May 2018 Program Commentary

Transcription

1 May 2018 Program Commentary FORT Global UCITS Diversified Fund Month-to-Date Year-to-Date Ann. Since Inception FORT Global UCITS Diversified Fund USD Class B -0.34% -0.76% 3.18% FORT Global UCITS Diversified Fund EUR Class B -0.51% -1.70% 0.68% Attribution Futures Strategy Components The futures portion of the program contributed approximately 35 basis points to the overall performance before fees and expenses. The best-performing sectors for the month were bonds and interest rates. The two best-performing regions for the month were the United States and Europe. The two worst-performing sectors for the month were currencies and equity indices. The two worstperforming regions for the month were Asia and emerging markets. Attribution Value Market Neutral The value market neutral portion of the program contributed approximately -76 basis points to the overall performance before fees and expenses. FORT Global UCITS Contrarian Fund Month-to-Date Year-to-Date Ann. Since Inception FORT Global UCITS Contrarian Fund USD Class B* 0.50% -1.83% 3.40% FORT Global UCITS Contrarian Fund EUR Class B* 0.29% -2.79% 2.22% Attribution The best-performing sectors for the month were bonds and equity indices. The two best-performing regions for the month were the Commonwealth countries and emerging markets. The two worst-performing sectors for the month were currencies and interest rates. The two worst-performing regions for the month were Asia and the United States.

2 FORT Global UCITS Futures Fund Month-to-Date Year-to-Date Ann. Since Inception FORT Global UCITS Futures USD Class S 0.78% -3.84% -5.77% Attribution The best-performing sectors for the month were bonds and interest rates. The two best-performing regions for the month were the United States and the Commonwealth countries. The two worst-performing sectors for the month were currencies and emerging markets. The two worst-performing regions for the month were Asia and emerging markets. FORT Global UCITS Trend Fund Month-to-Date Year-to-Date Ann. Since Inception FORT Global UCITS Trend Euro Class S 0.77% -1.63% -3.31% Attribution The best-performing sectors for the month were bonds and equity indices. The two best-performing regions for the month were the United States and Europe. The two worst-performing sectors for the month were emerging markets and currencies. The two worstperforming regions for the month were the Commonwealth countries and emerging markets. Research Update As a result of our continued research efforts we are excited to announce several updates to FORT s Value Market Neutral program. The program will incorporate additional factors and indicators and will significantly increase the number of positions held by the portfolio to include hundreds of single-name U.S. equities. The program will also utilize FORT s proprietary adaptive risk model to allocate risk across factors. We believe within the VMN program, these updates will moderately improve absolute returns and significantly reduce volatility and drawdown potential resulting in substantial improvements to the Value Market Neutral program s risk-adjusted returns. Within the Global Diversified program, the Value Market Neutral allocation will remain the same. The updates will be phased in over 52 weeks and therefore will retain its tax efficient characteristics, aiming to capture longterm tax gains and short-term tax losses.

3 FORT Global UCITS Diversified Fund Assets Under Management and Share Value fund value: 173,211,831 EUR Class A USD Class A EUR Class B USD Class B CHF Class B EUR Class C EUR Class R Estimated NAV as of: Official NAV as of: Firm Description % % % % Portfolio & Attribution** US Asia Risk Allocation Interest Rates 2.9% 19% Equity Indices Bond 2.4% Currencies 2.5% 30% Equity Indices 21.9% Europe Jan Interest Rates 3.6% Bond 5.7% Currencies 0.9% 9.1% Interest Rates 0.0% Bond 1.3% Currencies 0.6% 4% Equity Indices 1.6% Interest Rates 2.9% Commonwealth Bond 2.9% Currencies 0.8% 10% Equity Indices 3.4% 4.1% Value Market Neutral 33.0% Position as Percentage of Maximum *Includes performance estimates for periods subsequent to latest official NAV date (). US Europe Asia **The above returns reflect reinvestment of all income and transaction costs but do not reflect the deduction of any expenses or advisory fees. BrightGate Capital SGIIC Genova Madrid brightgate@brightgatecapital.com, % 4.46% 7.31% -1.76% Commonwealth Other VMN Important Information and Disclosures Returns are net of expenses, transaction costs, and fees, including a 1% per annum monthly management fee and a 20% quarterly profit allocation, unless otherwise indicated. All returns are presented in respective class currency. Returns may increase or decrease as a result of currency fluctuations. There can be no assurance that the FORT Global UCITS Diversified Fund will achieve its objective or avoid incurring substantial or total losses. Feb Mar Apr May $ 1, , $ 1, fr $ 1, , $ 1, May Jun Jul Aug Sep Oct Nov Jun Jul Aug Sep Oct Nov Dec FORT is an investment management firm founded by Dr. Yves Balcer and Dr. Sanjiv Kumar in Prior to founding FORT, Drs. Balcer and Kumar held senior portfolio management roles at the World Bank, where they managed a $25 billion global bond portfolio. FORT currently has over 50 professionals based in the Washington, D.C. area and New York City. Global Diversified Description Global Diversified is a systematic multi-strategy trading program. It invests in U.S. cash equities and trades a spectrum of futures contracts in the global markets that includes: interest rates, bonds, currencies, and equity indices. Global Diversified is a proprietary blend of four strategies as follows: (i) trend-following; (ii) trend-anticipating (Global Contrarian); (iii) mean reversion; and (iv) Value Market Neutral. The addition of each of these components is designed to reduce the volatility of returns. Global Diversified is also designed to have a low correlation with broad equity indices. Global Diversified dynamically and systematically shifts risk allocations among asset classes and underlying parameter choices. EUR Track Record (Class B)* USD Track Record (Class B)* Jan Feb Mar Apr -100% -50% 0% 50% 100% 0.60% 0.40% 0.20% 0.00% -0.20% -0.40% -0.60% 3.50% 3.00% 2.50% 2.00% 1.50% 1.00% 0.50% 0.00% -0.50% -1.00% -1.50% fr Attributions MTD Attributions YTD Dec

4 Global UCITS Diversified Fund Attributions Month-to-Date Futures Strategies VMN Interest Rates Bonds Currencies Equity Indices Long (Stocks) Short (Hedge) FX (Hedge) United States Europe Asia Commonwealth VMN Year-to-Date Futures Strategies VMN Interest Rates Bonds Currencies Equity Indices Long (Stocks) Short (Hedge) FX (Hedge) United States Europe Asia Commonwealth VMN *The above returns reflect reinvestment of all income and dividends and transaction costs but do not reflect the deduction of any expenses or advisory fees.

5 Largest Futures Holdings Global UCITS Diversified Ranked by Margin (percent of Capital) CME NASDAQ 100 LONG 0.56% CME S&P 500 e-mini SHORT 0.47% LIF Euribor LONG 0.44% EUX DAX LONG 0.36% EUX EURO STOXX 50 LONG 0.33% EOP CAC 40 LONG 0.28% EUX Bund LONG 0.27% HKG Hang Seng LONG 0.24% CBT DJIA mini LONG 0.22% CME USD - EUR SHORT 0.21% Ranked by Number of Contracts (per million dollars of assets) Global UCITS Diversified LIF Euribor LONG 19.3 LIF Three-Month Short Sterling LONG 5.0 EUX EURO STOXX 50 LONG 1.2 CME Three-Month Eurodollar SHORT 1.0 EUX Bund LONG 1.0 CME USD - EUR SHORT 0.9 CME NASDAQ 100 LONG 0.9 CME S&P 500 e-mini SHORT 0.8 MSE Three-Month Canadian Banke LONG 0.6 EOP CAC 40 LONG 0.5

6 FORT Global UCITS Contrarian Fund Assets Under Management fund value: 489,435,490 EUR Class A USD Class A EUR Class B USD Class B EUR Class C USD Class C EUR Class I USD Class I Estimated NAV as of: Official NAV as of: 1, $ 1, , $ 1, Firm Description includes: interest rates, bonds, currencies, and equity indices in the global markets. EUR Track Record (Class B)* Jan Feb Mar Apr May % % % % % USD Track Record (Class B)* Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec % % % % % Portfolio & Attribution** US 29% Equity Indices 15.2% Europe 34% Equity Indices 18.8% Asia Risk Allocation Interest Rates 3.6% Bond 3.9% Currencies 6.4% Interest Rates 4.1% Bond 9.8% Currencies 1.6% Interest Rates 0.0% Bond 1.2% Currencies 1.5% 6% Equity Indices 3.4% Interest Rates 8.6% Commonwealth Bond 7.4% Currencies 2.5% 25% Equity Indices 6.3% 5.7% *Includes performance estimates for periods subsequent to latest official NAV date (). **The above returns reflect reinvestment of all income and transaction costs but do not reflect the deduction of any expenses or advisory fees. Important Information and Disclosures 1, $ 1, , $ 1, , $ 1, Position as Percentage of Maximum Jun Jul Aug Sep Oct Nov US Europe Asia Commonwealth For the period July 9, 2014 through Oct. 24, 2014, returns are for Class A and reflect deductions of a 2% per annum monthly management fee and no quarterly profit allocation. All other returns are net of expenses, transaction costs, and fees, including a 1% per annum monthly management fee and a 20% quarterly profit allocation, unless otherwise indicated. All returns are presented in respective class currency. Returns may increase or decrease as a result of currency fluctuations. There can be no assurance that the FORT Global UCITS Contrarian Fund will achieve its objective or avoid incurring substantial or total losses. BrightGate Capital SGIIC Genova Madrid brightgate@brightgatecapital.com, , $ 1, , $ 1, , $ 1, FORT is an investment management firm founded by Dr. Yves Balcer and Dr. Sanjiv Kumar in Prior to founding FORT, Drs. Balcer and Kumar held senior portfolio management roles at the World Bank, where they managed a $25 billion global bond portfolio. FORT currently has over 50 professionals based in the Washington, D.C. area and New York City. Global Contrarian Description Global Contrarian is a systematic, trend-anticipating trading program that seeks to capitalize on medium to long-term trends. Its typical holding period is between 2 and 8 weeks. Unlike trendfollowing programs that attempt to identify existing trends, Global Contrarian attempts to anticipate trends by identifying price behaviors that signal possible turning points. Global Contrarian is not a counter-trend program; it is designed to purchase as prices decline toward support levels and sell as prices rise toward resistance levels. Global Contrarian dynamically and systematically shifts risk allocations among asset classes and underlying parameter choices. As employed by FORT Global UCITS Contrarian Fund, it trades a spectrum of futures contracts that -100% -50% 0% 50% 100% 1.00% Attributions MTD 0.80% 0.60% 0.40% 0.20% 0.00% -0.20% -0.40% -0.60% 1.20% 1.00% 0.80% 0.60% 0.40% 0.20% 0.00% -0.20% -0.40% -0.60% -0.80% -1.00% -1.20% -1.40% -1.60% Attributions YTD Dec Other

7 Global UCITS Contrarian Fund Attributions Month-to-Date Interest Rates Bonds Currencies Equity Indices United States Europe Asia Commonwealth Year-to-Date Interest Rates Bonds Currencies Equity Indices United States Europe Asia Commonwealth *The above returns reflect reinvestment of all income and transaction costs but do not reflect the deduction of any expenses or advisory fees.

8 Largest Futures Holdings Global UCITS UCITS Contrarian Ranked by Margin (percent of Capital) EUX EURO STOXX 50 LONG 0.52% EOP CAC 40 LONG 0.49% EUX DAX LONG 0.43% CME NASDAQ 100 LONG 0.37% LIF Three-Month Short Sterling LONG 0.35% LIF Euribor LONG 0.30% CME Three-Month Eurodollar SHORT 0.22% LIF FTSE 100 LONG 0.22% HKG Hang Seng LONG 0.21% CBT DJIA mini LONG 0.20% Ranked by Number of Contracts (per million dollars of assets) Global UCITS UCITS Contrarian LIF Euribor LONG 13.9 CME Three-Month Eurodollar SHORT 6.4 LIF Three-Month Short Sterling LONG 5.4 EUX EURO STOXX 50 LONG 1.8 MSE Three-Month Canadian Banke LONG 1.8 SFE ASX 90-Day Bank Bill LONG 1.5 EUX Bobl LONG 1.4 CBT US Five-Year SHORT 1.4 EOP CAC 40 LONG 1.0 SGX MSCI Taiwan LONG 0.9

9 FORT Global UCITS Futures Fund Assets Under Management and Share Value fund value: 9,655,570 USD Class S Estimated NAV as of: $ Official NAV as of: $ Firm Description FORT is an investment management firm founded by Dr. Yves Balcer and Dr. Sanjiv Kumar in Prior to founding FORT, Drs. Balcer and Kumar held senior portfolio management roles at the World Bank, where they managed a $25 billion global bond portfolio. FORT currently has over 50 professionals based in the Washington, D.C. area and New York City. Global Futures Description FORT Global Futures is a systematic multi-strategy trading program. It trades a spectrum of futures contracts in the global markets that includes: interest rates, bonds, currencies and equity indices. Global Futures is a proprietary blend of three strategies with dates of implementation as follows: (i) trend-following (inception); (ii) trend-anticipating (Global Contrarian, Oct. 2002); and (iii) mean reversion (Dec. 2009). The addition of each of these components is designed to reduce the volatility of returns. FORT Global Futures is also designed to have a low correlation with broad equity indices. FORT Global Futures dynamically and systematically shifts risk allocations among asset classes and underlying parameter choices. USD Track Record (Class S)* 2017 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec % -1.03% Portfolio & Attribution** Risk Allocation Interest Rates 4.4% US Bond 3.7% Currencies 3.8% 44% Equity Indices 32.1% Interest Rates 5.6% Europe Bond 8.6% Currencies 1.4% 30% Equity Indices 14.0% Interest Rates 0.0% Position as Percentage of Maximum 0.80% 0.60% 0.40% 0.20% 0.00% -0.20% -0.40% -0.60% 1.00% Attributions MTD Attributions YTD Asia Bond 2.0% 0.50% Currencies 0.9% 0.00% 5% Equity Indices 2.2% Interest Rates 4.5% Commonwealth Bond 4.5% Currencies 1.2% -0.50% -1.00% -1.50% 15% Equity Indices 4.6% -2.00% 6% Emg. 6.2% US Europe Asia Commonwealth Other -100% -50% 0% 50% 100% *Includes performance estimates for periods subsequent to latest official NAV date (). **The above returns reflect reinvestment of all income and transaction costs but do not reflect the deduction of any expenses or advisory fees. Important Information and Disclosures Returns are net of expenses, transaction costs, and fees, including a 1% per annum monthly management fee and a 20% quarterly profit allocation, unless otherwise indicated. All returns are presented in respective class currency. Returns may increase or decrease as a result of currency fluctuations. There can be no assurance that the FORT Global UCITS Futures Fund will achieve its objective or avoid incurring substantial or total losses. BrightGate Capital SGIIC Genova Madrid brightgate@brightgatecapital.com,

10 Global UCITS Futures Fund Attributions Month-to-Date Interest Rates Bonds Currencies Equity Indices United States Europe Asia Commonwealth Year-to-Date Interest Rates Bonds Currencies Equity Indices United States Europe Asia Commonwealth *The above returns reflect reinvestment of all income and transaction costs but do not reflect the deduction of any expenses or advisory fees.

11 Largest Futures Holdings Global UCITS Futures Ranked by Margin (percent of Capital) CME NASDAQ 100 LONG 0.84% LIF Euribor LONG 0.69% CME S&P 500 e-mini SHORT 0.65% EUX DAX (mini) LONG 0.56% EUX Bund LONG 0.47% EUX EURO STOXX 50 LONG 0.42% EOP CAC 40 LONG 0.40% HKG Hang Seng (mini) LONG 0.37% CME USD - EUR SHORT 0.36% CBT DJIA mini LONG 0.33% Ranked by Number of Contracts (per million dollars of assets) Global UCITS Futures LIF Euribor LONG 30.1 LIF Three-Month Short Sterli LONG 7.5 CME Three-Month Eurodollar SHORT 2.3 EUX Bund LONG 1.7 CME USD - EUR SHORT 1.6 EUX EURO STOXX 50 LONG 1.5 CME NASDAQ 100 LONG 1.3 EUX DAX (mini) LONG 1.0 CME S&P 500 e-mini SHORT 1.0 HKG Hang Seng (mini) LONG 1.0

12 FORT Global UCITS Trend Fund Assets Under Management and Share Value fund value: 8,093,180 EUR Class S EUR Class B Estimated NAV as of: , Official NAV as of: , Firm Description FORT is an investment management firm founded by Dr. Yves Balcer and Dr. Sanjiv Kumar in Prior to founding FORT, Drs. Balcer and Kumar held senior portfolio management roles at the World Bank, where they managed a $25 billion global bond portfolio. FORT currently has over 50 professionals based in the Washington, D.C. area and New York City. Global Trend Description Global Trend is a systematic trend-following trading program designed to capture medium to long-term trends in global futures markets. The program is comprised of several sub-strategies, each designed to capture trends in different market environments. The program trades a spectrum of futures contracts globally including: interest rates, bonds, currencies and equity indices. Global Trend utilizes a Bayesian adaptation methodology to dynamically shift risk across sub-strategies, underlying parameter/speed combinations, and asset classes. EUR Track Record (Class S)* Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec % -1.16% Portfolio & Attribution** US Risk Allocation Interest Rates 8.8% Bond 6.3% Position as Percentage of Maximum 0.60% 0.40% Attributions MTD Currencies 3.7% 0.20% 39% Equity Indices 19.7% Interest Rates 11.1% Europe Bond 14.0% 0.00% -0.20% Currencies 2.2% 35% Equity Indices 7.3% Interest Rates 0.0% -0.40% 0.60% Attributions YTD Asia Bond 4.5% 0.40% Currencies 0.8% 0.20% 6% Equity Indices 0.5% 0.00% Interest Rates 3.6% -0.20% Commonwealth Bond 4.4% -0.40% Currencies 0.7% -0.60% 11% Equity Indices 2.3% -0.80% 10% Emg. 10.1% US Europe Asia Commonwealth Other -100% -50% 0% 50% 100% *Includes performance estimates for periods subsequent to latest official NAV date (). **The above returns reflect reinvestment of all income and transaction costs but do not reflect the deduction of any expenses or advisory fees. Important Information and Disclosures Returns are net of expenses, transaction costs, and fees, including a.9% per annum monthly management fee and a 0% quarterly profit allocation, unless otherwise indicated. All returns are presented in respective class currency. Returns may increase or decrease as a result of currency fluctuations. There can be no assurance that the FORT Global UCITS Trend Fund will achieve its objective or avoid incurring substantial or total losses. BrightGate Capital SGIIC Genova Madrid brightgate@brightgatecapital.com,

13 Global UCITS Trend Fund Attributions Month-to-Date Interest Rates Bonds Currencies Equity Indices United States Europe Asia Commonwealth Year-to-Date Interest Rates Bonds Currencies Equity Indices United States Europe Asia Commonwealth *The above returns reflect reinvestment of all income and transaction costs but do not reflect the deduction of any expenses or advisory fees.

14 Largest Futures Holdings Global UCITS Trend Ranked by Margin (percent of Capital) LIF Euribor LONG 0.68% EUX Bund LONG 0.65% CME S&P 500 e-mini LONG 0.39% CBT DJIA mini LONG 0.28% CME NASDAQ 100 LONG 0.27% CME USD - EUR SHORT 0.27% HKG Hang Seng (mini) LONG 0.26% OSA JGB LONG 0.19% CME Three-Month Eurodollar LONG 0.18% LIF Three-Month Short Sterli LONG 0.18% Ranked by Number of Contracts (per million dollars of assets) Global UCITS Trend LIF Euribor LONG 28.9 LIF Three-Month Short Sterli LONG 6.4 EUX Bund LONG 2.3 CME Three-Month Eurodollar LONG 2.0 CME USD - EUR SHORT 1.2 HKG Hang Seng (mini) LONG 0.7 CBT US Ten-Year LONG 0.7 CME S&P 500 e-mini LONG 0.6 OSA JGB LONG 0.5 CBT DJIA mini LONG 0.5

15 Disclosures and Notes FORT Global UCITS Contrarian, FORT Global UCITS Futures Fund, FORT Global UCITS Trend Fund, and FORT Global UCITS Diversified Fund (the Funds ) are sub-funds of FORT Global UCITS Funds plc (the Company ) authorised in Ireland by the Central Bank of Ireland as an undertaking for collective investment in transferable securities pursuant to the European Communities (an undertaking for collective investment in transferable securities) regulations 2011 (SI No 352 of 2011), as amended. The Prospectus of the Company, the Key Investor Information Documents ( KIIDS ) of the relevant sub-funds of the Company, the latest annual report, the semi-annual report and the rest of the documentation of the Company may be obtained, in English or in the relevant local languages when so required by law, in the offices of the Spanish distributors a list of which is displayed at Shares in the Funds are offered only on the basis of the information contained in the prospectus, KIIDS and the latest audited annual and semi-annual accounts of the Company. Copies of the prospectus, memorandum and articles of association, KIIDS, and the latest audited annual and semi-annual accounts of the Company may be obtained from the registered office of the Company during usual business hours on a business day. Neither the Company nor any of the sub-funds of the Company are intended to be publicly offered to retail investors in Spain. Therefore, this document is solely and exclusively intended for final professional investors, acting for their own account and on their own behalf, possessing the relevant and adequate experience, knowledge and expertise to understand, appreciate and evaluate the risks associated with investing in shares of the Company or any relevant sub-fund of the Company and able to accept the risks that they may assume by investing in the Company or any relevant sub-fund. Investors need to assess whether they have the capacity to assume the risks involved in investing in the Company, taking into account their own financial and business position, as well as whether the investments comply with their own internal policies (when applicable) and objectives. Investors represent that they will make their own investment decisions, based on their legal, accounting, tax, investment and financial own judgement (or based on the advice of any advisors they have considered appropriate). Accordingly, the investment decision shall be taken by the investors acting as final investors. Investors shall not invest in the name and on behalf of their clients, unless such clients are also professional inventors acting in their own name, on their own behalf and for their own account. It will be the sole responsibility of the investors to ensure that the final investors in the Company or the relevant sub-fund of the Company are exclusively professional investors. This document is not intended for public distribution and no part may be passed on or reproduced in any form. It is for information purposes only and it should not be regarded as an offer to sell or as a solicitation of an offer to buy any investments, including without limitation shares in any fund or interests in any account advised by FORT. The Funds may not be eligible for sale in some countries and may not be suitable for all types of investors. This document is not directed at persons, entities located or established in a jurisdiction where the Funds are not authorised to be marketed. The information contained in this document does not constitute a solicitation in any jurisdiction in which solicitation is not authorised or to any person to whom it is unlawful to make such a solicitation. Shares in the Funds may not be offered or sold directly or indirectly into the United States or to U.S. Persons. Investors must read the supplement for a Fund and the prospectus for the Company for full details of the investment risks before making a decision to invest. Past performance has not been independently verified by BrightGate. Past performance may not be a reliable guide to future performance and performance data do not take account of any commissions and costs incurred on the issue and redemption of Shares. There is no guarantee that the investment objectives of the Funds will be achieved. The Funds are subject to a high degree of risk and are not suitable for certain investors. The performance of the Funds may be volatile. The value of an investment in the Funds can fall as well as rise and you may get back less than you invested when you decide to sell your investments. Risk management and diversification processes seek to mitigate, but cannot eliminate risk, nor do they imply low risk. Investors must meet relevant qualifications and must also be financially sophisticated and capable of evaluating the risks, costs and restrictions associated with an investment in the Funds. Opportunities for withdrawal and transferability may be restricted so investors may not have access to capital when needed. Forward looking statements, which can be identified by terminology such as may, will, should, expect, attempt, anticipate, estimate, intend, seek, believe or other variations of these are projections or estimates based on assumptions which may not occur, while other conditions not taken into account may occur. Actual events or results in the actual performance may differ materially from those contemplated in such forward looking statements. Any comparative index shown is provided solely for informational purposes as an indication of the performance of various capital markets or alternative investment strategies in general. Comparative indices are not benchmarks, nor should one conclude that a Fund s investment strategy will or will not be correlated with an index. The Funds may invest in financial instruments and strategies not included or represented in the index, and the performance and tax consequences of an investment in the instruments represented by an index and an investment in a Fund may be, and in many cases are likely to be, materially different. Comparisons of alternative investment strategies to indices are subject to material inherent limitations. In particular, the universe from which the components of a hedge fund or commodity pool based index are selected includes a significant element of survivor bias into the reported levels of an index, as generally only successful funds will continue to report for the required period. Accordingly, indexation of alternative investment strategies tends to overstate the beneficial aspects of these strategies while obscuring certain risks, including the risk of ruin. No information provided in this communication constitutes investment, tax, legal or any other advice and it should not be relied upon as a basis for investment decisions. Potential investors are advised to consult with their tax, legal and financial advisors. The information in this document is believed to be correct, but its accuracy or completeness cannot be guaranteed. No representation or warranty, express or implied, is given by any person as to the accuracy or completeness of the information and no responsibility or liability is accepted for the accuracy or sufficiency of any of the information, for any errors, omissions or misstatements, negligent or otherwise. Opinions expressed herein are subject to change at any time without notice. The information herein is subject to updating and further verification and may be amended at any time. FORT is under no obligation to provide you with an updated version. This document has not been prepared specifically for investors in any particular country and may contain information, including financial information, which is not prepared in accordance with the law or practices of the particular country. Unless otherwise indicated, all references to dollar amounts are U.S. dollars and all metrics are calculated in U.S. dollars and may increase or decrease as a result of currency fluctuations. Unless otherwise noted, any attribution data shown reflects reinvestment of all income and transaction costs, but does not reflect the deduction of any expenses or advisory fees. FORT Strategy Descriptions Global Diversified is a systematic multi-strategy trading program. It invests in U.S. cash equities and trades a spectrum of futures contracts in the global markets that includes: interest rates, bonds, currencies, equity indices, energy and metals. Global Diversified is a proprietary blend of four strategies with dates of implementation as follows: (i) trend-following (inception - Oct. 1993); (ii) trend-anticipating (Global Contrarian, Oct. 2002); (iii) mean reversion (Dec. 2009); and (iv) Value Market Neutral (Aug. 2014). The addition of each of these components is designed to reduce the volatility of returns. Global Diversified is also designed to have a low correlation with broad equity indices. Global Diversified dynamically and systematically shifts risk allocations among asset classes and underlying parameter choices As employed by the FORT Global UCITS Diversified Fund, Global Diversified has been modified to comply with UCITS restrictions (e.g., by removing exposure to commodities and, as necessary, replicating exposure to bonds with interest rates to remain within issuer concentration limits). Global Contrarian is a systematic, trend-anticipating trading program that seeks to capitalize on medium to long-term trends. It trades a spectrum of futures contracts in the global markets that includes: interest rates, bonds, currencies, equity indices, energy, and metals. Its typical holding period is between 2 and 8 weeks. Unlike trend-following programs that attempt to identify existing trends, Global Contrarian attempts to anticipate trends by identifying price behaviors that signal possible turning points. Global Contrarian is not a counter-trend program; it is designed to purchase as prices decline toward support levels and sell as prices rise toward resistance levels. Global Contrarian dynamically and systematically shifts risk allocations among asset classes and underlying parameter choices. As employed by the FORT Global UCITS Contrarian, Global Contrarian has been modified to comply with UCITS restrictions (e.g., by removing exposure to commodities and, as necessary, replicating exposure to bonds with interest rates to remain within issuer concentration limits). Value Market Neutral is a systematic trading program that analyzes fundamental balance sheet and income statement data and seeks to identify undervalued equities. It constructs a long portfolio of these stocks and beta hedges the portfolio by selling futures contracts on broad based equity indices. In general, a new tranche of equities is purchased every week and held for one year, at which time the tranche is sold and replaced with a new tranche. The program strives for tax efficiency by seeking to capture long-term capital gains and capital losses. Any tax benefits will ultimately depend upon the investor's particular situation. Global Trend is a systematic trend-following trading program designed to capture medium to long-term trends in global futures markets. The program is comprised of several sub-strategies, each designed to capture trends in different market environments. The program trades a spectrum of futures contracts globally including: interest rates, bonds, currencies, equity indices, energy and metals. Global Trend dynamically and systematically shifts risk allocations among asset classes and underlying parameter choices. FORT has continuously run the Global Trend program since inception in October 1993, operating either as a stand-alone trading program or as a component of proprietary blends of FORT s trading programs, or both. As employed by the FORT Global UCITS Diversified Fund, Global Trend has been modified to comply with UCITS restrictions (e.g., by removing exposure to commodities and, as necessary, replicating exposure to bonds with interest rates to remain within issuer concentration limits). Global Futures is a systematic multi-strategy trading program. It trades a spectrum of futures contracts in the global markets that includes: interest rates, bonds, currencies, equity indices, energy and metals. Global Futures is a proprietary blend of three strategies with dates of implementation as follows: (i) trend-following (inception - Oct. 1993); (ii) trend-anticipating (Global Contrarian, Oct. 2002); and (iii) mean reversion (Dec. 2009). The addition of each of these components is designed to reduce the volatility of returns. Global Futures is also designed to have a low correlation

16 with broad equity indices. Global Futures dynamically and systematically shifts risk allocations among asset classes and underlying parameter choices. As employed by the FORT Global UCITS Diversified Fund, Global Futures has been modified to comply with UCITS restrictions (e.g., by removing exposure to commodities and, as necessary, replicating exposure to bonds with interest rates to remain within issuer concentration limits). Mean Reversion is a systematic mean reversion trading program with a 2-5 day holding period. It seeks to capture short-term overbought and oversold price movement and is designed to seek profit from market noise (e.g. movements not associated with any long-term trend). Additionally, it seeks to generate high returns with high volatility. The Mean Reversion program solely trades global equity index futures in specific trading windows. Definitions 1. Avg. Margin to Equity: the average daily margin requirement as a percentage of total portfolio net asset value. 2. Avg. Value at Risk (VaR) at 99% (10 yr.): the portfolio loss, over either a daily or monthly holding period, expected to be exceeded only 1% of the time, estimated by calculating the 1st percentile of 10 years of simulated historical daily or monthly returns for the portfolio. For example, an Avg. Daily VaR at 99% (10 yr.) of 5% means that in a historical simulation of the current portfolio over the prior 10 years, only 1% of the returns were a loss of 5% or greater. 3. Beta: a measure of volatility of a portfolio compared to a market index calculated using regression analysis. A beta of 1.0 indicates the portfolio's value will increase or decrease with the market, while a beta higher than 1.0 indicates the portfolio is more volatile than the market. For example, a beta of 1.2 indicates that movements in the price of the portfolio have been 20% greater than movements in the price of the market index over the same period of time. 4. Commonwealth: Australia, Canada, and the United Kingdom. 5. Compound Average Annualized Return (CAAR): the average year-over-year growth rate of an investment. It is calculated by taking the nth root of the total percentage growth over the period, where n is the number of years in the period. 6. Correlation: a statistical measure of how portfolio or security prices move in relation to each other. A correlation ranges from -1 to 1. A correlation of 1 means the two portfolios or securities have moved in lockstep with each other. A correlation of -1 means the two indexes have moved in exactly the opposite direction. 7. : Taiwan, Hong Kong, and Mexico. 8. Hedge Ratio: the total notional value of the Value Market Neutral hedge as a percentage of total cash value of equities in the Value Market Neutral portfolio. 9. Risk Allocation: the maximum margin exposure for each sector shown as a percentage of the maximum margin exposure for the portfolio as determined by the trading program, targeted not to exceed 14.0% of net asset value in the case of Global Contrarian. The 'Risk Allocation' methodology for Global Diversified is different. For the 67% of Global Diversified s portfolio risk allocated to futures strategies, the current maximum margin exposure for each sector is shown as a percentage of the total maximum margin exposure for the futures strategies as determined by the trading program, targeted not to exceed 12.0% of total portfolio net asset value. The Futures Strategies for Global Diversified are trend-following, trend-anticipating, and short-term mean reversion. The remaining 33% of Global Diversified s portfolio risk is allocated to Value Market Neutral. Price movements or changes to margin requirements could result in a position that exceeds the risk allocation until the portfolio is rebalanced. 10. Standard Deviation: a measure of risk; it calculates the variability of returns by comparing the portfolio s return in each period from the average portfolio return across all periods. Negative SemiDeviation is a measure of the variability of negative returns. 11. Sharpe Ratio: a measure of risk-adjusted returns; it calculates the amount of portfolio return in excess of the risk-free interest rate per unit of risk (standard deviation of returns) of the portfolio. For our calculations, we use the monthly return on cash as the risk-free interest rate. 12. Sortino Ratio: a measure of risk-adjusted returns; it calculates the amount of return received in excess of the risk free interest rate per unit of downside risk (standard deviation of negative returns). 13. VAMI ('Value Added Monthly Index'): an index that tracks the value of a hypothetical $1000 investment. VAMI is calculated by multiplying the previous period's VAMI by (1+percent return in the period). Comparative Indices* 1. S&P 500 Return Index - an unmanaged, market capitalization-weighted index composed of 500 widely held large capitalization common stocks and assumes the reinvestment of dividends and capital gains, but does not reflect the effect of advisory fees. 2. SG CTA Index (formerly knowns as the Newedge CTA Index) - constructed each year of the top 20 CTAs by AUM that are open to new investment and began in January, For comparison purposes, the Barclay BTOP 50 CTA Index was used for the time period October, 1993 through December, *Unless otherwise noted, all index data is sourced from Bloomberg.