.30 2.44 1.13 1.11 0.07 2.78 -0.70 -5.01 3.10 0.42 1.17 1.58
2020 3.13 -1.39 -11.15 0.95 0.44 0.34 1.70 -1.00 -0.56 -0.73 -0.20 0.76 -8.12
2019 1.87 1.04 5.33 0.25 1.51 4.40 1.53 3.38 -2.87 -3.08 0.89 -0.39 14.38
2018 1.53 -2.07 -0.68 0.29 -0.03 2.70 -1.23 0.06 -0.61 -1.04 1.90 -3.00 -2.30
2017 -1.79 3.88 -1.29 3.00 0.32 -2.60 0.19 2.82 -4.01 1.12 1.47 0.40 3.24
2016 4.26 7.61 -1.84 -3.76 -0.65 6.87 1.53 -2.59 0.01 -5.60 0.32 1.75 7.26
2015 4.86 0.06 1.32 -3.35 -0.14 -3.53 1.00 -3.63 5.20 -1.13 -0.66 -2.76 -3.20
2014 1.74 1.54 -1.29 1.11 4.41 0.76 -0.37 3.72 0.26 1.56 4.03 0.24 19.02
2013 0.27 -0.66 2.80 3.33 -6.39 -6.40 1.13 -2.62 3.60 3.85 1.20 -4.10 -4.67
2012 4.24 -1.95 -1.48 1.91 1.62 -2.48 8.70 -1.71 -0.50 -3.37 0.89 1.64 7.12
2011 -2.75 3.90 -1.45 9.26 1.26 -1.72 13.13 7.57 0.80 -2.54 2.09 5.90 39.95
2010 1.77 7.36 1.97 3.80 4.04 5.01 1.47 10.06 -2.58 0.39 -5.22 2.80 34.46
2009 -1.00 1.06 0.69 -4.89 -0.55 -2.85 0.32 1.82 5.41 -0.91 8.80 -7.38 -0.47
2008 4.21 6.08 0.53 -8.89 0.76 4.83 -4.81 -6.86 0.63 -2.89 10.28 9.25 11.64
2007 2.42 -1.18 0.83 4.46 2.61 0.97 -3.92 -5.09 2.55 5.14 0.62 -0.06 9.20
2006 0.86 -1.28 1.39 1.14 -2.47 0.19 -0.40 4.76 -0.85 -0.25 3.43 1.01 7.57
2005 -0.20 -0.63 1.00 1.13 2.85 3.55 -2.62 0.77 -1.60 -3.52 3.90 -0.50 3.90
2004 0.87 11.48 3.12 -14.15 -0.37 -2.53 1.05 5.18 3.98 7.46 4.40 -0.59 19.15
2003 8.73 7.54 -3.22 0.04 10.62 -2.37 -6.44 -4.04 2.08 -7.42 1.39 9.88 15.57
2002 0.35 -2.93 0.53 8.64 15.28 5.32 17.99 -8.65 -8.98 22.59 55.35
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.
No data filled

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 -
Year To Date 7.77%
3 Month ROR -1.00%
12 Months ROR 1.67%
36 Month ROR -13.16%
Total Return Cumulative 514.80%
Total Return Annualized 8.37%
Best Month 22.59%
Winning Months (%) 58.67%
Gain Deviation 3.50

Risk Statistics

Standard Deviation Annualized 14.82%
Max Drawdown (Monthly) -33.84%
Max Drawdown # of Months 45
Worst Month -14.15%
Losing Months (%) 41.33%
Average Losing Month -2.71%
Loss Deviation 2.55
Correlation vs S&P 500 -0.09
Correlation vs DJ/CS MF 0.60

Risk/Reward Statistics

Sharpe Ratio 0.62
Sortino Ratio 0.98
Omega Ratio 0.95
Skewness 0.81
Kurtosis 3.98

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -33.84% 45 0 09/2019 -
2 -17.16% 5 4 06/2003 02/2004
3 -16.85% 2 1 10/2002 12/2002
4 -16.63% 3 5 04/2004 11/2004
5 -16.62% 7 2 04/2008 12/2008

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 22.59%-14.15%0.76%0.53%0.75%58.67%
3 Months 43.34%-16.63%2.33%1.50%-1.00%61.34%
6 Months 53.52%-20.64%4.66%1.98%1.52%65.79%
1 Year 98.66%-23.19%8.79%4.72%1.67%73.85%
2 Years 107.46%-23.86%16.82%12.74%5.75%80.24%
3 Years 127.58%-31.84%26.86%21.24%-13.16%83.90%
5 Years 167.05%-27.35%51.77%45.36%-24.64%83.96%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg8.37%27.58%62.05%141.84%402.96%1046.38%
% Positive58.67%61.34%65.79%73.85%80.24%83.90%
Avg. Pos. Period3.20%6.49%9.72%14.42%23.89%35.27%
Avg. Neg. Period-2.71%-4.26%-5.08%-7.10%-11.86%-16.95%
Sharpe Ratio0.621.031.451.802.342.69
Sortino Ratio0.982.043.575.377.9010.08
Standard Deviation4.28%7.83%11.15%16.89%24.90%34.53%
Downside Deviation2.39%3.48%3.99%4.93%6.32%7.75%
No data filled

Fund Information

Minimum Investment$100,000 fund, $5,000,000 managed account
AUM84,000,000 USD
Management Fee2.00%
Performance Fee20.00%
Highwater MarkYes
RT per Million -
Margin to Equity12.00%
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

Export Data
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 1.26 3.02 1.76 2.81 0.11 -0.37 -1.33 -0.41 0.75 7.77
2023 -4.09 3.06 -3.90 0.28 -0.47 7.03 -0.31 -0.47 2.48 -0.29 -2.93 -2.53 -2.66
2022 -4.73 -1.93 -1.98 -4.32 -0.05 -9.39 -1.66 -1.08 1.55 3.82 -4.22 1.38 -20.97
2021 -1.31 -3.30 2.44 1.13 1.11 0.07 2.78 -0.70 -5.01 3.10 0.42 1.17 1.58
2020 3.13 -1.39 -11.15 0.95 0.44 0.34 1.70 -1.00 -0.56 -0.73 -0.20 0.76 -8.12
2019 1.87 1.04 5.33 0.25 1.51 4.40 1.53 3.38 -2.87 -3.08 0.89 -0.39 14.38
2018 1.53 -2.07 -0.68 0.29 -0.03 2.70 -1.23 0.06 -0.61 -1.04 1.90 -3.00 -2.30
2017 -1.79 3.88 -1.29 3.00 0.32 -2.60 0.19 2.82 -4.01 1.12 1.47 0.40 3.24
2016 4.26 7.61 -1.84 -3.76 -0.65 6.87 1.53 -2.59 0.01 -5.60 0.32 1.75 7.26
2015 4.86 0.06 1.32 -3.35 -0.14 -3.53 1.00 -3.63 5.20 -1.13 -0.66 -2.76 -3.20
2014 1.74 1.54 -1.29 1.11 4.41 0.76 -0.37 3.72 0.26 1.56 4.03 0.24 19.02
2013 0.27 -0.66 2.80 3.33 -6.39 -6.40 1.13 -2.62 3.60 3.85 1.20 -4.10 -4.67
2012 4.24 -1.95 -1.48 1.91 1.62 -2.48 8.70 -1.71 -0.50 -3.37 0.89 1.64 7.12
2011 -2.75 3.90 -1.45 9.26 1.26 -1.72 13.13 7.57 0.80 -2.54 2.09 5.90 39.95
2010 1.77 7.36 1.97 3.80 4.04 5.01 1.47 10.06 -2.58 0.39 -5.22 2.80 34.46
2009 -1.00 1.06 0.69 -4.89 -0.55 -2.85 0.32 1.82 5.41 -0.91 8.80 -7.38 -0.47
2008 4.21 6.08 0.53 -8.89 0.76 4.83 -4.81 -6.86 0.63 -2.89 10.28 9.25 11.64
2007 2.42 -1.18 0.83 4.46 2.61 0.97 -3.92 -5.09 2.55 5.14 0.62 -0.06 9.20
2006 0.86 -1.28 1.39 1.14 -2.47 0.19 -0.40 4.76 -0.85 -0.25 3.43 1.01 7.57
2005 -0.20 -0.63 1.00 1.13 2.85 3.55 -2.62 0.77 -1.60 -3.52 3.90 -0.50 3.90
2004 0.87 11.48 3.12 -14.15 -0.37 -2.53 1.05 5.18 3.98 7.46 4.40 -0.59 19.15
2003 8.73 7.54 -3.22 0.04 10.62 -2.37 -6.44 -4.04 2.08 -7.42 1.39 9.88 15.57
2002 0.35 -2.93 0.53 8.64 15.28 5.32 17.99 -8.65 -8.98 22.59 55.35
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

Global Diversified Program equally blends the trend following and counter trend programs. FORT’s Global Trend strategy follows identical trading rules, which utilize between one and three specific parameters, across all of the markets it trades. These rules consider a variety of market indicators, such as breakouts (bands or points-and-figure), simple or exponential averages, trend-line regression, Dow theory and Market Profile type frequency distributions. Though the design of the trading system is identical across markets, its actual estimated parameters and rule choices are different for each market. This leads to different trading behaviors in those markets. FORT’s Global Contrarian program also uses the same rules and parameters across the markets, but attempts to buy at market lows and sell at market highs. The levels at which to buy and sell are identified through the analysis of cluster of support and resistance points, which are derived using proprietary analytical tools.

Return Statistics

Last Month -
Year To Date 7.77%
3 Month ROR -1.00%
12 Months ROR 1.67%
36 Month ROR -13.16%
Total Return Cumulative 514.80%
Total Return Annualized 8.37%
Best Month 22.59%
Winning Months (%) 58.67%
Gain Deviation 3.50

Risk Statistics

Standard Deviation Annualized 14.82%
Max Drawdown (Monthly) -33.84%
Max Drawdown # of Months 45
Worst Month -14.15%
Losing Months (%) 41.33%
Average Losing Month -2.71%
Loss Deviation 2.55
Correlation vs S&P 500 -0.09
Correlation vs DJ/CS MF 0.60

Risk/Reward Statistics

Sharpe Ratio 0.62
Sortino Ratio 0.98
Omega Ratio 0.95
Skewness 0.81
Kurtosis 3.98

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 -33.84% 45 0 09/2019 -
2 -17.16% 5 4 06/2003 02/2004
3 -16.85% 2 1 10/2002 12/2002
4 -16.63% 3 5 04/2004 11/2004
5 -16.62% 7 2 04/2008 12/2008

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 22.59%-14.15%0.76%0.53%0.75%58.67%
3 Months 43.34%-16.63%2.33%1.50%-1.00%61.34%
6 Months 53.52%-20.64%4.66%1.98%1.52%65.79%
1 Year 98.66%-23.19%8.79%4.72%1.67%73.85%
2 Years 107.46%-23.86%16.82%12.74%5.75%80.24%
3 Years 127.58%-31.84%26.86%21.24%-13.16%83.90%
5 Years 167.05%-27.35%51.77%45.36%-24.64%83.96%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg8.37%27.58%62.05%141.84%402.96%1046.38%
% Positive58.67%61.34%65.79%73.85%80.24%83.90%
Avg. Pos. Period3.20%6.49%9.72%14.42%23.89%35.27%
Avg. Neg. Period-2.71%-4.26%-5.08%-7.10%-11.86%-16.95%
Sharpe Ratio0.621.031.451.802.342.69
Sortino Ratio0.982.043.575.377.9010.08
Standard Deviation4.28%7.83%11.15%16.89%24.90%34.53%
Downside Deviation2.39%3.48%3.99%4.93%6.32%7.75%

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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Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.