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term price moves in major and minor currencies, primarily trading on the interbank market. It can be long, short, or neutral.

The multiple style programs include the strategic allocation program. Begun in July 1996, it has recently become the largest program. At year-end 2000, assets totalled $519.3 million. In this program, JWH allocates to its different strategies. It is a discretionary approach to the selection of JWH programs and the allocation of assets among the programs. The decisions are made by the investment policy committee. Any or all of the 11 JWH programs may be included in the strategic allocation program. The allocation of assets among the different programs as well as the selection of programs to be used is dynamic, changing at the discretion of the investment policy committee. Generally, the maximum allocation to an individual program does not exceed 25 percent of the assets in the account.

CAPACITY

Henry observes that the markets of today are so much bigger than the markets of 1985. In 1985, he didn't trade globally. Initially, he thought the capacity for global diversified would be $100 million, but today it is about $400 million to $500 million.

JWH does slippage studies to examine the impact of position-taking on markets the firm is participating in. JWH has seen the problem decrease over the past four to five years. (Slippage is basically the difference between the first price on any give trade and the average price for the entire execution of the position taken.) But Henry observes that size can also work to a manager's advantage. If you have contracts to sell, someone will usually step up and pay your price.

But because of JWH's size, certain markets are not traded, such as orange juice, palladium, or oats. His focus is mostly on the more liquid financial and currency markets.

Henry says most of the clients today are U.S.-based funds consisting primarily of retail clients. JWH's clients are the largest pool operators such as Merrill Lynch, Dean Witter, and Prudential. Non-U.S. clients come via the U.S. brokerage firms. He observes that some non-U.S. investors perceive JWH as a black box because the firm follows certain rules. He disagrees. "Trading is a philosophy, not a black box. The markets are people's expectations."