Manning & Napier : MN Xenon Global Fixed Income (2x) Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since5/2010 MN Xenon Global Fixed Income (2x) Program 4.70 - - - - 1.75 -36.46 -33.24 S&P 500 -0.41 - - - - 45.56 50.85 197.06 +/- S&P 500 5.11 - - - - -43.81 -87.31 -230.29 Strategy Description SummaryThe 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% Composition Interest Rates 100.00% SummaryThe 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 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. 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel