John W. Henry & Company

Currency Strategic Allocation Program

The Currency Strategic Allocation Program (CSAP) accesses JWH currency programs as well as the models for individual foreign exchange markets within JWH's non-currency programs to trade a broadly diversified portfolio or world currencies. Its objective is capital appreciation with the reduction of the volatility and risk of loss that typically would be associated with an investment in any one JWH currency-only investment program. JWH currently operates three currency-only investment programs and trades currencies in seven other investment programs; any and all of the currency programs or trading models used in diversified and financial programs may be employed or combines in CSAP to determine initiating and closing trade signals. The risk allocation of CSAP among individual currency programs, as well as the selection of the models derived from JWH's non-currency programs, employed within a market, are dynamic, and may change at the discretion of the Investment Policy Committee (IPC). The selection of and mix of programs or models used to generate signals within and across markets as well as the allocation of risk exposure among the programs, models and markets in CSAP is entirely discretionary. The IPC discretion to allocate among programs, models and markets for CSAP is similar to the JWH Strategic Allocation Program (SAP) which allocated among individual JWH programs. Because CSAP is a sector program, the timing and methods employed for allocation changes may not match allocation changes to SAP. JWH is under no obligation to include any particular currency model, market or employ a specific investment program in CSAP. The maximum exposure in any one currency market will be 30% of the program. The IPC also monitors and may adjust on an ongoing basis the position size in relation to account equity at which CSAP trades. Factors which may affect the decisions to adjust position size include: ongoing model and portfolio research, portfolio volatility recent market volatility, perceived risk exposure, and subjective evaluation of general market conditions. Position size in relation to account equity can range from 50% to 200% of standard CSAP trading levels as set annually by the IPC.