Page 146

ney, and Prudential Bache had long raised significant assets for the trader. During my career at Merrill Lynch, I went on road shows to the different Merrill Lynch offices describing the JWH's World Currency Fund or the Millburn/Henry Fund. I got to know John and his organization quite well. He had developed a strong following at the Merrill Lynch branch system in the United States and Europe during the 1980s, which continues through today.

PURE FUTURES TRADER

Henry, 51, has long held the distinction as the largest futures trader. Assets currently are at $1.2 billion compared with a peak of $2.4 billion in September 1997. As a percentage of the estimated $45 billion managed futures industry, a substrategy of the hedge fund world, JWH's assets alone have represented from 3 to 5 percent at various times. Henry trades worldwide financial and nonfinancial futures and forward markets, including currencies, interest rates, stock indexes, metals, energy, and agricultural contracts.

Henry views himself as a commodity trading adviser rather than a hedge fund but accepts the latter term as a matter of convenience. Unlike some of the other futures traders who evolved into global macro hedge fund managers, such as Louis Bacon or Paul Tudor Jones, Henry has remained a pure futures trader. Henry does trade a small amount of S&P futures and Nasdaq futures in a limited number of programs.

He says he trades stocks separately and not for clients. "I have thought about it for a long time but there are many who already do it well and there doesn't seem a need for us to provide that service. Clients already have their money invested in stocks and they don't need us to do that." He also observes that stocks are not the most liquid investments, especially when compared with futures.

In the managed futures subcategory, most of the traders tend to use computerized trading methodology rather than trade on a discretionary basis. They also historically charge higher fees, 4 percent management fee/25 percent incentive fee or 3 percent/20 percent, than the typical hedge fund manager's 1 percent management fee and 20 percent incentive fee. In September 2000, Henry changed his 4/15 percent fee structure to 2/20 percent. The fee reduction was a step to keep investors placated during choppy performances. The change also put more em-