Among CTAs, Washington DC area and New York-based FORT is highly unusual in that its absolute performance since 2008 has been very similar to its numbers in the 15 years from 1993 to 2008, when expressed as a spread over risk free rates. This persistent outperformance has propelled the strategy’s returns further ahead of the SG CTA index (of which FORT Global Contrarian has been a constituent since 2016). What is more distinctive is that FORT’s absolute risk-adjusted returns have actually been higher post-crisis than pre-crisis. “It cannot just be luck to have outperformed the CTA index on average for more than 20 years,” says co-founder, Dr Sanjiv Kumar. Part of the superior returns are attributable to FORT’s somewhat differentiated trend following strategies having outpaced most others, but FORT has also developed trend-anticipating and non-trend strategies that contribute to its various multi-strategy offerings. A summary of the standard program suite is shown in Table 1 (other combinations can be customised).
Though FORT’s strategies are 100% systematic and quantitative, Kumar argues that the founders’ heritage in discretionary macro provides a different perspective from the mainly Chicago-oriented exchanges and brokerages that spawned many CTAs. Kumar, and co-founder Dr Yves Balcer, managed $25 billion fixed income portfolios for the World Bank, employing a discretionary macro approach. A background in academia is another differentiator, as both founders pursued PhDs before moving into portfolio management.