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

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

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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

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%

Composition

Interest Rates: 100.00%

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.

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

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Index:

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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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year
Number of Periods	70.00	68.00	65.00	59.00	53.00	47.00	35.00	23.00
Percent Profitable	41.43	36.76	38.46	23.73	20.75	10.64	2.86	0.00
Average Period Return	-0.50	-1.86	-3.84	-6.69	-9.89	-14.02	-20.84	-26.48
Average Gain	3.18	5.72	6.53	7.61	7.83	4.33	0.37
Average Loss	-3.11	-6.27	-10.32	-11.14	-14.52	-16.21	-21.46	-26.48
Best Period	8.68	13.89	19.37	15.06	16.39	6.76	0.37	-6.64
Worst Period	-9.29	-16.04	-24.43	-27.58	-24.50	-37.96	-38.15	-44.73
Standard Deviation	3.83	7.11	10.09	10.33	10.86	11.79	11.10	11.54
Gain Standard Deviation	2.09	4.10	5.32	5.15	5.48	2.58
Loss Standard Deviation	2.33	4.10	6.14	6.90	6.01	10.46	10.63	11.54
Sharpe Ratio (1%)	-0.15	-0.30	-0.43	-0.74	-1.05	-1.36	-2.15	-2.65
Average Gain / Average Loss	1.02	0.91	0.63	0.68	0.54	0.27	0.02
Profit / Loss Ratio	0.72	0.53	0.40	0.21	0.14	0.03	0.00
Downside Deviation (10%)	3.22	6.78	11.11	15.33	20.44	26.93	38.20	49.34
Downside Deviation (5%)	3.01	6.10	9.73	12.16	15.21	19.80	26.26	32.56
Downside Deviation (0%)	2.96	5.93	9.39	11.41	13.97	18.17	23.54	28.78
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.

^#10

Top Performer

SYSTEMATIC TRADER INDEX

AUGUST
2013

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

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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