FORT LP

Global Diversified QEP only

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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.

General Information

Inception Date	Mar 2002
Minimum Investment	100,000 USD
Management Fee	2.00%
Performance Fee	20.00%
Highwater Mark	Yes
Phone	+1 301 986 6940
E-mail	[email protected]
Website	www.fortlp.com

Statistics

Total Return Cumulative	505.60%
Sharpe Ratio	0.62
Sortino Ratio	0.98
Winning Months (%)	58.87%
Correlation vs. S&P 500 TR	-0.09

Monthly Performance

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Year
2024	1.26	3.02	1.76										6.15
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	1.76%
Year To Date	6.15%
3 Month ROR	6.15%
12 Months ROR	8.78%
36 Month ROR	-15.15%
Total Return Cumulative	505.60%
Total Return Annualized	8.50%
Best Month	22.59%
Winning Months (%)	58.87%
Gain Deviation	3.52

Risk Statistics

Standard Deviation Annualized	14.97%
Max Drawdown (Monthly)	-33.84%
Max Drawdown Length	45
Worst Month	-14.15%
Losing Months (%)	41.13%
Average Losing Month	-2.76%
Loss Deviation	2.56
Correlation vs S&P 500	-0.09
Correlation vs DJ/CS MF	0.61

Risk/Reward Statistics

Sharpe Ratio	0.62
Sortino Ratio	0.98
Omega Ratio	0.96
Skewness	0.79
Kurtosis	3.85

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	Best	Worst	Average	Median	Last	Winning %
1 Month	22.59%	-14.15%	0.77%	0.53%	1.76%	58.87%
3 Months	43.34%	-16.63%	2.35%	1.50%	6.15%	61.60%
6 Months	53.52%	-20.64%	4.65%	1.89%	0.15%	65.00%
1 Year	98.66%	-23.19%	8.86%	4.75%	8.78%	73.23%
2 Years	107.46%	-23.86%	17.18%	13.37%	-10.83%	80.58%
3 Years	127.58%	-31.84%	27.97%	21.56%	-15.15%	86.09%
5 Years	167.05%	-22.14%	53.93%	49.40%	-19.60%	86.41%

Time Window Analysis

	1 Month	3 Months	6 Months	1 Year	2 Years	3 Years
Annual Compounded Avg	8.50%	27.71%	61.77%	142.88%	419.72%	1187.92%
% Positive	58.87%	61.60%	65.00%	73.23%	80.58%	86.09%
Avg. Pos. Period	3.24%	6.52%	9.89%	14.69%	24.26%	35.27%
Avg. Neg. Period	-2.76%	-4.34%	-5.08%	-7.10%	-12.19%	-17.22%
Sharpe Ratio	0.62	1.03	1.43	1.80	2.37	2.83
Sortino Ratio	0.98	2.03	3.51	5.33	7.99	11.06
Standard Deviation	4.32%	7.90%	11.27%	17.07%	25.10%	34.28%
Downside Deviation	2.41%	3.52%	4.03%	4.99%	6.38%	7.43%

No data filled

Monthly Performance

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Year
2024	1.26	3.02	1.76										6.15
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

Return Statistics

Last Month	1.76%
Year To Date	6.15%
3 Month ROR	6.15%
12 Months ROR	8.78%
36 Month ROR	-15.15%
Total Return Cumulative	505.60%
Total Return Annualized	8.50%
Best Month	22.59%
Winning Months (%)	58.87%
Gain Deviation	3.52

Risk Statistics

Standard Deviation Annualized	14.97%
Max Drawdown (Monthly)	-33.84%
Max Drawdown Length	45
Worst Month	-14.15%
Losing Months (%)	41.13%
Average Losing Month	-2.76%
Loss Deviation	2.56
Correlation vs S&P 500	-0.09
Correlation vs DJ/CS MF	0.61

Risk/Reward Statistics

Sharpe Ratio	0.62
Sortino Ratio	0.98
Omega Ratio	0.96
Skewness	0.79
Kurtosis	3.85

Performance (VAMI)

Fund Manager

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	Best	Worst	Average	Median	Last	Winning %
1 Month	22.59%	-14.15%	0.77%	0.53%	1.76%	58.87%
3 Months	43.34%	-16.63%	2.35%	1.50%	6.15%	61.60%
6 Months	53.52%	-20.64%	4.65%	1.89%	0.15%	65.00%
1 Year	98.66%	-23.19%	8.86%	4.75%	8.78%	73.23%
2 Years	107.46%	-23.86%	17.18%	13.37%	-10.83%	80.58%
3 Years	127.58%	-31.84%	27.97%	21.56%	-15.15%	86.09%
5 Years	167.05%	-22.14%	53.93%	49.40%	-19.60%	86.41%

Time Window Analysis

	1 Month	3 Months	6 Months	1 Year	2 Years	3 Years
Annual Compounded Avg	8.50%	27.71%	61.77%	142.88%	419.72%	1187.92%
% Positive	58.87%	61.60%	65.00%	73.23%	80.58%	86.09%
Avg. Pos. Period	3.24%	6.52%	9.89%	14.69%	24.26%	35.27%
Avg. Neg. Period	-2.76%	-4.34%	-5.08%	-7.10%	-12.19%	-17.22%
Sharpe Ratio	0.62	1.03	1.43	1.80	2.37	2.83
Sortino Ratio	0.98	2.03	3.51	5.33	7.99	11.06
Standard Deviation	4.32%	7.90%	11.27%	17.07%	25.10%	34.28%
Downside Deviation	2.41%	3.52%	4.03%	4.99%	6.38%	7.43%

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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FORT LP - Global Diversified

Minimum Investment	$100,000 fund, $5,000,000 managed account
AUM	666,000,000 USD
Management Fee	2.00%
Performance Fee	20.00%
Highwater Mark	Yes
RT per Million	-
Margin to Equity	12.00%
Legal Structure	Managed Account or Fund
Investment Restriction	Only for Qualified Eligible Persons

Company	FORT LP
Principal	Yves Balcer
Phone	+1 301 986 6940
E-mail	[email protected]
License Number	NFA 297637
Location	United States
Performance Compiled by	NAV Consulting

FORT LP

Global Diversified QEP only

Investment Strategy

Performance (VAMI)

Monthly Returns

Fund Manager

General Information

Statistics

Monthly Performance

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

Return Statistics

Risk Statistics

Risk/Reward Statistics

Drawdown Report

Return Report

Time Window Analysis

Company Information

Company Information

Monthly Performance

Strategy Description

Return Statistics

Risk Statistics

Risk/Reward Statistics

Performance (VAMI)

Fund Manager

Distribution of Monthly Returns

12 Month Rolling ROR

Drawdown Report

Return Report

Time Window Analysis

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

Drawdown

Volatility (12 Months Rolling)

Instruments

AUM