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Equinox Funds/ FORT - Contrarian

FORT, L.P.

Global Contrarian program

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Monthly performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2017-0.57%4.40%-0.40%1.07%0.90%       5.44%
20160.59%3.78%-3.39%-2.53%1.33%4.99%1.15%-0.87%1.20%-3.42%-2.74%1.09%0.77%
20152.64%-0.16%0.70%-1.98%1.28%-2.34%1.35%-4.43%3.58%1.13%0.65%-3.43%-1.34%
20140.19%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%
20122.68%-0.19%-0.98%1.47%-1.01%-1.96%5.50%-2.01%-0.14%-2.58%1.32%0.96%2.81%
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%
20101.42%5.64%3.02%3.05%1.78%3.76%2.34%7.92%-0.74%-0.72%-3.42%1.25%27.84%
2009-2.48%1.21%3.15%-2.53%-0.18%-0.83%1.47%2.85%4.28%-0.37%6.54%-5.05%7.74%
20081.13%6.64%0.68%-5.55%-1.88%1.97%-1.31%-5.53%1.62%-7.76%7.22%5.36%1.30%
20071.87%0.01%1.43%3.84%1.86%-0.14%-4.37%-5.87%3.17%5.26%-3.30%0.65%3.85%
20061.93%-0.39%0.10%0.62%-3.51%0.98%0.66%4.63%0.52%1.20%3.05%0.99%11.10%
20051.25%-0.44%-0.16%1.52%1.78%1.13%0.29%-0.97%1.17%-3.35%4.20%0.79%7.26%
20040.59%7.13%3.05%-8.70%-1.77%-0.30%2.67%3.39%2.72%4.58%3.12%1.45%18.45%
20037.21%1.35%1.35%0.03%4.79%0.66%-2.83%-0.95%4.77%-5.02%2.56%9.28%24.73%
2002         2.98%-5.01%13.35%10.88%

Performance statistics — Oct 2002 to May 2017

Cumulative total return 347.97%
Annualized compound return 10.77%
Annualized standard deviation 11.19%
Monthly correlation to S&P 500 TRI 0.07
Annualized sharpe ratio (0%) 0.86
Monthly maximum loss (Apr 2004) -8.70%
Maximum drawdown (Apr 2008 - Oct 2008) -17.42%

Annual performance (%) — Oct 2002 to May 2017

Year or YTD FORT, L.P. S&P 500 TRIBTOP50 Index
20175.448.66-2.46
20160.7711.96-4.44
2015-1.341.38-0.92
201412.3613.6912.33
20131.6232.390.74
20122.8116.00-1.83
201128.702.11-4.25
201027.8415.066.38
20097.7426.46-4.77
20081.30-37.0013.58
20073.855.497.57
200611.1015.795.61
20057.264.912.76
200418.4510.880.86
200324.7328.6815.55
200210.88--

Performance comparison: Growth of $10,000 invested since inception — Oct 2002 to May 2017

This chart represents a hypothetical investment of $10,000 at the time of the strategy’s inception and is not intended to imply an actual investment. Hypothetical returns do not assume the reinvestment of dividends and income.

Monthly returns — Jun 2007 to May 2017

Distribution of monthly returns — Oct 2002 to May 2017

Underwater curve — Oct 2002 to May 2017

 

†See glossary for index descriptions and definitions of terms.

Investors cannot directly invest in an index, unmanaged index returns do not reflect any fees, expenses, or sales charges.

EASP656

Company background

Founded by Drs. Yves Balcer and Sanjiv Kumar in January 1993, where they remain today as principals. FORT became registered as a commodity trading advisor, NFA member and commodity pool operator in October of 1999.

Investment goal

FORT's goal is to generate the highest quality of risk-adjusted returns.   Capital is allocated dynamically over time frames, models and markets (contracts) based on a statistical learning process. This learning process tends to favor winners and losers for an allocation, while shying away from average performers (time frame, models and markets).

Markets traded

Interest rates, currencies, equity indices, energy, precious metals

Strategy

FORT’s goal is to generate the highest quality of risk-adjusted returns for its clients. FORT’s Contrarian strategy is a technical, fully systematic, trend-anticipation strategy that tries to capture performance around trends in a novel way. Traditional trend-following strategies are usually late to enter and late to exit because they must wait for confirmation of a trend to enter or exit their positions. By design, the Contrarian strategy is usually early in entering and exiting trends.

The strategy systematically tries to identify price behaviors that signal turning points in the markets and then takes positions in those markets while the price is still moving in the opposite direction.  In addition to capturing a fundamentally different part of the trend movement from traditional trend-followers, this system design allows the Contrarian strategy to perform better than traditional trend-followers in choppy markets because it also captures performance in shorter-term market movements, or noise, around the trend. The strategy is constructed to be statistically robust which enables it to perform well over the long-term.

Capital is allocated dynamically over time frames, models and markets (contracts) based on a statistical learning process. This learning process tends to favor winners and losers for an allocation, while shying away from average performers (time frame, models and markets). The selection process uses Bayesian statistical techniques, where FORT’s prior is the statistical prediction of the past. Thus, the strategy evolves incrementally each day. 

Key personnel

Dr. Yves Balcer, Ph.D., Principal — Dr. 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 last two years 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.

Between September 1987 and April 1988 Dr. Balcer took a short leave from the World Bank to serve as Director of Research and Arbitrage at Midland-Montagu Securities. From 1977 to 1985 he was a Professor of Economics at the University of Wisconsin. 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.

Dr. Sanjiv Kumar, Ph.D., Principal — Dr. 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 large 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 Mathematics from the University of Delhi.

 

†See glossary for index descriptions and definitions of terms.

Investors cannot directly invest in an index, unmanaged index returns do not reflect any fees, expenses, or sales charges.

EASP656