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FORT, L.P.

Global Diversified program

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Monthly performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2017-1.79%3.88%-1.29%3.01%0.33%       4.08%
20164.26%7.60%-1.84%-3.77%-0.66%6.86%1.51%-2.59%0.01%-5.60%0.33%1.75%7.20%
20154.86%0.06%1.32%-3.35%-0.14%-3.53%1.00%-3.63%5.20%-1.12%-0.67%-2.76%-3.20%
20141.74%1.54%-1.29%1.11%4.41%0.76%-0.37%3.72%0.26%1.56%4.03%0.24%19.02%
20130.27%-0.66%2.80%3.33%-6.39%-6.40%1.13%-2.62%3.60%3.85%1.20%-4.10%-4.67%
20124.24%-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%
20101.77%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%
20084.21%6.11%0.53%-8.89%0.76%4.83%-4.81%-6.86%0.63%-2.89%10.28%9.25%11.67%
20072.42%-1.21%0.79%4.46%2.66%1.21%-3.92%-5.09%2.55%5.14%0.62%-0.06%9.44%
20060.86%-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%
20040.87%11.48%3.12%-14.15%-0.37%-2.53%1.05%5.18%3.98%7.46%4.40%-0.59%19.15%
20038.73%7.54%-3.22%0.04%10.62%-2.37%-6.44%-4.04%2.01%-7.42%1.39%9.88%15.49%
2002-1.25%1.70%0.35%-2.93%0.53%8.64%15.28%5.32%17.99%-8.65%-8.98%22.59%56.01%
20014.61%3.73%4.77%-9.53%0.34%-1.06%-2.82%4.30%10.04%16.18%-10.21%-4.97%12.90%
20004.49%-3.96%-9.72%-6.38%7.21%-7.47%-0.14%2.05%-2.91%4.25%11.85%12.53%9.24%
1999-3.94%2.85%0.80%3.01%3.41%-0.26%-7.88%2.66%1.46%-6.16%-2.89%1.17%-6.40%
19984.21%-4.22%3.43%-9.90%8.08%-1.34%3.64%8.31%8.53%14.43%-8.41%17.00%48.17%
1997-5.73%2.12%0.33%-4.21%-10.55%-0.04%11.05%-3.23%3.64%3.48%2.25%0.18%-2.34%
1996-4.16%5.85%9.48%14.00%3.33%-4.33%-0.36%3.66%4.73%11.64%1.98%-1.10%52.45%
1995-1.04%5.05%5.49%2.47%16.25%1.52%-4.94%0.18%4.53%-0.56%6.65%2.32%43.26%
19940.01%8.68%6.42%11.93%2.08%-6.29%-5.89%-4.48%-0.29%-0.86%0.24%-0.55%9.71%
1993         0.32%1.42%-4.80%-3.14%

Performance statistics — Oct 1993 to May 2017

Cumulative total return 2694.46%
Annualized compound return 15.11%
Annualized standard deviation 18.43%
Monthly correlation to S&P 500 TRI -0.19
Annualized sharpe ratio (0%) 0.72
Monthly maximum loss (Apr 2004) -14.15%
Maximum drawdown (Jun 1999 - Sep 2000) -26.55%

Annual performance (%) — Oct 1993 to May 2017

Year or YTD FORT, L.P. S&P 500 TRIBTOP50 Index
20174.088.66-2.46
20167.2011.96-4.44
2015-3.201.38-0.92
201419.0213.6912.33
2013-4.6732.390.74
20127.1216.00-1.83
201139.952.11-4.25
201034.4615.066.38
2009-0.4726.46-4.77
200811.67-37.0013.58
20079.445.497.57
20067.5715.795.61
20053.904.912.76
200419.1510.880.86
200315.4928.6815.55
200256.01-22.1013.68
200112.90-11.893.83
20009.24-9.106.60
1999-6.4021.041.64
199848.1728.5813.18
1997-2.3433.3610.85
199652.4522.9611.14
199543.2637.5813.90
19949.711.32-1.02
1993-3.14--

Performance comparison: Growth of $10,000 invested since inception — Oct 1993 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 1993 to May 2017

Underwater curve — Oct 1993 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.

Markets traded

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

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