John W. Henry & Company : Global Analytics Program

Year-to-Date: N / A
Sep Performance: -6.16%

Min Investment: $ 8,000k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 23.45%
Sharpe (RFR=1%): 0.42
CAROR: 8.44%

Assets: $ 91.0M
Worst DD: -38.29
S&P Correlation: -0.26

Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page

Growth of 1,000 - VAMI

Monthly Performance

Export Data

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	YTD	DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index	Sep	Qtr	YTD	1yr	3yr	5yr	10yr	Since 6/1997
Global Analytics Program	-6.16	-	-	-	-	-	-16.40	246.19
S&P 500	2.42	-	-	-	-	-	76.68	291.37
+/- S&P 500	-8.58	-	-	-	-	-	-93.08	-45.17

Strategy Description

Investment Strategy

Account & Fees

Type	Managed Account
Minimum Investment	$ 8,000k
Trading Level Incremental Increase	$ 0k
CTA Max Funding Factor
Management Fee	2.00%
Performance Fee	20.00%
Average Commission	$0
Available to US Investors	Yes

Subscriptions

High Water Mark	Yes
Subscription Frequency	1-7 Days
Redemption Frequency	1-7 Days
Investor Requirements	QEP
Lock-up Period	0

Trading

Trading Frequency	800 RT/YR/$M
Avg. Margin-to-Equity	15%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus	Diversified Traders

Holding Periods

Over 12 Months	0%
4-12 Months	0%
1-3 Months	0%
1-30 Days	0%
Intraday	0%

Decision-Making

Discretionary	0%
Systematic	100.00%

Strategy

Trend-following: 100.00%

Composition

Grains: 24.00%
Interest Rates: 21.00%
Currency Futures: 19.00%
Energy: 17.00%
Precious Metals: 14.00%
Stock Indices: 5.00%

Investment Strategy

Introduced in June 1997, as the firm’s most broadly diversified investment program, JWH GlobalAnalytics® is the result of extensive research and testing by the firm. Unlike other JWH programs, which invest in intermediate- or long-term price movements, JWH GlobalAnalytics® invests in both long- and short-term price movements. The program invests in a broad spectrum of worldwide financial and non-financial markets, including agricultural, currency, energy, interest rate, metals and non-US stock index contracts. JWH GlobalAnalytics® uses the five-phase investment style.

Compare to:

{{result.name}} {{result.description}}

Index: Chart Type:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Compare to:

Index:

Monthly Annual

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth	Length (Mos.)	Recovery (Mos.)	Peak	Valley
-38.29	17	-	4/1/2011	9/1/2012
-30.50	13	8	4/1/2006	5/1/2007
-29.16	14	12	12/1/2008	2/1/2010
-20.94	13	5	5/1/2003	6/1/2004
-18.40	13	3	3/1/2001	4/1/2002
-16.47	1	2	6/1/2008	7/1/2008
-15.64	5	4	11/1/2004	4/1/2005
-15.13	3	2	11/1/2005	2/1/2006
-14.45	2	2	9/1/2002	11/1/2002
-13.13	10	7	6/1/1999	4/1/2000
-7.04	1	2	3/1/2008	4/1/2008
-5.93	2	3	9/1/1998	11/1/1998
-4.88	1	1	3/1/1998	4/1/1998
-4.73	1	2	2/1/2003	3/1/2003
-4.39	1	3	7/1/1997	8/1/1997
-4.01	1	1	9/1/2005	10/1/2005
-3.89	1	2	2/1/1999	3/1/1999
-2.84	2	1	12/1/1997	2/1/1998
-1.92	1	2	5/1/1998	6/1/1998
-1.23	1	1	2/1/2011	3/1/2011

Consecutive Gains

Run-up	Length (Mos.)	Start	End
79.88	7	9/1/2007	3/1/2008
72.43	5	8/1/2008	12/1/2008
43.94	5	5/1/2002	9/1/2002
31.60	6	10/1/2000	3/1/2001
27.90	3	9/1/2004	11/1/2004
26.88	3	12/1/2002	2/1/2003
22.60	3	8/1/2010	10/1/2010
22.29	3	7/1/1998	9/1/1998
21.99	2	3/1/2006	4/1/2006
20.82	4	12/1/2003	3/1/2004
16.44	1	5/1/2012	5/1/2012
15.31	2	8/1/2005	9/1/2005
14.88	2	7/1/2011	8/1/2011
14.66	2	8/1/2006	9/1/2006
14.27	3	12/1/2010	2/1/2011
11.92	2	6/1/1997	7/1/1997
10.20	1	6/1/2007	6/1/2007
10.08	2	4/1/2003	5/1/2003
9.93	4	9/1/1997	12/1/1997
9.89	3	8/1/2001	10/1/2001
9.60	3	4/1/1999	6/1/1999
9.11	2	5/1/2005	6/1/2005
8.89	1	11/1/2009	11/1/2009
8.68	2	5/1/2008	6/1/2008
7.58	4	3/1/2010	6/1/2010
7.51	1	7/1/2004	7/1/2004
7.51	1	4/1/2011	4/1/2011
7.29	1	11/1/2005	11/1/2005
6.83	1	5/1/2000	5/1/2000
6.72	1	5/1/2009	5/1/2009
6.18	1	8/1/2000	8/1/2000
6.01	1	3/1/2005	3/1/2005
5.95	3	11/1/1999	1/1/2000
5.92	1	11/1/2006	11/1/2006
5.80	1	5/1/1998	5/1/1998
5.06	1	7/1/2012	7/1/2012
4.77	1	12/1/1998	12/1/1998
4.70	1	3/1/1998	3/1/1998
3.95	1	2/1/1999	2/1/1999
3.06	1	12/1/2001	12/1/2001
2.19	2	7/1/2003	8/1/2003
1.77	1	9/1/2009	9/1/2009
1.44	1	2/1/2009	2/1/2009
1.16	1	12/1/2011	12/1/2011
0.96	1	4/1/2007	4/1/2007
0.38	1	3/1/2002	3/1/2002
0.13	1	1/1/2006	1/1/2006

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-26.81	3	5/1/2006	7/1/2006
-20.51	3	4/1/2004	6/1/2004
-19.57	3	9/1/2011	11/1/2011
-18.26	4	1/1/2012	4/1/2012
-18.13	4	12/1/2006	3/1/2007
-16.91	3	12/1/2009	2/1/2010
-16.47	1	7/1/2008	7/1/2008
-16.29	2	5/1/2011	6/1/2011
-15.36	3	6/1/2009	8/1/2009
-14.45	2	10/1/2002	11/1/2002
-14.30	3	9/1/2003	11/1/2003
-13.03	4	7/1/1999	10/1/1999
-12.02	4	4/1/2001	7/1/2001
-11.68	2	8/1/2012	9/1/2012
-11.07	3	12/1/2004	2/1/2005
-10.69	1	6/1/2012	6/1/2012
-10.51	1	4/1/2005	4/1/2005
-10.45	1	11/1/2001	11/1/2001
-9.85	2	3/1/2009	4/1/2009
-9.80	1	12/1/2005	12/1/2005
-9.16	2	7/1/2007	8/1/2007
-7.04	1	4/1/2008	4/1/2008
-6.84	1	8/1/2004	8/1/2004
-6.43	2	1/1/2002	2/1/2002
-6.03	1	2/1/2006	2/1/2006
-6.01	1	6/1/2003	6/1/2003
-5.93	2	10/1/1998	11/1/1998
-5.73	3	2/1/2000	4/1/2000
-4.88	1	4/1/1998	4/1/1998
-4.73	1	3/1/2003	3/1/2003
-4.39	1	8/1/1997	8/1/1997
-4.01	1	10/1/2005	10/1/2005
-3.89	1	3/1/1999	3/1/1999
-3.83	1	10/1/2009	10/1/2009
-3.68	1	11/1/2010	11/1/2010
-3.48	2	6/1/2000	7/1/2000
-3.16	1	1/1/2009	1/1/2009
-3.06	1	5/1/2007	5/1/2007
-2.84	2	1/1/1998	2/1/1998
-2.63	1	4/1/2002	4/1/2002
-2.60	1	9/1/2000	9/1/2000
-2.42	1	10/1/2006	10/1/2006
-1.92	1	6/1/1998	6/1/1998
-1.89	1	1/1/1999	1/1/1999
-1.23	1	3/1/2011	3/1/2011
-0.81	1	7/1/2005	7/1/2005
-0.45	1	7/1/2010	7/1/2010

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	184.00	182.00	179.00	173.00	167.00	161.00	149.00	137.00	125.00
Percent Profitable	54.35	55.49	56.98	64.16	73.05	79.50	85.91	93.43	99.20
Average Period Return	0.90	2.80	5.65	11.88	18.58	24.54	37.74	55.53	70.08
Average Gain	5.84	10.94	16.77	25.86	29.80	32.44	45.96	60.22	70.68
Average Loss	-4.98	-7.36	-9.10	-13.16	-11.84	-6.10	-12.33	-11.16	-3.95
Best Period	20.46	55.98	79.05	90.65	157.12	147.65	118.23	176.11	148.13
Worst Period	-16.47	-26.81	-30.00	-36.05	-33.65	-23.70	-25.51	-20.99	-3.95
Standard Deviation	6.77	12.41	17.60	25.70	32.19	32.14	33.23	38.72	30.78
Gain Standard Deviation	4.40	10.25	14.92	20.90	30.32	31.41	28.19	35.58	30.17
Loss Standard Deviation	3.68	5.37	6.57	9.07	9.35	5.76	7.79	5.65
Sharpe Ratio (1%)	0.12	0.21	0.29	0.42	0.53	0.70	1.04	1.33	2.11
Average Gain / Average Loss	1.17	1.49	1.84	1.97	2.52	5.32	3.73	5.40	17.89
Profit / Loss Ratio	1.40	1.85	2.44	3.52	6.83	20.62	22.72	76.77	2218.82
Downside Deviation (10%)	4.40	6.75	8.72	12.16	11.25	8.15	11.46	9.52	3.97
Downside Deviation (5%)	4.22	6.20	7.61	10.04	8.43	4.49	6.44	4.15	0.82
Downside Deviation (0%)	4.17	6.06	7.34	9.54	7.80	3.77	5.44	3.17	0.35
Sortino Ratio (10%)	0.11	0.23	0.36	0.57	0.98	1.75	1.92	3.57	10.69
Sortino Ratio (5%)	0.19	0.41	0.68	1.08	2.03	5.02	5.39	12.41	79.48
Sortino Ratio (0%)	0.22	0.46	0.77	1.25	2.38	6.51	6.94	17.52	198.37

Top Performer Badges

Index	Award Type	Rank	Performance	Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Get Free Research Report on This CTA

Get additional information on John W. Henry & Company, including performance, charts, statistics, ratios, and more.

First Name is required.

Last Name is required.

Email is required. This is not a valid email.

Phone is required.

* Required fields

More Programs by John W. Henry & Company

Program Name	CAROR

IASG Activity

Blends 13
Portfolios 7
Watchlists 15

Find the right managed futures programs for you with our comprehensive free CTA database.

John W. Henry & Company : Global Analytics Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Investment Strategy

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

Connect With Us for Latest CTA News & Rankings

Account Log In

Reset Password

Register for an Account

Thank You

Find the right managed futures programs for you with our comprehensive free CTA database.

John W. Henry & Company : Global Analytics Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Investment Strategy

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

{{title}}

{{title}}

Connect With Us for Latest CTA News & Rankings

Get the Full Picture

Register now to access our complete CTA database: