Manning & Napier : MN Xenon Futures Alpha Program

archived programsClosed to new investments
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

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 Since
6/2013
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

Summary

The 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%
Strategy Pie Chart

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%
Composition Pie Chart

Summary

The 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 Management

Manning & 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.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

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
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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
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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
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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.