Manning & Napier : MN Xenon Futures Alpha Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Jan Performance 1.83% Min Investment $ 7,500k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 11.24% Sharpe (RFR=1%) -0.75 CAROR -7.72% Assets $ 7.0M Worst DD -23.45 S&P Correlation 0.23 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page Growth of 1,000 - VAMI Monthly Performance Export Data Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Period Returns Program / Index Jan Qtr YTD 1yr 3yr 5yr 10yr Since6/2013 MN Xenon Futures Alpha Program 1.83 1.83 - -19.16 - - - -19.28 S&P 500 -5.07 -6.69 - -2.74 - - - 28.23 +/- S&P 500 6.90 8.52 - -16.41 - - - -47.51 Strategy Description SummaryThe MN Xenon Futures Alpha Program, launched in June, 2013, is a systematic managed futures strategy that comprises of MN Xenon’s specialty models, has a low correlation to trend following CTA strategies and effectively a zero correlation to volatility. The Program uses experience-driven... Read More Account & Fees Type Managed Account Minimum Investment $ 7,500k Trading Level Incremental Increase $ 100k CTA Max Funding Factor Management Fee 2.00% Performance Fee 20.00% Average Commission $2,000.00 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 2000 RT/YR/$M Avg. Margin-to-Equity 10% Targeted Worst DD 4.48% Worst Peak-to-Trough -4.48% Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 32.00% 1-3 Months 0% 1-30 Days 68.00% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Fundamental 81.00% Spreading/hedging 19.00% Composition Interest Rates 44.00% Currency Futures 24.00% Stock Indices 18.00% Energy 5.00% Grains 3.00% Livestock 3.00% Softs 3.00% SummaryThe MN Xenon Futures Alpha Program, launched in June, 2013, is a systematic managed futures strategy that comprises of MN Xenon’s specialty models, has a low correlation to trend following CTA strategies and effectively a zero correlation to volatility. The Program uses experience-driven mathematical and statistical approaches to investment decision making and incorporates six model families to estimate signals across 57 markets worldwide. Risk ManagementManning & Napier 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. Actual data of "MN Xenon Futures Alpha Program" have been used till April 2014. From May 2014, Actual Addition/redemption and trading income of "Manning & Napier account" is being used. Pro Forma Management fee rate is 1% p.a. calculated monthly. Pro Forma Incentive fee rate is 10% calculated quarterly. Actual Incentive fee base of Manning & Napier account of April 30th, 2014 was used for Pro Forma calculation at May 2014 month begin. Prior to May 23, 2014, this account was managed by 2100 Xenon Group LLC. Effective from May 23, 2014, 2100 Xenon Group LLC was taken over by Manning & Napier Advisors, LLC and now Manning & Napier Advisors, LLC is managing this account. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual Reward Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Reward Compound RoR: Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year. Drawdown Report Depth Length (Mos.) Recovery (Mos.) Peak Valley -23.45 24 - 12/1/2013 12/1/2015 -4.48 1 2 1/1/0001 6/1/2013 -2.02 1 1 9/1/2013 10/1/2013 Show More Consecutive Gains Run-up Length (Mos.) Start End 15.36 4 12/1/2014 3/1/2015 5.79 3 7/1/2013 9/1/2013 4.59 2 11/1/2013 12/1/2013 2.36 2 5/1/2015 6/1/2015 1.83 1 1/1/2016 1/1/2016 1.40 1 10/1/2015 10/1/2015 0.84 1 7/1/2014 7/1/2014 0.28 1 2/1/2014 2/1/2014 Show More Consecutive Losses Run-up Length (Mos.) Start End -12.39 3 7/1/2015 9/1/2015 -7.66 4 8/1/2014 11/1/2014 -7.38 1 4/1/2015 4/1/2015 -7.31 1 1/1/2014 1/1/2014 -5.74 2 11/1/2015 12/1/2015 -4.48 1 6/1/2013 6/1/2013 -3.43 4 3/1/2014 6/1/2014 -2.02 1 10/1/2013 10/1/2013 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month Number of Periods32.0030.0027.0021.0015.00 Percent Profitable46.8823.3329.6319.050.00 Average Period Return-0.62-1.79-3.73-5.90-8.89 Average Gain2.105.915.631.78 Average Loss-3.01-4.13-7.67-7.71-8.89 Best Period4.5912.129.314.16-1.19 Worst Period-7.38-12.39-16.94-14.91-14.72 Standard Deviation3.245.487.405.554.26 Gain Standard Deviation1.424.663.231.71 Loss Standard Deviation2.373.014.454.444.26 Sharpe Ratio (1%)-0.22-0.37-0.57-1.24-2.44 Average Gain / Average Loss0.701.430.730.23 Profit / Loss Ratio0.620.440.310.05 Downside Deviation (10%)3.005.369.2612.1716.99 Downside Deviation (5%)2.814.627.768.7411.18 Downside Deviation (0%)2.764.447.397.949.80 Sortino Ratio (10%)-0.34-0.56-0.67-0.90-0.97 Sortino Ratio (5%)-0.25-0.44-0.55-0.79-0.93 Sortino Ratio (0%)-0.22-0.40-0.51-0.74-0.91 Top Performer Badges Index Award Type Rank Performance Period Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel