2100 Xenon Group LLC : Managed Futures (2x) Program
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definitions page
Year-to-Date
2.63%
Jan 2.63%
|
Min. Investment |
$ 5,000k |
Inception |
Jun 2006 |
Assets |
$ 76.7M |
|
Mgmt Fee |
2.00% |
Sharpe (RFR=1%)
|
0.57 |
Worst DD |
-18.40 |
|
Perf Fee |
20.00% |
CAROR |
9.44% |
S&P Correlation |
-0.39 |
Performance
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | DD |
| 2012 | 2.63 | | | | | | | | | | | | 2.63 | N/A |
| 2011 | -2.86 | 4.05 | -1.21 | 6.98 | -1.43 | -2.61 | 5.62 | 4.94 | -2.52 | -4.08 | 0.55 | 1.62 | 8.59 | -6.50 |
| 2010 | 0.04 | 0.23 | 1.94 | -2.14 | 4.32 | -1.65 | -3.16 | 5.51 | -2.18 | 3.87 | -6.19 | 2.87 | 2.82 | -6.19 |
| 2009 | 1.78 | -1.51 | -6.91 | -4.03 | -3.44 | -3.39 | 1.87 | 1.37 | -1.00 | -2.33 | 3.51 | -3.22 | -16.43 | -18.04 |
| 2008 | 12.35 | 9.95 | -0.99 | -4.98 | 1.15 | 3.22 | -7.60 | -1.70 | 1.84 | 19.44 | 3.09 | 3.63 | 43.21 | -10.78 |
| 2007 | 0.33 | -2.92 | -1.14 | 1.09 | 6.91 | 1.39 | -3.66 | -8.14 | 10.54 | 3.63 | 4.68 | 1.02 | 13.11 | -11.50 |
| 2006 | | | | | | 3.59 | -5.93 | 0.02 | 0.88 | 4.28 | 1.31 | 3.45 | 7.46 | -5.93 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE RISK OF LOSS
IN TRADING COMMODITY FUTURES, OPTIONS, AND FOREIGN EXCHANGE ("FOREX") IS SUBSTANTIAL.
Strategy Description
Summary
-The 2100 Xenon Managed Futures (2x) Program is a systematic, fully diversified managed futures strategy that invests in global equity, fixed income, currency, metals, energy, and commodity markets with an expected volatility of 15%-20% annualized. The Program uses experience-driven mathematical and statistical approaches to investment decision making and incorporates 237 models to estimate signals across 56 markets worldwide.
Risk Management
2100 Xenon defines risk management as the careful, disciplined control of the number of contracts traded per dollar invested in the strategy. They include the use of stops for all positions, and have defined maximum expected losses in every trade. In addition, we manage positions sizes across three different time frames. Typically, positions are resized daily according to a medium-term estimate of market volatility. During periods of extreme volatility, however, we will shorten their time estimate of volatility such that daily resizing is more sensitive to recent volatility shocks, and, therefore, reduces risk more quickly. Further, we take intra-day risk snapshots of expected portfolio composition, and when it changes significantly, positions are adjusted accordingly.
