John W. Henry Inc. and Vision Financial Markets LLC have teamed up to offer a new concept in managed futures with the launch of the JWH Vision Program. It is a typical managed account managed futures program with a more accessible minimum investment level offered exclusively through Vision and its network of introducing brokers. The program trades CME Group products exclusively.
The program trades12 diverse futures contracts based on one of JWH’s long-term trend following models and includes an equity index overlay. The trend following model trades six sectors: grains, interest rates, metals, energies, stock indexes and currencies and the equity overlay trades the S&P 500 in a short-term countertrend model.
“We took a model that had been trading for some time in one of our programs and we overlaid a stock index program that is not a trend following program. WE have been trading with proprietary money for years. We put a 30% overlay over one of our traditional longer-term trend following models,” says Ken Webster president of JWH.
The program has a minimum investment level of $250,000, considerably lower than many high end CTAs like JWH.
“There is a whole market segment that wants to invest in a managed account approach instead of investing in a fund,” Webster says. “We are seeing a lot of interest so far and we are very hopeful this product actually provides access to a fairly large market segment that is looking for a product like this.”
JWH will get its standard 2% management fee and 20% incentive fee and Vision will cap commissions at $50 per roundturn including all fees. Howard Rothman, president of Vision, says based on an estimate of 800 roundturns per million, commissions should come in around 4% per year. “We wanted to make sure that fee structure on commission came in under 5%,” Rothman says.
Webster says that program has produced a compound annual return of 18% with an annualized standard deviation of about 17.5% since 1995 with no negative years based on its backtest results. It is up 1% through August trading proprietary accounts. “We are very excited about [that] because the first seven months have not been the friendliest time for trend followers,” Rothman says.
The print version of the public funds summary in the October issue includes incorrect August and year-to-date returns for Quadriga Superfund L.P. Series A. The fund returned 3.66% for August and its year-to-date return through August should have read -25.18%. This error also appeared in the online version until it was corrected on Sept. 29. Futures regrets the error.