10-Q 1 jwh3rdqtr10q2004.htm JWH GLOBAL TRUST JWH GLOBAL TRUST 2004 3RD QTR 10-Q

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended September 30, 2004
Commission File Number: 333-105282

JWH GLOBAL TRUST
(Exact name of registrant as specified in its charter)

Delaware	36-4113382
(State or other jurisdiction of incorporation or organization)	(I.R.S. Employer Identification No.)

233 South Wacker Drive
Suite 2300
Chicago, IL 60606
(Address of principal executive offices) (Zip Code)

(312) 460-4000
(Registrant's telephone number, including area code)

Not Applicable
(Former name, former address and former fiscal year, if changed since last report.)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes No

Indicate by check mark whether the registrant is an accelerated filer (as defined in Rule 12b-2 of the Exchange Act). Yes No

The number of units outstanding, as of September 30, 2004, is 2,166,093.88.

TABLE OF CONTENTS



PART I. FINANCIAL INFORMATION

	Item 1. Financial Statements
		Statements of Financial Condition (unaudited)
		Statements of Operations (unaudited)
		Statement of Changes in Unitholders’ Capital (unaudited)
		Notes to Financial Statements
		Condensed Schedule of Investments (unaudited)
	Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations
	Item 3. Quantitative and Qualitative Disclosures About Market Risk
	Item 4. Controls and Procedures


Part II. OTHER INFORMATION

	Item 1. Legal Proceedings
	Item 2. Unregistered Sales of Securities and Use of Proceeds
	Item 3. Defaults Upon Senior Securities
	Item 4. Submission of Matters to a Vote of Security Holders
	Item 5. Other Information
	Item 6. Exhibits and Reports on Form 8-K

	SIGNATURES

EXHIBIT 31.01 - Certifications of Principal Executive Officer
EXHIBIT 31.02 - Certifications of Principal Financial Officer
EXHIBIT 32.01 - Section 1350 Certifications

PART 1 - FINANCIAL INFORMATION

Item 1. Financial Statements

Following are Financial Statements for the fiscal quarter ended September 30, 2004 and the additional time frames as noted:

	Fiscal Quarter Ended 09/30/04	Year to Date Ended 09/30/04	Fiscal Year Ended 12/31/03	Fiscal Quarter Ended 09/30/03	Year to Date Ended 09/30/03

Statements of Financial Condition	X		X

Statements of Operations	X	X		X	X

Statement of Changes in Unitholders' Capital		X

Notes to Financial Statements	X

JWH GLOBAL TRUST STATEMENTS OF FINANCIAL CONDITION
		Sept. 30, 2004		Dec. 31, 2003
		(unaudited)
ASSETS
Assets:
Equity in commodity trading accounts:
Cash on deposit with Brokers	$	238,714,145	$	183,255,388
Unrealized gain on open contracts		17,300,030		10,691,591

		256,014,175		193,946,979

Receivable for units sold		5,987,734		16,383,699
Interest receivable		349,243		135,329

Total assets	$	262,351,152	$	210,466,007

LIABILITIES AND UNITHOLDERS' CAPITAL
Liabilities:
Accrued commissions	$	1,268,271	$	962,528
Accrued management fees		426,845		323,143
Accrued incentive fees		0		272,694
Accrued offering expenses		106,056		80,181
Accrued operating expenses		132,748		90,000
Redemptions payable		1,798,837		1,624,161

Total liabilities		3,732,757		3,352,707

Unitholders' Capital:
Benefical Owners (2,142,333.64 units outstanding at September 30, 2004, and 1,381,108.44 units outstanding at December 31, 2003)		255,781,660		205,949,414
Managing Owner (23,760.24 units outstanding at September 30, 2004, and 7,805.08 units outstanding at December 31, 2003)		2,836,735		1,163,886

Total unitholders' capital		258,618,395		207,113,300

Total liabilities and unitholders' capital	$	262,351,152	$	210,466,007

Net asset per unit	$	119.39	$	149.12

See accompanying notes to financial statements.

JWH GLOBAL TRUST STATEMENTS OF OPERATIONS (unaudited)
		July 1, 2004 through Sept. 30, 2004		Jan. 1, 2004 through Sept. 30, 2004		July 1, 2003 through Sept. 30, 2003		Jan. 1, 2003 through Sept. 30, 2003
Revenues:
Gain (loss) on trading of commodity contracts:
Realized (loss) gain on closed positions	$	(24,011,764)	$	(47,118,216)	$	(15,789,219)	$	6,493,274
Change in unrealized gain on open contracts		25,283,496		6,607,706		12,032,258		1,840,824
Interest income		1,000,460		2,217,629		332,270		802,678
Foreign currency transaction (loss) gain		(76,609)		(289,175)		(140,292)		53,356

Total revenues		2,195,583		(38,582,056)		(3,564,983)		9,190,132

Expenses:
Commission paid to CIS		3,630,542		10,538,749		2,049,985		4,994,896
Exchange, clearing and NFA fees		29,218		83,934		16,179		32,167
Management fees		1,221,647		3,545,461		689,776		1,602,273
Incentive fees		0		861,423		0		2,071,663
Ongoing organization and offering expenses		303,535		878,909		171,448		394,820
Operating expenses		75,000		185,000		45,000		75,000

Total expenses		5,259,942		16,093,476		2,972,388		9,170,819

Net (loss) profit	$	(3,064,359)	$	(54,675,532)	$	(6,537,371)	$	19,313

(Loss) profit per unit of beneficial ownership interest	$	(1.72)	$	(29.73)	$	(7.16)	$	7.22
(Loss) profit per unit of managing ownership interest	$	(1.72)	$	(29.73)	$	(7.16)	$	7.22

See accompanying notes to financial statements.

JWH GLOBAL TRUST STATEMENT OF CHANGES IN UNITHOLDERS' CAPITAL For the period January 1, 2004 through September 30, 2004 (unaudited)
	Units*		Beneficial Owners		Managing Owner		Total

Unitholders' capital at January 1, 2004	1,381,108.44	$	205,949,414	$	1,163,886	$	207,113,300

Net loss			(54,012,548)		(662,984)		(54,675,532)

Unitholders' contributions	908,974.20		123,345,624		2,350,203		125,695,827

Unitholders' redemptions	(147,749.00)		(19,500,830)		(14,370)		(19,515,200)

Unitholders' capital at September 30, 2004	2,142,333.64	$	255,781,660	$	2,836,735	$	258,618,395


Net asset value per unit January 1, 2004			149.12		149.12

Net loss per unit			(29.73)		(29.73)

Net asset value per unit September 30, 2004		$	119.39	$	119.39

* Units of beneficial ownership.

See accompanying notes to financial statements.

JWH GLOBAL TRUST
NOTES TO FINANCIAL STATEMENTS
September 30, 2004

(1) General Information and Summary

JWH Global Trust (the Trust), a Delaware statutory trust organized on November 12, 1996, was formed to engage in the speculative trading of futures contracts on currencies, interest rates, energy and agricultural products, metals and stock indices, spot and forward contracts on currencies and precious metals, and exchanges for physicals pursuant to the trading instructions of independent trading advisors. The Managing Owner of the Trust is CIS Investments, Inc. (CISI). The clearing broker is Cargill Investor Services, Inc. (Clearing Broker or CIS), the parent company of CISI. The broker for forward contracts is CIS Financial Services, Inc. (CISFS or Forwards Currency Broker), an affiliate of CISI. The Clearing Broker and the Forwards Currency Broker collectively will be referred to as the Brokers.

Units of beneficial ownership of the Trust commenced selling on April 3, 1997 and trading began on June 2, 1997. The initial amount offered for investment was $50,000,000. On September 26, 1997 and again on July 2, 2003, the Trust registered an additional $155,000,000 and $300,000,000, respectively, for further investment and continued the offering. By September 30, 2004, a total of 3,175,593.88 units representing an investment for $407,557,900.16 of beneficial ownership interest had been sold in the combined offerings. In addition, during the offerings, the Managing Owner purchased a total of 26,720.96 units, representing a total investment of $3,533,730.91. Refer to the JWH Global Trust prospectus for further details of the offering.

The Trust will be terminated on December 31, 2026, if none of the following occur prior to that date: (1) beneficial owners holding more than 50% of the outstanding units notify the Managing Owner to dissolve the Trust as of a specific date; (2) disassociation of the Managing Owner with the Trust; (3) bankruptcy of the Trust; (4) a decrease in the net asset value to less than $2,500,000; (5) a decline in the net asset value per unit to $50 or less; (6) dissolution of the Trust; or (7) any event that would make it unlawful for the existence of the Trust to be continued or require dissolution of the Trust.

(2) Summary of Significant Accounting Policies

The accounting and reporting policies of the Trust conform to accounting principles generally accepted in the United States of America and to general practices in the commodities industry. The following is a description of the more significant of those policies that the Trust follows in preparing its financial statements.

Revenue Recognition

Commodity futures contracts, forward contracts, physical commodities, and related options are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized gains on open contracts reflected in the statements of financial condition represent the difference between original contract amount and market value (as determined by exchange settlement prices for futures contracts and related options and cash dealer prices at a predetermined time for forward contracts, physical commodities, and their related options) as of the last business day of the year or as of the last date of the financial statements.

The Trust earns interest on its assets on deposit at the Brokers at 100% of the 91-day Treasury bill rate for deposits denominated in U.S. dollars, and at the rates agreed between the Trust and CIS and CISFS for deposits denominated in other currencies.

Redemptions

A beneficial owner may cause any or all of his or her units to be redeemed by the Trust effective as of the last trading day of any month of the Trust based on the Net Asset Value per unit on such date on five days written notice to the Managing Owner. Payment will be made within ten business days of the effective date of the redemption. Any redemption made during the first eleven months of investment is subject to a 3% redemption penalty. Any redemption made in the 12th month of investment or later will not be subject to any penalty. The Trust’s Sixth Amended and Restated Declaration and Agreement of Trust contains a full description of redemption and distribution policies.

Offering Costs

Ongoing offering costs, subject to a ceiling of 0.5% of the Trust’s average month-end net assets, are paid by the Trust and expensed as incurred.

Commissions

Commodity brokerage commissions are typically paid for each trade transacted and are referred to as “round-turn commissions”. These commissions cover both the initial purchase (or sale) and the subsequent offsetting sale (or purchase) of a commodity futures contract. The Trust does not pay commodity brokerage commissions on a per-trade basis, but rather pays monthly flat-rate Brokerage Fees. Effective July 1, 2003, CIS lowered this fee from the annual rate of 6.5% (or approximately 0.542% per month) to 6.0% (or 0.50% per month) of the Trust’s month-end assets after reduction of the Management Fee. CIS receives these Brokerage Fees irrespective of the number of trades executed on the Trust’s behalf. The amount paid to CIS is reduced by exchange fees paid by the Trust.

Certain large investors are eligible for a “Special Brokerage Fee Rate” of 4.5% per year. As of September 30, 2004, there were no such eligible investors in the Trust.

Foreign Currency Transactions

Trading accounts in foreign currency denominations are susceptible to both movements in the underlying contract markets as well as fluctuation in currency rates. Translation of foreign currencies into U.S. dollars for closed positions are translated at an average exchange rate for the year, while year-end balances are translated at the year-end currency rates. The impact of the translation is reflected in the statements of operations.

Use of Estimates

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

(3) Fees

Management fees are accrued and paid monthly, incentive fees are accrued monthly and paid quarterly. Trading decisions for the period of these financial statements were made by John W. Henry & Company, Inc. (JWH) utilizing three of its trading programs, the JWH GlobalAnalytics® Family of Programs, the Financial and Metals Portfolio, and the G-7 Currency Portfolio.

Under signed agreement, JWH receives a monthly management fee of 0.166% (a 2% annual rate) of the Trust’s month-end net assets calculated after deduction of a portion of the Brokerage Fee at an annual rate of 1.25% of month-end Trust net assets, but before reduction for any incentive fee or other costs and before inclusion of purchases and redemptions for the month.

Also, under signed agreement, the Trust pays to JWH a quarterly incentive fee equal to 20% of the new trading profits, if any, of the Trust. The incentive fee is based on the overall performance of the Trust, not individually in respect of the performance of the individual programs utilized by the Trust. This fee is also calculated by deducting a portion of the Brokerage Fees at an annual rate of 1.25%.

(4) Income Taxes

No provision for Federal income taxes has been made in the accompanying financial statements as each beneficial owner is responsible for reporting income (loss) based on the pro rata share of the profits or losses of the Trust. Generally, for both Federal and state tax purposes, trusts, such as the JWH Global Trust, are treated as partnerships. The Trust is responsible for the Illinois State Partnership Information and Replacement Tax based on the operating results of the Trust. Such tax amounted to $0, and $0 for the quarters ended September 30, 2004, and 2003, respectively, and is included in operating expenses in the statements of operations.

(5) Trading Activities and Related Risks

The Trust engages in the speculative trading of U.S. and foreign futures contracts, and forward contracts (collectively derivatives). These derivatives include both financial and non-financial contracts held as part of a diversified trading strategy. The Trust is exposed to both market risk, the risk arising from changes in the market value of the contracts, and credit risk, the risk of failure by another party to perform according to the terms of a contract.

The purchase and sale of futures requires margin deposits with a Futures Commission Merchant (FCM). Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act (CEAct) requires an FCM to segregate all customer transactions and assets from the FCM’s proprietary activities. A customer’s cash and other property, such as U.S. Treasury Bills, deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements. In the event of an FCM’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than the total of cash and other property deposited.

The Trust has cash on deposit with an affiliate interbank market maker in connection with its trading of forward contracts. In the event of interbank market maker’s insolvency, recovery of the Trust assets on deposit may be limited to account insurance or other protection afforded such deposits. In the normal course of business, the Trust does not require collateral from such interbank market maker. Due to forward contracts being traded in unregulated markets between principals, the Trust also assumes a credit risk, the risk of loss from counter party non-performance.

For derivatives, risks arise from changes in the market value of the contracts. Theoretically, the Trust is exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short.

Net trading results from derivatives for the periods ended September 30, 2004, and 2003, are reflected in the statements of operations and equal gain from trading less brokerage commissions. Such trading results reflect the net gain arising from the Trust’s speculative trading of futures contracts and forward contracts.

The notional amounts of open contracts at September 30, 2004, as disclosed in the Condensed Schedule of Investments, do not represent the Trust’s risk of loss due to market and credit risk, but rather represent the Trust’s extent of involvement in derivatives at the date of the statement of financial condition.

The beneficial owners bear the risk of loss only to the extent of the market value of their respective investments.

(6) Financial Highlights

The following financial highlights show the Trust’s financial performance for the nine-month period ended September 30, 2004. Total return is calculated as the change in a theoretical beneficial owner’s investment over the entire period and is not annualized. Total return is calculated based on the aggregate return of the Trust taken as a whole.

Total Return:
Total return before incentive fee		-19.50%
Less incentive fee allocation		0.44%

Total Return		-19.94%

Ratio to average net assets:
Net loss		-22.58%

Expenses:
Expenses		6.29%
Incentive fees		0.36%

Total expenses		6.65%

The net income and expense ratios are computed based upon the weighted average net assets for the Trust for the nine-month period ended September 30, 2004. The amounts are not annualized.

JWH GLOBAL TRUST Condensed Schedule of Investments September 30, 2004 (unaudited)
	Number of contracts		Principal (notional)		Value (OTE)
Long positions
Futures positions (6.18%)
Agriculture	557	$	9,819,534	$	79,247
Energy	1,168		59,910,854		4,122,834
Interest rates	11,054		1,722,844,085		9,285,626
Metals	1,450		67,102,175		2,477,635
Indices	526		23,548,960		23,312

			1,883,225,608		15,988,654

Forward positions (2.51%)
Currencies	40		740,507,918		6,495,723

Total long positions		$	2,623,733,526	$	22,484,377

Short positions
Futures positions (0.61%)
Agriculture	1,870	$	31,791,928	$	2,290,972
Metals	134		7,267,805		(683,255)
Indices	66		6,529,537		(23,984)

			45,589,270		1,583,733

Forward positions (-2.62%)
Currencies	34		783,281,626		(6,768,080)

Total short positions		$	828,870,896	$	(5,184,347)

Total open contracts (6.68%)				$	17,300,030
Cash on deposit with brokers (92.30%)					238,714,145
Other assets in excess of liabilities (1.02%)					2,604,220

Net assets (100%)				$	258,618,395

Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations

(a) Capital Resources

The Trust’s capital resources fluctuate based upon the purchase and redemption of units and the gains and losses of the Trust’s trading activities. The amount of assets invested in the Trust generally does not affect its performance, as typically this amount is not a limiting factor on the positions acquired by JWH, and the Trust’s expenses are primarily charged as a fixed percentage of its asset base, however large.

The Trust’s involvement in the futures and forward markets exposes the Trust to both market risk – the risk arising from changes in the market value of the futures and forward contracts held by the Trust – and credit risk – the risk that another party to a contract will fail to perform its obligations according to the terms of the contract. The Trust is exposed to a market risk equal to the value of the futures and forward contracts purchased and theoretically unlimited risk of loss on contracts sold short. JWH monitors the Trust’s trading activities and attempts to control the Trust’s exposure to market risk by, among other things, refining its trading strategies, adjusting position sizes of the Trust’s futures and forward contacts and re-allocating Trust assets to different market sectors. The Trust’s primary exposure to credit risk is its exposure to the non-performance of the Forwards Currency Broker. The Forwards Currency Broker generally enters into forward contracts with large, well-capitalized institutions and then enters into a back-to-back contract with the Trust. The Trust also may trade on exchanges that do not have associated clearing houses whose credit supports the obligations of its members and operate as principals markets, in which case the Trust will be exposed to the credit risk of the other party to such trades.

The Trust’s trading activities involve varying degrees of off-balance sheet risk whereby changes in the market values of the futures and forward contracts underlying the financial instruments or the Trust’s satisfaction of the obligations may exceed the amount recognized in the statement of financial condition of the Trust.

The Trust borrows only to a limited extent and only on a strictly short-term basis in order to finance losses on non-U.S. dollar denominated trading positions pending the conversion of the Trust’s dollar deposits. These borrowings are at a prevailing short-term rate in the relevant currency. They have been immaterial to the Trust’s operation to date and are expected to continue to be so.

(b) Liquidity

The Trust’s assets are held in brokerage accounts with CIS and CISFS. Except in unusual circumstances, the Trust should be able to close out any or all of its open trading positions and liquidate any or all of its holdings quickly and at market prices. This should permit JWH to limit losses as well as reduce market exposure on short notice should its programs indicate reducing market exposure.

The Trust earns interest on 100% of the Trust’s average daily balances on deposit with CIS or CISFS, as the case may be, during each month at the average 91-day Treasury bill rate for that month in respect of deposits denominated in dollars or at the applicable rates in respect of deposits denominated in currencies other than dollars (which may be zero in some cases). For the fiscal quarter ended September 30, 2004, CIS and CISFS had paid or accrued to pay interest of $2,217,629 to the Trust. For the fiscal quarter ended September 30, 2003, CIS and CISFS had paid or accrued to pay interest of $802,678 to the Trust.

Most United States commodity exchanges limit the amount of fluctuation in commodity futures contract prices during a single trading day by regulations. These regulations specify what are referred to as “daily price fluctuation limits” or “daily limits”. The daily limits establish the maximum amount the price of a futures contract may vary either up or down from the previous day’s settlement price at the end of a trading session. Once the daily limit has been reached in a particular commodity, no trades may be made at a price beyond the limit. Positions in the commodity could then be taken or liquidated only if traders are willing to effect trades at or within the limit during the period for trading on such day. Because the “daily limit” rule only governs price movement for a particular trading day, it does not limit losses. In the past, futures prices have moved the daily limit for numerous consecutive trading days and thereby prevented prompt liquidation of futures positions on one side of the market, subjecting commodity futures traders holding such positions to substantial losses for those days.

It is also possible for an exchange or the CFTC to suspend trading in a particular contract, order immediate settlement of a particular contract, or direct that trading in a particular contract be for liquidation only.

(c) Results of Operations

The Trust’s success depends on JWH’s ability to recognize and capitalize on major price movements and other profit opportunities in different sectors of the world economy. Because of the speculative nature of its trading, operational or economic trends have little relevance to the Trust’s results, and its past performance is not necessarily indicative of its future results. The Managing Owner believes, however, that there are certain market conditions — for example, markets with major price movements — in which the Trust has a better opportunity of being profitable than in others.

JWH’s programs do not predict price movements. No fundamental economic supply or demand analysis is used in attempting to identify mispricings in the market, and no macroeconomic assessments of the relative strengths of different national economies or economic sectors is made. Instead, the programs apply proprietary computer models to analyze past market data, and from this data alone attempt to determine whether market prices are trending. Technical traders such as JWH base their strategies on the theory that market prices reflect the collective judgment of numerous different traders and are, accordingly, the best and most efficient indication of market movements. However, there are frequent periods during which fundamental factors external to the market dominate prices.

If JWH’s models identify a trend, they signal positions which follow it. When these models identify the trend as having ended or reversed, these positions are either closed out or reversed. Due to their trend-following character, JWH’s programs do not predict either the commencement or the end of a price movement. Rather, their objective is to identify a trend early enough to profit from it and to detect its end or reversal in time to close out the Trust’s positions while retaining most of the profits made from following the trend.

The performance summaries set forth below outline certain major price trends which JWH’s programs have identified for the Trust during the third quarter of fiscal year 2004 and 2003. The fact that certain trends were captured does not imply that others, perhaps larger and potentially more profitable trends, were not missed or that JWH will be able to capture similar trends in the future. Moreover, the fact that the programs were profitable in certain market sectors in the past does not mean that they will be so in the future.

The performance summaries are an outline description of how the Trust performed in the past, not necessarily any indication of how it will perform in the future. Furthermore, the general causes to which certain trends are attributed may or may not in fact have caused such trends, as opposed to simply having occurred at about the same time. While there can be no assurance that JWH will be profitable even in trending markets, markets in which substantial and sustained price movements occur offer the best profit potential for the Trust.

Fiscal Quarter ended September 30, 2004

The Trust recorded a net loss of $3,064,359 or $(1.72) per unit for the third quarter of 2004. As of September 30, 2004, the Trust had gained 19.39% since its inception in June 1997.

On September 30, 2004, JWH was managing 100% of the Trust’s assets. Approximately 30% of the assets were allocated to each of the JWH GlobalAnalytics® Family of Programs and the G-7 Currency Portfolio. Approximately 40% of the Trust’s assets were allocated to JWH’s Financial and Metals Portfolio.

Overall, the Trust was negative for July. The month began with a 25 basis point rate increase by the Federal Open Markets Committee (FOMC). Economic figures, released throughout the month, continued to provide positive indications for the US economy. However, most of the data failed to meet market expectations. The lack of robust economic figures prevented the financial markets from trending in one direction for any sustained period. In the commodity sector, with the prospect of an abundant harvest, grain prices continued their steady decline, which led to gains for the Trust. In the energy market, the rally in oil prices continued throughout July. The agricultural sector was positive for the Trust in July. The best returns in the sector came from soybeans and cotton, while the largest losses were in coffee traded on the New York and London markets. Trendless trading conditions in the foreign exchange markets persisted in July resulting in losses for the Trust. The dollar began the month depreciating against the world’s major currencies only to reverse course and rally midway through the month. The largest gains were in the euro/Canadian dollar cross and the Japanese yen. The largest losses were in the euro and Swiss franc. The energy sector performance was positive for the Trust in July. The price of crude oil continued to trade higher with the price per barrel exceeding $40. The largest loss occurred in natural gas. The Trust’s performance in the stock indices sector was negative for July. Contradictory economic figures along with weaker than expected earnings numbers continued to dampen any rally in the equities market. The largest loss coming from the Osaka Nikkei. The fixed income sector was also negative for July. Despite the rate hike by the FOMC in late June, the US economic data for this month, painted a somewhat confusing picture for this sector which had the markets back tracking from earlier trends. The best returns came from the Japanese government bond and the short sterling. The metals sector was negative for the Trust in July. Price action in gold has been negatively correlated with movements in the dollar. Gains on copper positions were not enough to offset losses in gold and silver. Market conditions in July did not favor long-term investment style of the Trust. All in all, the Trust recorded a loss of 3.31% for the month. The July month end NAV was $117.10 per unit.

Overall, the Trust was negative for the month of August. Fixed-income markets provided the most significant gains for the Trust as prices rallied in response to the weak US unemployment data and other weaker-than-expected fundamental data. The Trust suffered losses in the foreign exchange markets which continued to be dominated by short-term trading activity and little conviction of a trend. The fixed-income sector provided significant gains for the Trust in August. In the US, markets rallied sharply early in the month as employment data was much weaker than most analysts had anticipated. The British fixed-income markets rallied as reports indicated a slowdown in the UK housing market and a tempering of inflation fears. The largest gains for the month were in the bund and the US 30-year bond. The only losses for this sector were in Asia with the euroyen and the Japanese Government bond. The Trust’s foreign exchange sector was negative for August. Most foreign exchange markets failed to sustain any discernible direction for the month. European currencies continued to experience volatile swings on an intra-month basis; after poor US employment data, they gave back most of the gains they had made against the US dollar. The Japanese yen strengthened against the US dollar. The largest gain came from the Australian dollar, while the largest loss was in the euro/Japanese yen cross. Indices have continued to stay range-bound in 2004. In spite of good profit reports for many companies, the threat of future declines has not allowed the US, European and Japanese markets to gain any traction. Volatility is still extremely low in these markets, but the absence of long-term trends has limited the potential for profit. The largest gain was in the Nasdaq E-mini, while the largest loss was in the Nikkei. The energy sector was negative for the Trust in August. Moderate weather and a continued build up inventory was the primary reason for the weakness in natural gas. Crude oil produced marginal profits while testing the $50 per barrel level mid month as geo-political tensions and fears of terrorist activity in Iraq escalated. The largest sector gain was in natural gas, while the largest loss was in London gas oil. The agricultural sector was negative for August. Grain prices rallied from seasonal lows. Reports on soybean crop conditions did not meet expectations, and long-term weather forecasts suggesting the possibility of an early frost prompted profit taking in the grain complex. Early in the month cotton rallied 6.8% and closed limit up on little fundamental news. A further increase in cotton prices came late in the month on fears that Hurricane Frances may disrupt cotton supplies. The largest losses were in soybeans and cotton, while the largest gain was in wheat. The metals sector was positive for August. The gold rally provided all of the returns for the month. All in all, the Trust recorded a loss of 2.21% for the month. The August month end NAV was $114.51 per unit.

The Trust’s overall performance was positive in September. The Trust continued to benefit from the long-term trend towards higher energy prices. Nascent trends in global fixed-income markets also had a positive impact on performance for the Trust. A significant portion of September’s gain was directly related to trading in the energy sector. Rising demand out of Asia, supply disruptions in Iraq, and fears of terrorism kept prices high. Additionally, Hurricane Ivan, which made landfall on the Alabama coast on September 16th, had a significant impact on U.S. Gulf of Mexico supplies. Meanwhile, in Nigeria there were fears that rebel forces would be successful in attacking the country’s oil production facilities. The benchmark NYMEX crude oil contract responded to these factors by rising more than 15% during the month. The Trust’s positions in all energy markets performed well during the month. Trading in fixed-income markets was also profitable. On September 21st, the Federal Reserve Board raised the federal funds rate 25 basis points to 1.75%. The hawkish stance of the Fed, combined with the expected effect of higher energy prices, helped to push long-term interest rates lower and to flatten the yield curve. Positions in longer-term bond contracts in the US, Japan and Europe were profitable with the largest gain made in the Japanese Government Bond, while positions in short-term interest rate contracts, including Eurodollar futures, were slightly unprofitable. Trading in the foreign exchange market continues to be difficult this year as many of the world’s major currencies remain stuck in broad ranges. While overall trading in this sector was slightly unprofitable for the Trust, there were no significant winners or losers. The largest gain from trading for the Trust came from the Canadian dollar/Japanese yen cross. The largest loss was in British pound. Opportunities in equity markets have been limited as volatility in many of the world’s stock markets is registering multi-year lows. The Trust suffered losses in most equity trading with the largest loss in the Osaka Nikkei. The only gain was in the Australian All Ordinaries index, but it was not enough to offset the combined losses of this sector. Trading in the agriculture markets was profitable for the Trust in September. Gains from the corn and soybean markets were large enough to offset losses in other markets. Ample supply and benign weather conditions have been factors suppressing grain prices. Metals trading during September was slightly negative. Most metals prices moved up in the second part of the month, largely on technical factors. Positions in copper, gold and aluminum were profitable for the Trust, but gains in these markets were not enough to offset the loss in silver. All in all, the Trust recorded a gain of 4.26% for the month. The September month end NAV was $119.39 per unit.

During the quarter there were 203,390.02 units sold to the beneficial owners for an investment of $23,694,470.53. Beneficial owners redeemed a total of 58,701.29 units during the quarter. The Managing Owner redeemed a total of 63.71 units during the quarter. At the end of the quarter there were 2,142,333.64 units outstanding owned by the Beneficial Owners and 23,760.24 units outstanding owned by the Managing Owner.

During the fiscal quarter ending September 30, 2004, the Trust had no material credit exposure to a counterparty, which is a foreign commodity exchange, or to any counterparties dealing in over the counter contracts.

Fiscal Quarter ended September 30, 2003

The Trust recorded a loss of $6,537,371 or $7.16 per unit in the third quarter of 2003. As of September 30, the Trust has gained 46.75% since its inception in June 1997.

The Trust began the quarter in negative territory, had a stronger August, but performance reversed again in September to post a negative quarter. On September 30, 2003, JWH was managing 100% of the Trust’s assets. Approximately 30% of the assets were allocated to each of the JWH GlobalAnalytics® Family of Programs and the G-7 Currency Portfolio. Approximately 40% of the Trust’s assets were allocated to JWH’s Financial and Metals Portfolio.

July was a difficult trading month as there were significant trend reversals in major markets that resulted in a loss. There were clear signs that the U.S. economic outlook was improving, as well as signs that a coordinated global economic recovery was also beginning. In general, the effects of all these factors was a strengthening U.S. dollar against most major currencies, rising global interest rates, mildly better stock prices, and higher base metal prices. The fixed income sector was positive for July. The best performing components of the sector were the short U.S. 10-year note and 30-year bond position. Foreign exchange trading had the largest loss for July. The strength of the U.S. dollar resulted in losses in the long British pound, Australian dollar, Swiss franc and the Euro positions. All equity indices registered positive gains in July. The best performers in the sector were the Osaka Nikkei and the German DAX. All components of the energy sector were positive in July. Metals were down for July due to a short position in gold. Agriculture products were in negative territory for the month. Overall, the Trust recorded a loss of $ 3,800,245 or $4.56 per unit in July.

Trending markets enabled the Trust to post a profitable August. Global markets responded to improving economic conditions in the U.S., Japan and, to a lesser degree, Europe. As a result, interest rates continued to move higher in these regions, and the U.S. dollar strengthened against most major currencies. Energy markets, with the exception of natural gas, continue to escalate due to supply concerns. The fixed income sector was up for the month of August. The vast majority of the profits came from a short Japanese government 10-year bond position. The foreign exchange sector was negative for August. The strengthening of the Yen against the U.S. dollar resulted in the largest loss in this sector for the month. Equity indices were profitable in August. The energy sector and metals were also up in August. Agricultural products were down for the month. The downward trend in grains that started in June reversed in the beginning of August due to harsh weather conditions. All in all, the Trust recorded a gain of $1,405,233 or $1.52 per unit in August.

The trends that provided profits in August abruptly turned around in September resulting in a loss for the month. The strength of the economic recovery in the United States was called into question due to the continued weakness in the U.S. government employment numbers. The result was interest rates moving lower again and the U.S. dollar giving back recent gains. Additionally, OPEC announced late in the month that they would be cutting production of crude oil, which reversed the decline in prices. The fixed income sector incurred the largest loss for September. The recovery of the Japanese government bond made the Trust’s short position the largest loss for the month. Currencies were positive in September. The vast majority of the profits came from the Japanese yen. Indices were negative in September. The losses were spread fairly evenly across the sector. The energy sector incurred the second largest loss for September due to the short position in oil. Metals were positive in September as the profits came from gold, which continued to trend higher in anticipation of higher inflation. Agricultural products were up for September. Overall, the Trust recorded a loss of $4,142,359 or $4.12 per unit in September.

During the quarter there were 276,479.15 units sold to the Beneficial Owners for an investment of $41,155,904. Beneficial Owners redeemed a total of 7,901.41 units during the quarter. The Managing Owner redeemed a total of 0 units during the quarter. At the end of the quarter there were 1,096,974.40 units outstanding owned by the Beneficial Owners and 5,738.50 units outstanding owned by the Managing Owner.

During the fiscal quarter ending September 30, 2003, the Trust had no material credit exposure to a counterparty, which is a foreign commodity exchange, or to any counterparties dealing in over the counter contracts.

Fiscal Quarter ended June 30, 2004

The Trust recorded a net loss of $52,517,604 or $(29.15) per unit for the second quarter of 2004. As of June 30, 2004, the Trust had gained 21.11% since its inception in June 1997.

On June 30, 2004, JWH was managing 100% of the Trust’s assets. Approximately 30% of the assets were allocated to each of the JWH GlobalAnalytics® Family of Programs and the G-7 Currency Portfolio. Approximately 40% of the Trust’s assets were allocated to JWH’s Financial and Metals Portfolio.

The second quarter of 2004 did not produce any meaningful trends with the possible exception of the energy markets. The lack of price trends in other markets was a result of the confusion in financial markets as analysts attempted to anticipate the major central banks’ exit strategy from their highly accommodative monetary policy of the past two years.

There were two main themes dominating the financial markets in April. First, the emerging strength of the U.S. economy led to market speculation that the Federal Reserve may begin raising interest rates in the near term. The effects of this speculation have been the strengthening of the U.S. dollar and tepid support for global equity indices. Second, the country with the fastest growing economy, China, decided to rein in growth to avoid creating potentially dangerous financial bubbles like the ones it faced a decade ago. The Chinese Central Bank mandate to start limiting available credit and raising domestic interest rates reduced consumption of basic commodities, which diminished the recent vigor in the base metals and grain markets. Energies were profitable for the Trust in April. Concerns about the continued violence in the Middle East and increased global consumer demand helped to maintain prices at their current lofty levels. The Trust’s positions in crude oil and related products were positive. Natural gas positions were the only component of the Trust’s portfolio with negative perfsormance. The agricultural sector was negative for April. The grain markets traded in a volatile fashion, reacting to both continued strong demand in some areas and possibly reduced demand by China as well as the recent strength of the U.S. dollar. Cotton and London sugar had the best performance in the sector while wheat had the largest loss for the Trust. The fixed-income sector was negative in April. Fixed-income markets, particularly in the U.S., were affected by the improvement of the economy and by statements made by members of the Federal Reserve, leading to market speculation that interest rates may be raised sooner than anticipated. This sector registered no positive components for the Trust with the largest losses in the Euro Bund and U.S. 30-year bond. The currency sector was unprofitable in April. The U.S. dollar strengthened against most major currencies in response to advances in U.S. job creation, while consumer confidence and manufacturing activity appeared to be waning in Germany, exerting downward pressure on the Euro. The Swiss franc and Euro were the best performers, while the Japanese yen was the detractor from the Trust’s performance. Indices positions for the Trust were negative in April. Of the companies in the Standard & Poor’s 500 Index reporting earnings, 78% of them surpassed analysts’ forecasts. Japanese equity markets were strong all month. U.S. and some European stock markets faltered later in the month. This sector registered no positive components, with the largest loss coming from the Eurostoxx 50 contract. The metals sector was unprofitable for the Trust in April. Precious metal investors liquidated long positions, which had been a hedge against the current negative real rate of return environment in the US.

Overall, the Trust was down for the month of May. Improving global economies created expectations that central banks may raise interest rates to moderate growth and curtail an increase in inflation. China continued to try to rein in growth by reducing available credit and money supply. Uncertainty dominated the financial markets, preventing strong trends from emerging. Energies were profitable for the Trust in May. Energy prices continued to surge higher due to supply concerns and increased geopolitical risks raised concerns about supply disruptions. China’s increasing appetite for petroleum also placed strains on available production. Saudi Arabia’s offer to increase production had little effect in stabilizing the price of crude oil. All of the Trust’s positions in this sector were positive, with London gas oil being the best performer. The fixed-income sector was positive in May. The U.S. economy continued to show signs of improvement with fears of rising inflation diminishing. The best result was achieved in the Euro Bund. The largest losses occurred in Japanese government bond and the Australian 10-year bond. The currency sector was unprofitable in May. The U.S. dollar was heavily influenced by the release of improving economic numbers and revised expectations for continued growth. The best results for the Trust from this sector were achieved in the British pound / Japanese yen cross and the Australian dollar. The largest detractors from performance were the Japanese yen and the Swiss franc. The global equity markets continued to struggle. World GDP continued at a strong pace; yet concerns over rising interest rates and energy prices reduced enthusiasm for stocks. This sector registered no positive components with the largest loss coming from the Nikkei. The agricultural sector was negative for May. Coffee, the best performer, surged higher due to fears of frost in Brazil. Live cattle made large gains after the USDA expressed uncertainties about reinstating Canadian cattle imports to the U.S. Corn and soybeans had the largest losses. The metals sector was unprofitable for the Trust in May. Prices fell lower for most of the month, coming under pressure with prospects that China’s demand for raw materials will weaken as its economy slows. The Trust’s largest loss came from aluminum.

Overall, the Trust was negative for the month of June. The fixed-income sector was negative for June. U.S. interest rates were heavily influenced by the outcome of the Federal Open Market Committee meeting at the end of the month, and whether it would raise the Federal Funds rate by 25 or 50 basis points. Interest rates in Japan rose during the month on expectations that the Japanese economy will extend its longest expansion since 1997. The foreign exchange sector was negative for June. The U.S. dollar, after weakening mid-month against most major currencies, ended the month with little change. The Japanese yen strengthened against most currencies, including the U.S. dollar, as prospects for a continued expanding economy in Japan took hold. The energy sector was negative for June. The energy markets remained very volatile, with a bias towards higher prices. However, the wide price ranges made trend following difficult. Crude oil prices and related products remained robust as a result of strong growth in the U.S. and China, and continued geopolitical tensions in the Middle East. The agricultural sector was negative for June. The grain markets faced downward price pressure for most of the month as a result of China’s decreased demand. The stock indices and metals sectors were positive for the Trust for June. Base metals initially moved lower this month. However, low levels of global inventories of base metals propelled prices higher by the end of month. Stock indices appeared to be reacting to recent information that implies a sterile macro economic outlook.

During the quarter there were 324,614.95 units sold to the beneficial owners for an investment of $41,513,412. Beneficial owners redeemed a total of 42,093.44 units during the quarter. The Managing Owner redeemed a total of 0 units during the quarter. At the end of the quarter there were 1,997,645.14 units outstanding owned by the Beneficial Owners and 21,743.03 units outstanding owned by the Managing Owner.

During the fiscal quarter ending June 30, 2004, the Trust had no material credit exposure to a counterparty, which is a foreign commodity exchange, or to any counterparties dealing in over the counter contracts.

Fiscal Quarter ended June 30, 2003

The Trust recorded a net profit of $2,138,329 or $4.32 per unit in the second quarter of 2003. As of June 30, 2003, the Trust had gained 53.91% since its inception in June 1997.

The Trust began the quarter with gains in April and a strong May but closed lower in June. Overall, it ended the quarter in positive territory. On June 30, 2003, JWH was managing 100% of the Trust’s assets. Approximately 30% of the assets were allocated to each of the JWH GlobalAnalytics® Family of Programs and the G-7 Currency Portfolio. Approximately 40% of the Trust’s assets were allocated to JWH’s Financial and Metals Portfolio.

The Trust ended April in positive territory as the swift victory in Iraq impacted markets worldwide. The currency sector was primarily responsible for the Trust’s gain in April. The initial enthusiasm for the U.S. dollar in a post-Iraqi war world gave way to bleak fundamentals. The U.S. deficit continued to weigh heavily on the Dollar. Non-Dollar trading had the largest effect on trading profits, specifically, the long Euro/short Yen, long Euro/short British pound, and the long Australian dollar positions. The interest rate sector was positive largely due to a long position in the Japanese 10-year Government bond. The stock index position was down slightly. Most equity markets rallied around the world, encouraged by the quick end to major conflict in Iraq. Energies were marginally positive in April. The fewer than expected oil field fires in Iraq put considerable downward pressure on the price per barrel. Natural gas rallied most of the month on weather related issues and storage deficits. Contrary to the Trust’s position, gold rallied in early April in expectation of the next inflationary cycle. This led to negative performance in the metal sector. Agricultural products were slightly profitable for the month. In response to the conclusion of the major fighting in the Iraqi war, JWH did resume full leverage in the three trading programs effective April 10. The decision to reduce exposure to all markets during the Iraqi conflict proved to be beneficial for investors. Overall, the Trust recorded a gain of $1,147,485 or $1.92 per unit in April.

The Trust also posted positive results for the month of May. Currencies were the best performing sector for May due mainly to the weakening of the U.S. dollar. Investments in the fixed income sector were positive for the month as yields continued to trend lower. The biggest contributors were the Euro Bunds, U.S. 30-year Bonds, Japanese Government 10-year Bonds, and the U.S. 10-year Notes. Stock indices were negative for May due primarily to the poor performance in the Japanese Osaka Nikkei Index. The Nasdaq E-Mini 100 Index turned in the best performance for this sector. Energies posted negative results in May. All crude and crude-related products were down as a result of the markets rallying due to short supply factors. The only positive component in this sector was natural gas. Agricultural products were negative for May. The largest detractors were corn and coffee traded on the New York markets, while the largest positive contributor was cotton. Metals were slightly down for May. Losses occurred in copper, silver and aluminum. Only gold managed to perform in positive territory. Overall, the Trust recorded a gain of $7,826,012 or $11.78 per unit in May.

Overall, the Trust was down in June, which started out as a promising month, but turned abruptly negative during the last two weeks. Two trends that were reestablished after the Iraqi War -- a weakening Dollar and falling global interest rates -- reversed course sharply as hints of improving economic times forced the liquidation of large positions in fixed income and currency markets. Currencies suffered the largest sector loss in June, due to the late month strengthening of the U.S. dollar. Stock indices were the only sector to register positive returns for the month of June. Fixed income investments incurred the second largest sector loss for June. The largest losses were registered in the Japanese 10-year Government Bonds, Euro Bunds and the U.S. 30-year Bonds. Crude oil was up for the month despite volatile trading. Prices were buoyed by a downshift in OPEC output and the concerns over Tropical Storm Bill, hitting the Gulf coast. Overall, however, the energy sector was down for June. The metals sector was down in June, primarily due to the poor performance of gold. Agricultural products were down for the month. All of the other parts of this group had negligible results. Overall, the Trust recorded a loss of $6,835,168 or $9.38 per unit in June.

Effective July 1, 2003, the Brokerage Fee of the Trust was reduced by 1/2 of 1% to 6.0% annually. This reduction is being taken by CIS and represents a direct benefit to the Trust.

During the quarter there were 244,886.61 units sold to the Beneficial Owners for an investment of $38,152,425. Beneficial Owners redeemed a total of 7,572.73 units during the quarter. The Managing Owner redeemed a total of 16.00 units during the quarter. At the end of the quarter there were 828,396.66 units outstanding owned by the Beneficial Owners and 5,738.50 units outstanding owned by the Managing Owner.

During the fiscal quarter ending June 30, 2003, the Trust had no material credit exposure to a counterparty, which is a foreign commodity exchange, or to any counterparties dealing in over the counter contracts.

Fiscal Quarter ended March 31, 2004

The Trust recorded a net profit of $906,431 or $1.14 per unit in the first quarter of 2004. As of March 31, 2004, the Trust had gained 50.26% since its inception in June 1997.

The Trust had an auspicious start in January and February but in March the Trust gave back much of the previous gains. On March 31, 2004, JWH was managing 100% of the Trust’s assets. Approximately 30% of the assets were allocated to each of the JWH GlobalAnalytics® Family of Programs and the G-7 Currency Portfolio. Approximately 40% of the Trust’s assets were allocated to JWH’s Financial and Metals Portfolio.

Overall, the Trust was positive for the month of January. The worldwide trend of interest rates moving lower continued from December. The long Japanese 10-year bond and the Euro Bund positions had the best performance for the fixed income sector, while the U.S. 30-year bond had the largest loss. For the first half of the month, the weakening U.S. dollar trend continued against most major currencies. The long Japanese yen and the British pound positions made the greatest contributions to profits, while the Swiss franc had the largest loss. Stock indices in Europe, the U.S. and Japan maintained their upward trend for most of the month on positive economic growth and a favorable interest rate environment. The Eurostoxx posted the largest profit, while the Osaka Nikkei posted a loss. The upward trend in crude prices and related products continued in a volatile fashion. Crude oil and heating oil posted the best sector gains. The price of gold has been highly correlated with the Euro; therefore it was higher initially at the beginning of the month, but finished lower at the end. Long copper, aluminum and silver positions had the best performance, while gold was the biggest detractor from profits. The agricultural sector was positive for January, primarily on the performance of corn, soybeans and coffee. Overall, the Trust recorded a gain of $2,217,923.59 or $1.60 per unit in January.

Overall, the Trust was positive for the month of February. Interest rates continued to move lower in G7 nations due to benign inflationary pressures. The best results in the sector were achieved in the long Euro bunds, Japanese 10-year bond and the U.S. 10-year note and 30-year bond positions. Energies, with the exception of natural gas, remained on an upward trend because of supply concerns. The U.S. dollar, which had been weakening against most major currencies, found strength mid-month and reversed its five-month downtrend. The best performance for this sector came from the British pound and the Euro/British pound cross. The short Japanese yen and Swiss franc positions recorded the largest losses. Base metals continued the strong move upward due to low inventory levels, while precious metals followed currencies and reversed course during the month. The best performance for this sector came from copper, followed by silver and aluminum. Gold posted a loss for the month. Despite exhibiting a degree of volatility, most equity indices ended the month close to unchanged. Overall, the Trust recorded a gain of $10,165,199.05 or $6.86 per unit in February.

Overall, the Trust was down for the month of March. The month was dominated by increased geopolitical risks, which consequently led to a reduction in speculative market positions. In March, the most influential market factors for the Trust were the effects of Japan’s fiscal year end. The Bank of Japan, through intervention in foreign exchange markets, bolstered the U.S. dollar against the Japanese yen which in turn propelled Japanese equities and interest rates. The only profitable trade in this sector was the Euro/Pound cross. The largest losses came from the Japanese yen, British pound and the Euro. The U.S. employment data showed a paltry rise in jobs created during February, sending bond prices higher and interest rates lower. Interest rates in the ECB community fell as the terrorist attack in Spain dampened confidence in local economies. The biggest change in interest rates occurred in Japan, where rates actually increased. The Euro bund, U.S. 10-year and 30-year bonds were profitable while the largest loss for the sector was incurred in the Japanese 10-year bond. Metals, agriculture, and energies all were profitable sectors for the Trust but could not overcome the losses in interest rates and currencies. Overall, the Trust recorded a loss of $11,476,691.33 or $7.32 per unit in March.

During the quarter there were 380,983.44 units sold to the beneficial owners for an investment of $58,139,432. Beneficial owners redeemed a total of 46,967.88 units during the quarter. The Managing Owner redeemed a total of 32.78 units during the quarter. At the end of the quarter there were 1,715,123.63 units outstanding owned by the Beneficial Owners and 21,743.03 units outstanding owned by the Managing Owner.

During the fiscal quarter ending March 31, 2004, the Trust had no material credit exposure to a counterparty, which is a foreign commodity exchange, or to any counterparties dealing in over the counter contracts.

Fiscal Quarter ended March 31, 2003

The Trust recorded a net profit of $4,418,356 or $10.06 per unit in the first quarter of 2003. As of March 31, 2003, the Trust had gained 49.59% since its inception in June 1997.

The Trust began the year auspiciously with strong gains in January and February but closed lower in March, still ending the quarter, however, in positive territory. On March 31, 2003, JWH was managing 100% of the Trust’s assets. Approximately 30% of the assets were allocated to each of the JWH GlobalAnalytics® Family of Programs and the G-7 Currency Portfolio while approximately 40% of the Trust’s assets were allocated to JWH’s Financial and Metals Portfolio.

In January, the currency sector supplied most of the month’s gain. Non-dollar trading had the largest effect on performance. The Trust’s long Euro, short Yen position was the most profitable position in this sector capitalizing on the very slow growth rate of Japan. Additional gains were made in the long U.S. dollar, short Yen position as well as the Swiss Franc. The steady slowing of the world’s economies fueled the decline of worldwide interest rates. Positions denominated in Euro and Yen were the most profitable. Gains were also posted in the British and U.S. markets. The energy portfolio of the Trust was positive despite a small allocation to this sector. The uncertainty of the Middle East cast a dark shadow over all markets. The remainder of the market sectors traded had little impact on performance. Overall, the Trust recorded a gain of $4,531,380 or $9.86 per unit in January.

The Trust continued its positive performance in February. The impending war with Iraq, slowing global economies, a weaker U.S. dollar and higher energy prices became a recurring theme in the quarter. The currency sector was unchanged in February. The long Euro, short British pound position had the best return of the sector. The Australian dollar and the Swiss franc also performed well. The Japanese yen and the British pound suffered the largest losses due to the sharp reversal from January’s rally. All geographic components of the interest rate sector posted positive results as money market and bond yields worldwide continued to move lower. Notable returns were achieved in the Euro Bund, the U.S. 30-year and 10-year bonds and the Japanese Government bond. The energy sector was the second-best performing sector for the month. The highest returns came from London gas oil and NYMEX natural gas. Gold prices dropped $40 after the German Bundesbank announced that it had sold a portion of its gold reserves. This was the primary reason for negative performance from this sector. Overall, the Trust recorded a gain of $2,630,102 or $5.34 per unit in February.

The Trust closed lower in March as the war in Iraq created volatile moves in the world’s financial and commodity markets. Nearly all markets traded in the interest rate sector were negative as a whipsaw action in the U.S. dollar and interest rates led to losses. This was due to disappointing news in the progress of the war in Iraq. The nearly 35% rise in crude oil since mid-December was erased in just over one week’s time immediately before the start of the war. This caused negative performance in the energy sector. The metal and agricultural sectors had little impact on performance. The stock index sector was the only positive performer for the month. The Trust recorded a loss of $2,743,126 or $5.14 per unit in March.

In early March, out of concern for heightened volatility in global markets, JWH reduced the Trust’s exposure to all markets traded but continued to follow its disciplined trading approach.

During the quarter there were 144,935.32 units sold to the beneficial owners for an investment of $21,895,406. Beneficial owners redeemed a total of 7,730.71 units during the quarter. The Managing Owner redeemed a total of 0 units during the quarter. At the end of the quarter there were 591,082.78 units outstanding owned by the beneficial owners and 5,754.50 units outstanding owned by the Managing Owner.

During the fiscal quarter ending March 31, 2003, the Trust had no material credit exposure to a counterparty, which is a foreign commodity exchange, or to any counterparties dealing in over the counter contracts.

(d) Off-Balance-Sheet Arrangements; Disclosure of Contractual Obligations

There have been no changes with respect to the Trust’s off-balance-sheet arrangements (as defined in Regulation S-K 303(a)(4)(ii)) or disclosure of contractual obligations as reported in the Trust’s Annual Report on Form 10-K for fiscal year 2003

Item 3. Quantitative and Qualitative Disclosures About Market Risk

There has been no material change with respect to market risk since the “Quantitative and Qualitative Disclosures About Market Risk” was made in the Form 10-K of the Trust dated December 31, 2003.

Item 4. Controls and Procedures

Under the supervision and with the participation of the management of CIS Investments, Inc., the Managing Owner of the Trust, including the Managing Owner’s Chief Executive Officer and Chief Financial Officer, the Trust has evaluated the effectiveness of the design and operation of its disclosure controls and procedures as of the end of the period covered by this quarterly report, and, based on their evaluation, the Chief Executive Officer and Chief Financial Officer of the Managing Owner have concluded that these disclosure controls and procedures are effective. There were no significant changes in the Trust’s internal controls over financial reporting or in other factors that could materially affect these controls subsequent to the date of their evaluation.

PART II - OTHER INFORMATION

Item 1. Legal Proceedings

The Trust and its affiliates may from time to time be parties to various legal actions arising in the normal course of business. The Managing Owner believes that there are no proceedings threatened or pending against the Trust or any of its affiliates which, if determined adversely, would have a material adverse effect on the financial condition or results of operations of the Trust.

Item 2. Unregistered Sales of Securities and Use of Proceeds

	a)	None
	b)	Regulation S-K Item 701(f)
	(1)	The use of proceeds information is being disclosed for Registration Statement Nos. 333-16875, 333-33937 and 333-105282, filed pursuant to Commission Rule 429, declared effective on April 3, 1997, September 24, 1997 and July 2, 2003, respectively.
	(2)	The offering of units has continued on an ongoing basis since April 3, 1997.
	(4)(ii)	The lead selling agent for the units is CIS Securities, Inc.
	(iii)	The title of the units is Units of Beneficial Interest.
	(iv)	For the account of the issuer, the amount of units sold as of September 30, 2004 is 3,202,314.84, and the aggregate offering price of the amount sold as of September 30, 2004 is $411,091,631.
	(vi)	The net offering proceeds to the issuer totaled $411,091,631.
	(vii)	From the effective date of the Registration Statements to September 30, 2004, the amount of net offering proceeds to the issuer for commodity futures and forward trading totaled $411,091,631.
	c)	The Trust permits unitholders to redeem units at the end of each month at the Net Asset Value per unit on the redemption date. The redemption of units has no impact on the net asset value of the untis that remain outstanding and units may not be reissued once they are redeemed

The following table summarizes the redemptions by unitholders during the third quarter of 2004:

Month	Units Redeemed	Redemption Date NAV per Unit
July	12,323.37	117.10
August	31,374.73	114.51
September	15,066.90	119.39
Total	58,765.00

Item 3. Defaults Upon Senior Securities

None

Item 4. Submission of Matters to a Vote of Security Holders