Manning & Napier : MN Xenon Managed Futures (2x) Program

archived programs
Year-to-Date
N / A
Mar Performance
-4.57%
Min Investment
$ 5,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.39%
Sharpe (RFR=1%)
0.04
CAROR
0.42%
Assets
$ 7.6M
Worst DD
-41.85
S&P Correlation
-0.27

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
6/2006
MN Xenon Managed Futures (2x) Program -4.57 1.14 - -25.43 -27.91 -30.23 - 4.20
S&P 500 6.60 0.77 - -0.39 31.26 55.32 - 62.13
+/- S&P 500 -11.17 0.37 - -25.04 -59.17 -85.55 - -57.93

Strategy Description

Summary

-The MN Xenon Managed Futures (2x) Program is a systematic, fully diversified managed futures strategy that invests in global equity, fixed income, currency, metals, energy, and commodity markets with... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$6.00
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
4000 RT/YR/$M
Avg. Margin-to-Equity
14%
Targeted Worst DD
Worst Peak-to-Trough
0%
Sector Focus
Diversified 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

Composition

Interest Rates
51.00%
Currency FX
16.00%
Stock Indices
12.00%
Softs
6.00%
Energy
5.00%
Grains
5.00%
Livestock
5.00%
Composition Pie Chart

Summary

-The MN Xenon Managed Futures (2x) Program is a systematic, fully diversified managed futures strategy that invests in global equity, fixed income, currency, metals, energy, and commodity markets with an expected volatility of 15%-20% annualized. The Program uses experience-driven mathematical and statistical approaches to investment decision making and incorporates nine model families to estimate signals across 56 markets worldwide.

Investment Strategy

1 The trading program includes both separately managed accounts and the MN Xenon Managed Futures Fund LP (the “Fund”). As of December 1, 2014, more than 50% of the Fund's net asset value is seed capital invested by Manning & Napier (proprietary assets). The Program performance provided above continues to include all accounts using the MF2X Program, including the Fund (proprietary account) and includes a proforma 2% management fee and 20% quarterly incentive fee on the Fund seed capital nominal. 2 Please note: The performance figures are estimates as noted and are subject to restatement.  Also, the Jan. 2015 MN Xenon Managed Futures 2x program estimate does not reflect any performance based fees for the month.

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
-41.85 83 - 1/1/2009 12/1/2015
-11.50 2 2 6/1/2007 8/1/2007
-10.78 6 2 2/1/2008 8/1/2008
-5.93 1 4 6/1/2006 7/1/2006
-4.03 2 2 1/1/2007 3/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
49.64 6 9/1/2007 2/1/2008
32.26 5 9/1/2008 1/1/2009
21.42 5 11/1/2014 3/1/2015
10.84 2 7/1/2011 8/1/2011
10.64 6 8/1/2006 1/1/2007
9.58 3 4/1/2007 6/1/2007
8.43 2 11/1/2013 12/1/2013
6.98 1 4/1/2011 4/1/2011
6.61 1 7/1/2012 7/1/2012
5.99 2 1/1/2016 2/1/2016
5.51 1 8/1/2010 8/1/2010
4.80 3 11/1/2011 1/1/2012
4.41 2 5/1/2008 6/1/2008
4.32 1 5/1/2010 5/1/2010
4.05 1 2/1/2011 2/1/2011
3.87 1 10/1/2010 10/1/2010
3.59 1 6/1/2006 6/1/2006
3.51 1 11/1/2009 11/1/2009
3.31 2 7/1/2014 8/1/2014
3.27 2 7/1/2009 8/1/2009
2.87 1 12/1/2010 12/1/2010
2.22 3 1/1/2010 3/1/2010
2.13 2 7/1/2013 8/1/2013
2.08 2 4/1/2012 5/1/2012
1.03 2 12/1/2012 1/1/2013
0.83 1 2/1/2014 2/1/2014
0.75 1 4/1/2013 4/1/2013
0.16 1 5/1/2014 5/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-26.27 9 4/1/2015 12/1/2015
-17.92 5 2/1/2009 6/1/2009
-11.50 2 7/1/2007 8/1/2007
-10.65 4 8/1/2012 11/1/2012
-10.47 1 1/1/2014 1/1/2014
-9.17 2 7/1/2008 8/1/2008
-6.81 2 9/1/2014 10/1/2014
-6.80 2 3/1/2014 4/1/2014
-6.50 2 9/1/2011 10/1/2011
-6.19 1 11/1/2010 11/1/2010
-6.09 2 2/1/2013 3/1/2013
-5.93 1 7/1/2006 7/1/2006
-5.92 2 3/1/2008 4/1/2008
-5.36 2 5/1/2013 6/1/2013
-4.76 2 6/1/2010 7/1/2010
-4.57 1 3/1/2016 3/1/2016
-4.03 2 2/1/2007 3/1/2007
-4.00 2 5/1/2011 6/1/2011
-3.68 1 6/1/2014 6/1/2014
-3.51 2 9/1/2013 10/1/2013
-3.42 1 6/1/2012 6/1/2012
-3.31 2 9/1/2009 10/1/2009
-3.22 1 12/1/2009 12/1/2009
-2.86 1 1/1/2011 1/1/2011
-2.62 2 2/1/2012 3/1/2012
-2.18 1 9/1/2010 9/1/2010
-2.14 1 4/1/2010 4/1/2010
-1.21 1 3/1/2011 3/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods118.00116.00113.00107.00101.0095.0083.0071.0059.00
Percent Profitable51.6942.2451.3355.1449.5051.5848.1942.2544.07
Average Period Return0.130.461.062.494.344.413.255.368.28
Average Gain3.327.489.3113.1720.6322.6924.3735.3841.22
Average Loss-3.28-4.67-7.65-10.64-11.64-15.07-16.39-16.60-17.67
Best Period19.4427.6049.6443.6773.9166.7254.0869.4274.42
Worst Period-10.47-14.50-19.31-25.43-22.96-30.04-32.63-36.57-31.12
Standard Deviation4.448.1511.5915.5721.5124.3524.8828.9533.84
Gain Standard Deviation3.417.429.9212.3619.1420.0817.5116.7223.79
Loss Standard Deviation2.423.534.936.256.337.5310.229.677.56
Sharpe Ratio (1%)0.010.030.050.100.130.100.010.050.09
Average Gain / Average Loss1.011.601.221.241.771.511.492.132.33
Profit / Loss Ratio1.081.171.281.521.741.601.381.561.84
Downside Deviation (10%)3.065.227.8611.3214.4818.5224.6830.1035.18
Downside Deviation (5%)2.874.596.638.8310.3512.9715.7717.3017.94
Downside Deviation (0%)2.824.446.338.249.3911.6913.8614.5514.34
Sortino Ratio (10%)-0.09-0.15-0.18-0.22-0.22-0.32-0.51-0.54-0.55
Sortino Ratio (5%)0.020.050.080.170.270.190.010.080.18
Sortino Ratio (0%)0.050.100.170.300.460.380.230.370.58

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.