Methodology

We believe that factors influencing human discretionary decision-making lead to persistent market opportunities for systematic trading strategies. Humans generally have a difficult time analyzing large amounts of data effectively and dispassionately. Human decision-making is strongly influenced by two factors: the most recent experiences and the most adverse. When under stress, humans become irrational and overly risk-averse, missing opportunities for future gains.

These behavioral biases create opportunity for systematic trading models, especially those that are designed to adapt to changes in human behavior.

Our Approach

We design our trading models to be systematic, adaptive, unique, and robust.

Systematic

FORT exclusively designs fully systematic strategies that seek to generate attractive risk adjusted returns over market cycles. FORT relies on its deep experience in the markets and expertise in statistics and mathematics to develop quantitative strategies. All FORT strategies are built to systematically adjust to key factors over time as the world and markets change.

Unique

FORT has a history of approaching complex opportunities from a different perspective. The founders' combination of significant market experience and advanced academic training in economics, statistics, and mathematics has spurred the generation of novel ideas and strategies. FORT's culture celebrates creative research endeavors.

Adaptive

Adaptability is inherent in all of FORT’s strategies. The models shift key factors over time as markets develop and evolve. FORT’s dynamic risk allocation methodology serves as a systematic way to attack the challenge of changing market dynamics faced by all systematic methods. This proprietary methodology continuously shifts the allocation of risk in the strategies to markets and indicators according to a forecast of risk-adjusted profitability.

Robust

Robustness is an essential component of any systematic strategy. FORT has consistently developed models that are focused on the future as opposed to fitting the past. FORT’s focus on statistically robust strategies has resulted in durability of the models over time. FORT seeks to develop strategies that perform with a high degree of stability over time, even in the face of extreme market dynamics.

Research

FORT’s research has always focused on developing strategies that trade liquid products, are uncorrelated to broader equity indices, are fully systematic, are relatively parameter free so as to be robust and adaptable to different market environments, and are uncorrelated to existing FORT strategies.

FORT has a disciplined and structured approach to research, first identifying unique opportunities, then developing strategies to generate attractive risk-adjusted returns around those opportunities. This is accomplished by leveraging FORT’s historical expertise in the application of statistical analysis to complex market structures. Throughout the process there is consistent and robust out-of-sample testing. Individual strategies can take years to develop and perfect before FORT will initiate live trading of the strategy with either proprietary or client capital.

  • Collaborative

    We use a hub-and-spoke model: research ideas are pursued independently, but collectively refined. All members of the staff are encouraged to investigate research opportunities.

  • Rigorous

    Once established as potentially viable, research ideas are rigorously vetted. Back-testing is thorough and verified by independent staff members. Research ideas must be systemized.

  • Focused

    Research is aimed at finding strategies that are uncorrelated with FORT’s existing strategies, as well as broader market indices. We seek intuitive, statistically robust ideas that are likely to persist.

We believe what makes FORT unique is that we do not generally tinker with our models once they are complete. We build them to be self-adaptive in a systematic way and we allow them the freedom to do that. Our research is focused on creating models that complement our existing strategies. This is how our trading systems are designed to evolve: the addition of complementary approaches, rather than by intervening with what’s established.

Yves Balcer