approach

Core Principles

SYSTEMATIC

Systematic

Trade signal generation, execution, and risk allocation are systematic at FORT. The objective is to remove all possible judgmental or emotional biases from the investment process and to take advantage of flaws in human behavior to systematically and consistently extract alpha from markets.

UNCORRELATED

Seeks to have low correlation with equity markets.

By designing strategies that trade a wide range of asset classes and securities, both from the long and short side, FORT has consistently achieved an uncorrelated absolute return profile. FORT’s models aim to achieve equity-like returns with low or negative correlation to traditional asset classes.

ADAPTIVE

Statistical machine learning is at the core of FORT’s adaptive process.

FORT applies a structured learning technique, rooted in Bayesian concepts, to dynamically shift risk across markets, trading parameters, and models. This approach allows FORT’s strategies to be dynamic and take advantage of changing market opportunities.

LIQUID

Emphasis on the most liquid global markets.

FORT trades the most liquid futures contracts with a focus on financial markets and commodities. FORT also trades approximately 1500 of the most liquid single U.S. listed equity names. This focus allows the firm to maintain a highly liquid profile and offer high levels of liquidity to investors.

Research

Research constitutes the cornerstone of the investment process at FORT. The firm has organized research across Strategy, Office of the CIO, Execution, Risk Analytics, and Data Management. Strategy Research and the Office of the CIO are key to alpha production and work closely with the CIOs and the IT software development team to conduct research on new trading strategies and improvements to existing strategies. Trade Execution Research performs research and testing to continuously improve FORT’s execution and trading processes. Risk Analytics is responsible for monitoring risk metrics daily and providing daily analytics to the strategy research and Office of the CIO teams. Data Management seeks to assure that all data input used in production at the firm is accurate and clean.  Together these research functions work to produce strategies consistent with FORT’s investment philosophy.

Quantitative Futures

FORT’s quantitative approach to the futures markets includes the following strategies:

Trend Following

Trend Following Program is a trend-following trading strategy designed to capture medium- to long-term trends in global futures markets using FORT’s adaptive methodology.

Trend-following seeks to profit from long-term price trends, using a wide range of technical indicators. The strategy seeks to identify both positive and negative trends in market prices across a broad spectrum of futures contracts in the global markets. FORT’s adaptive process shifts risks across models, markets, and holding periods to optimize risk allocation.

trend anticipation

Trend-Anticipation is a trend-based strategy which seeks to participate in medium- to long-term trends as well as profit from volatility around the trends. The strategy seeks to anticipate trends in the markets and uses FORT’s Bayesian statistical learning technique to shift risk across markets and parameter combinations.

Trend-Anticipation seeks to profit in both trending and non-trending markets and it is usually early in entering and exiting trends. Investors often include Contrarian to complement a trend portfolio as it has produced trend like returns with low correlation. 

QUANTITATIVE EQUITIES

FORT Equity Market Neutral is a quantitative market neutral strategy designed to identify stocks that are likely to outperform the broader market over a longer term time horizon.

FORT utilizes a quantitative approach to identify attractively priced, high quality companies and uses a mix of proprietary fundamental and technical signals. EMN invests in the U.S. equity markets on a hedged basis, which is designed to produce low beta exposure to the market. The Stock selection process along with FORT’s proprietary adaptive process produces a portfolio with dynamic sector exposure that shifts risks over time. The program employs a longer-term holding period and seeks to produce long-term gains and short-term losses which provides additional benefits to U.S. taxable investors.

QUANTITATIVE MULTI-STRATEGY

FORT also employs multi-strategy programs that combine the quantitative futures strategies together with and without the quantitative equity strategy.

The multi-strategy quantitative programs seek to generate attractive risk-adjusted returns for clients over a market cycle. They are designed to produce stable, diversifying returns by combining low correlated strategies that are both divergent and convergent.