View Program Details
  Inception Date August 09 Assets Under Mgmt as of July 16, 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%

Statistics Since Inception (8/09-7/10)
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
                                                                                                                        




                                                                                   

                                                                                                 




*A client account ceased trading on July 16, 2010. Assets Under Management information is through July 16, 2010. Effective July 17, 2010 actual results for a proprietary account that trades the institutional version of this program (which trades at lower leverage) are available in order to provide a continuous performance record for this program. Please contact Investor Services for that performance.

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.