From the March 01, 2011 issue of Futures Magazine • Subscribe!

Top Traders of 2010

FORT: Covering all bases Yves Balcer and Sanjiv Kumar

When you offer two programs, one contrarian and one trend-following, and both programs earn double-digit returns, you are doing something right. Yves Balcer and Sanjiv Kumar have been doing things right for some time while operating commodity trading advisor Fort LP since 1993. The Chevy Chase, Md.-based CTA continues to produce strong non-correlated returns in all of its programs.

In 2010, Fort’s Global Diversified program returned 34.47% and its Global Contrarian program returned 27.85%.

They are not completely non-correlated, as the Global Diversified program is an equal mix of their trend-following and contrarian approaches. The contrarian program was launched in 2002 and has never had a negative year, even in the strong trending year of 2008. Once they launched the contrarian program, they offered it as a standalone and created Global Diversified.

“The contrarian program is trying to make money earlier in the trend,” Kumar says. “There is an overlap; it is contrarian in the short-term. The way it enters and exits is different; it is buying on weakness and selling on strength, looking for short–term reversals. It is still trying to make money in the trends.”

Kumar says that in the intermediate-term the contrarian approach could be in the same moves as their trend-following model, but gets in them earlier. Fort put the two together because it was difficult to compete with the established trend-following programs, despite success in their core trend-following approach. They needed to offer something different.

Both programs are intermediate-term and have a heavier weighting to financial instruments, mainly global interest rates. Putting them together allows Fort to take slightly larger positions in each.

It was the interest rate sector where they had their greatest success in 2010. “The curve is somewhat steep. You do benefit greatly from the steepness of the curve and riding the curve was part of the success last year,” Balcer says. “We made [about] 12% in short-term interest rates, 14% in bonds and 3.5% in FX. We made money everywhere we traded,” Balcer says. “Interest rates kept going down because governments kept printing money.”

They were long the yield curve for most of the year. “Everything has been moving up in the last couple of months, but at the same time the curve has remained very steep because the front-end hardly budged,” Balcer adds.


The two PhDs gained a lot of experience trading fixed income while at the World Bank. They were discretionary traders tinkering with a systematic approach and when they decided to launch their own programs in the early 1990s, they were ready to make the transition to systematic trading. Kumar and Balcer understood that their discretionary fundamental proprietary trading success was partly due to an informational advantage being at a large institution. That advantage would go away once they were on their own.

“It is a slightly different way of looking at the markets. You are not in the middle of that flow of information, so it becomes a lot harder,” Kumar says. “The other problem with discretionary trading is people tend to burn out. It was better for us to be systematic.”

Fort is constantly looking to improve and in 2010 they added a short-term mean reversion system to the Global Diversified program and gave it a weight of 10% with the remainder equally split between contrarian and trending.

The short-term mean reversion program positions average two to five days and only trades equity indexes. In 2010 it did not add to their overall returns, but did reduce the volatility of the program.

“In the long-term it lowers the standard deviation of the program, going forward you will see lower volatility,” Balcer says. Kumar adds, “The returns are non-correlated to both our trend-following and contrarian [models].”

Kumar and Balcer have been managing money on their own for nearly 20 years and they are still making improvements to their systematic models. No burnout in sight.

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