Manning & Napier : MN Xenon Futures Alpha Program

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.