John W. Henry & Company : Global Analytics Program

archived programsClosed to new investments
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

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 - - - - - -25.12 246.19
S&P 500 2.42 - - - - - 76.68 304.93
+/- S&P 500 -8.58 - - - - - -101.80 -58.74

Strategy Description

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®... Read More

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%
Strategy Pie Chart

Composition

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

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.

   

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

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
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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
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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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods184.00182.00179.00173.00167.00161.00149.00137.00125.00
Percent Profitable54.3555.4956.9864.1673.0579.5085.9193.4399.20
Average Period Return0.902.805.6511.8818.5824.5437.7455.5370.08
Average Gain5.8410.9416.7725.8629.8032.4445.9660.2270.68
Average Loss-4.98-7.36-9.10-13.16-11.84-6.10-12.33-11.16-3.95
Best Period20.4655.9879.0590.65157.12147.65118.23176.11148.13
Worst Period-16.47-26.81-30.00-36.05-33.65-23.70-25.51-20.99-3.95
Standard Deviation6.7712.4117.6025.7032.1932.1433.2338.7230.78
Gain Standard Deviation4.4010.2514.9220.9030.3231.4128.1935.5830.17
Loss Standard Deviation3.685.376.579.079.355.767.795.65
Sharpe Ratio (1%)0.120.210.290.420.530.701.041.332.11
Average Gain / Average Loss1.171.491.841.972.525.323.735.4017.89
Profit / Loss Ratio1.401.852.443.526.8320.6222.7276.772218.82
Downside Deviation (10%)4.406.758.7212.1611.258.1511.469.523.97
Downside Deviation (5%)4.226.207.6110.048.434.496.444.150.82
Downside Deviation (0%)4.176.067.349.547.803.775.443.170.35
Sortino Ratio (10%)0.110.230.360.570.981.751.923.5710.69
Sortino Ratio (5%)0.190.410.681.082.035.025.3912.4179.48
Sortino Ratio (0%)0.220.460.771.252.386.516.9417.52198.37

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.