John Henry Continues Losing Streak

Continuing its misfortunes from June (AIN, 7/17), managed futures giant John W.

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Continuing its misfortunes from June (AIN, 7/17), managed futures giant John W. Henry suffered last month, according to an investor document, with all nine funds still losing money despite showing a slight improvement. Its flagship $1.3 billion JWH Strategic Allocation Program returned -6.43%. The $199 million JWH Global Analytics fund, the $45 million Global Diversified Portfolio and the $196 million Dollar Program suffered the worst beatings, returning -13.69%, -9.25% and -7.05%, respectively.

“Some of these were barely negative, so it wasn’t a bad month,” said Mark Rzepczynski, president. “It was just a negative month. We are so far positive for this month in August.”

There was not one sector that hindered performance last month, the letter stated. John Henry was most surprised by the currency markets’ poor performance, which has historically been profitable for its programs. Additionally, energy has been volatile on the downside and the agricultural markets, specifically the grain markets, have been hurt by extreme weather conditions.

“A simple study suggests that over the last ten years about 20 percent of the months have resulted with all JWH programs performing negatively,” the letter stated. “Negative performance for all of the JWH programs for a second consecutive month, however, is unusual. This event has only happened one other time over the last ten years.”