John W. Henry & Company : Global Analytics Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Since6/1997 Global Analytics Program -6.16 - - - - - -33.65 246.19 S&P 500 2.42 - - - - - 76.68 358.62 +/- S&P 500 -8.58 - - - - - -110.33 -112.43 Strategy Description Investment StrategyIntroduced 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% Composition Grains 24.00% Interest Rates 21.00% Currency Futures 19.00% Energy 17.00% Precious Metals 14.00% Stock Indices 5.00% Investment StrategyIntroduced 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: AUM & Cumulative Returns Cumulative Returns Distribution Rolling 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: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel