Manning & Napier : MN Xenon Global Fixed Income (2x) Program

archived programs
Year-to-Date
N / A
Feb Performance
4.70%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
13.27%
Sharpe (RFR=1%)
-0.53
CAROR
-6.69%
Assets
$ 1.6M
Worst DD
-45.70
S&P Correlation
-0.28

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
5/2010
MN Xenon Global Fixed Income (2x) Program 4.70 0.40 - -22.93 -25.64 -28.05 - -33.24
S&P 500 -0.41 -7.12 - -8.19 27.57 45.56 - 77.34
+/- S&P 500 5.11 7.52 - -14.75 -53.21 -73.61 - -110.57

Strategy Description

Summary

The MN Xenon Long/Short Global Fixed Income Program is a systematic managed futures strategy that invests in global fixed income markets with an expected volatility of 15-20% annualized. The Program uses experience-driven mathematical and statistical... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$4.00
Available to US Investors
Yes

Subscriptions

High Water Mark
No
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
4000 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Financial & Metals Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Interest Rates
100.00%
Composition Pie Chart

Summary

The MN Xenon Long/Short Global Fixed Income Program is a systematic managed futures strategy that invests in global fixed income markets with an expected volatility of 15-20% annualized. The Program uses experience-driven mathematical and statistical approaches to investment decision making and incorporates eight model families to estimate signals across 19 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.

   

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
-45.70 43 - 5/1/2012 12/1/2015
-15.20 7 5 8/1/2010 3/1/2011
-8.41 7 2 8/1/2011 3/1/2012
-0.37 1 1 6/1/2010 7/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
20.02 5 4/1/2011 8/1/2011
13.89 3 11/1/2014 1/1/2015
10.68 2 1/1/2016 2/1/2016
9.80 2 4/1/2012 5/1/2012
9.57 2 5/1/2013 6/1/2013
5.66 2 11/1/2013 12/1/2013
5.14 2 5/1/2010 6/1/2010
3.95 2 10/1/2015 11/1/2015
3.88 1 8/1/2013 8/1/2013
3.62 1 8/1/2010 8/1/2010
3.00 1 12/1/2011 12/1/2011
2.35 1 7/1/2012 7/1/2012
2.32 2 7/1/2014 8/1/2014
0.61 2 11/1/2012 12/1/2012
0.41 1 10/1/2010 10/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-27.35 8 2/1/2015 9/1/2015
-19.33 6 1/1/2014 6/1/2014
-12.39 5 11/1/2010 3/1/2011
-12.24 3 8/1/2012 10/1/2012
-10.21 4 1/1/2013 4/1/2013
-9.29 1 12/1/2015 12/1/2015
-7.30 3 1/1/2012 3/1/2012
-7.28 2 9/1/2013 10/1/2013
-4.07 3 9/1/2011 11/1/2011
-3.68 2 9/1/2014 10/1/2014
-3.60 1 9/1/2010 9/1/2010
-2.86 1 6/1/2012 6/1/2012
-0.42 1 7/1/2013 7/1/2013
-0.37 1 7/1/2010 7/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods70.0068.0065.0059.0053.0047.0035.0023.00
Percent Profitable41.4336.7638.4623.7320.7510.642.860.00
Average Period Return-0.50-1.86-3.84-6.69-9.89-14.02-20.84-26.48
Average Gain3.185.726.537.617.834.330.37
Average Loss-3.11-6.27-10.32-11.14-14.52-16.21-21.46-26.48
Best Period8.6813.8919.3715.0616.396.760.37-6.64
Worst Period-9.29-16.04-24.43-27.58-24.50-37.96-38.15-44.73
Standard Deviation3.837.1110.0910.3310.8611.7911.1011.54
Gain Standard Deviation2.094.105.325.155.482.58
Loss Standard Deviation2.334.106.146.906.0110.4610.6311.54
Sharpe Ratio (1%)-0.15-0.30-0.43-0.74-1.05-1.36-2.15-2.65
Average Gain / Average Loss1.020.910.630.680.540.270.02
Profit / Loss Ratio0.720.530.400.210.140.030.00
Downside Deviation (10%)3.226.7811.1115.3320.4426.9338.2049.34
Downside Deviation (5%)3.016.109.7312.1615.2119.8026.2632.56
Downside Deviation (0%)2.965.939.3911.4113.9718.1723.5428.78
Sortino Ratio (10%)-0.28-0.46-0.57-0.76-0.85-0.90-0.96-0.97
Sortino Ratio (5%)-0.19-0.35-0.45-0.63-0.75-0.81-0.91-0.94
Sortino Ratio (0%)-0.17-0.31-0.41-0.59-0.71-0.77-0.89-0.92

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 10 3.88 8/2013
Systematic Trader Index Month 8 5.87 5/2011

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