View Program Details
  Inception Date August 09 Assets Under Mgmt as of August 31, 2010  $9 Million  

  Program Overview

The JWH World Commodity Portfolio is a broadly diversified, commodity-only program that combines three two phase reversal systems with a systematic rebalancing strategy. The three trend-following models utilize different time horizons to permit multiple entry and exit points, as well as variations in positions based on different lengths of market trends. Market allocations are established to reflect long term average notional allocations for a broad based commodity market portfolio. Position sizes are adjusted (rebalanced) back to targeted portfolio weights quarterly. Changes in the relative notional value of contracts are reflected in new position exposures upon rebalancing. Market exposures for this program were chosen to maximize diversification in the commodity sector subject to liquidity constraints for each market. The program is designed to have lower volatility compared to most other JWH programs. Like all JWH programs, it is non-predictive, trend-following, disciplined and systematic.
Performance Data
2010 (YTD) -18.80%
May -11.66%
June -3.83%
July -4.59%
Risk Analysis (Annualized Standard Deviation)
2010 (YTD) 19.90%
1-Year 20.88%
3-Year N/A
5-Year N/A

5-Year Statistics (9/05-8/10)
Volatility 20.84%
Sharpe Ratio -1.37
Largest Drawdown (8/09-7/10) -25.07%
Average Profitable Month 4.49%

 
Average Unprofitable Month -5.51%
% of Profitable Months 33%
% of Unprofitable Months 67%
Correlation to S&P 500 0.62




                                                                                                                                           





                                                                                   

                                                                                                 


                                                                                                                                                                                                                                             



Annual rates of return are provided for the past five years. Long-term performance looks at annualized returns for the recent three-year and five-year periods, as well as from inception. The same periods are applied in the risk analysis shown, using standard deviation as a measure of risk.


               Ending August 31, 2010
JWH World Commodity Portfolio: $0
Barclays Capital U.S. Long Government Bond Index (BCGI) : $0
S&P 500 : $0
MSCI EAFE : $0
Goldman Sachs Commodity Index (GSCI) : $0
This chart shows the growth of a hypothetical Investment of $1,000
invested at the inception of the program and maintained through
the current period, as indicated.



The Performance Notes and Terms are an integral part of the performance data presented on this page and should be read in conjunction with it.

Click on here to view the JWH Programs and Performance notes.

An investment with JWH is speculative, involves a high degree of risk, and is designed only for sophisticated investors who are able to bear the loss of more than their entire investment. Read and examine the disclosure document before seeking JWH's services.

The information on this web site may not be reproduced or used in conjunction with any securities offering and is not for reproduction or distribution without the prior written consent of JWH.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.