Shopping Cart -

Your cart is currently empty.
Upgrade to today
for only an extra Cxx.xx

You get:

plus This issue of xxxxxxxxxxx.
plus Instant access to the latest issue of 300+ of our top selling titles.
plus Unlimited access to 26000+ back issues
plus No contract or commitment. If you decide that PocketmagsPlus is not for you, you can cancel your monthly subscription online at any time. Auto-renews at €10,99 per month, unless cancelled.
Upgrade Now for €10,99 Learn more
This website use cookies and similar technologies to improve the site and to provide customised content and advertising. By using this site, you agree to this use. To learn more, including how to change your cookie settings, please view our Cookie Policy
Pocketmags Digital Magazines
Pocketmags Digital Magazines
   You are currently viewing the Italy version of the site.
Would you like to switch to your local site?
Leggi ovunque Read anywhere
Modalità di pagamento Pocketmags Payment Types
Trusted site
A Pocketmags si ottiene
Fatturazione sicura
Ultime offerte
Web & App Reader
Loyalty Points


26 years of adaptation and outperformance


(L-R): Dr Sanjiv Kumar and Dr Yves Balcer

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).

Table 1

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.

The limits of statistics

The doctoral research was less formative than the real world experience however. Some systematic and quantitative firms set great store by using the latest and most advanced statistical techniques, but Kumar thinks that the defining quality of FORT’s model-building mind-set is adaptation rather than statistical methods. “Our PhDs provided a useful foundation of knowledge and broad training in maths, stats and economics that was critical in starting the company. But we also realise the limits of this knowledge – you must know what you don’t know,” says Kumar.

Purchase options below
Find the complete article and many more in this issue of The Hedge Fund Journal - Issue 125 - August 2017
If you own the issue, Login to read the full article now.
Single Issue - Issue 125 - August 2017
Or 12999 points
Getting free sample issues is easy, but we need to add it to an account to read, so please follow the instructions to read your free issue today.
Email Address
6 Month Digital Subscription
Only € 140,00 per issue
Or 69999 points

View Issues

About The Hedge Fund Journal

Informing the Hedge Fund Community. With access to some of the industry’s biggest names and an astute and talented group of writers and contributors, The Hedge Fund Journal has established itself as a trusted source of information on the hedge fund industry.