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Strategic Allocation Program

  • CTA Name : John W. Henry & Company
  • Program Name : Strategic Allocation Program
  • Start Date : 1996-07-01
  • Trading Strategy
  • Systematic : 100%
  • Discretionary : 0%
  • Fundamental : -
  • Technical : Yes
  • Diversified Market Strategy : Yes
  • Sector Specific Strategy : -
  • Trade Duration
  • Long-Term : Yes
  • Mid-Term : Yes
  • Short-Term : -
  • Multi-Term : Yes
  • Markets Traded
  • Stock Index : Yes
  • Interest Rates : Yes
  • Currencies : Yes
  • Metals : Yes
  • Energy : Yes
  • Grains : Yes
  • Meats : Yes
  • Softs : Yes

John W. Henry & Company

Strategic Allocation Program

There is no performance data for this program

The Strategic Allocation Program (SAP) is JWH's largest program. 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 investment program. JWH currently operates 11 investment programs; 2 of which are multiple style programs, and any or all of the other 9 programs may be included in SAP. Each investment program has distinctive style, timing, and market characteristics. The allocation of SAP's assets among the investment programs, as well as the selection of the programs used for SAP, is dynamic, changing at the discretion of the Investment Policy Committee (IPC). While JWH's individual investment programs are technical, trend-following programs, the selection of programs as well as the allocation of assets among the programs in SAP are entirely discretionary. JWH is under no obligation to include any particular investment program in SAP. Generally, the maximum allocation to an individual program will not exceed 25% of an account's assets. The IPC also monitors and adjusts on an ongoing basis the position size in relation to account equity at which SAP trades. Factors which may affect the decision to adjust position size include: ongoing program 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 150% of standard trading levels.

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