Performance

Managed futures: JWH gets slammed

by

December proved a tough month for many CTAs as key trends in short-term interest rates and currencies abruptly reversed. The Absolute Return CTA Index fell 0.76% for the month, ending 2005 at a mere 1.64%. One of the hardest-hit players in this ever-volatile strategy was John W. Henry. Every one of the Boca Raton, Fla., firm's portfolios was underwater in December. And all but one program - its GlobalAnalytics Family of Programs - ended in negative territory for the year. The flagship $1.69 billion Strategic Allocation Program lost an estimated 11.79% in December to total -19.41%. Campbell's $768