Manning & Napier Advisors

MANNING & NAPIER ADVISORS, LLC

COMMODITY TRADING ADVISOR DISCLOSURE DOCUMENT

Contact Information:

MANNING & NAPIER ADVISORS, LLC 353 N. CLARK STREET, SUITE 1950 CHICAGO, ILLINOIS 60654 ATTN: Jay Feuerstein Telephone: 312-873-3100 Facsimile: 312-873-3101 E-mail: [email protected]

THE ADVISOR FIRST INTENDS TO USE THIS DISCLOSURE DOCUMENT ON AUGUST 20, 2014.

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUACY OR ACCURACY OF COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.

RISK DISCLOSURE STATEMENT

THE RISK OF LOSS IN TRADING COMMODITY INTERESTS CAN BE SUBSTANTIAL. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IN CONSIDERING WHETHER TO TRADE OR TO AUTHORIZE SOMEONE ELSE TO TRADE FOR YOU, YOU SHOULD BE AWARE OF THE FOLLOWING:

IF YOU PURCHASE A COMMODITY OPTION YOU MAY SUSTAIN A TOTAL LOSS OF THE PREMIUM AND OF ALL TRANSACTION COSTS.

IF YOU PURCHASE OR SELL A COMMODITY FUTURES CONTRACT OR SELL A COMMODITY OPTION OR ENGAGE IN OFF-EXCHANGE FOREIGN CURRENCY TRADING YOU MAY SUSTAIN A TOTAL LOSS OF THE INITIAL MARGIN FUNDS OR SECURITY DEPOSIT AND ANY ADDITIONAL FUNDS THAT YOU DEPOSIT WITH YOUR BROKER TO ESTABLISH OR MAINTAIN YOUR POSITION. IF THE MARKET MOVES AGAINST YOUR POSITION, YOU MAY BE CALLED UPON BY YOUR BROKER TO DEPOSIT A SUBSTANTIAL AMOUNT OF ADDITIONAL MARGIN FUNDS, ON SHORT NOTICE, IN ORDER TO MAINTAIN YOUR POSITION. IF YOU DO NOT PROVIDE THE REQUESTED FUNDS WITHIN THE PRESCRIBED TIME, YOUR POSITION MAY BE LIQUIDATED AT A LOSS, AND YOU WILL BE LIABLE FOR ANY RESULTING DEFICIT IN YOUR ACCOUNT.

UNDER CERTAIN MARKET CONDITIONS, YOU MAY FIND IT DIFFICULT OR IMPOSSIBLE TO LIQUIDATE A POSITION. THIS CAN OCCUR, FOR EXAMPLE, WHEN THE MARKET MAKES A “LIMIT MOVE.”

THE PLACEMENT OF CONTINGENT ORDERS BY YOU OR YOUR TRADING ADVISOR, SUCH AS A “STOP-LOSS” OR “STOP-LIMIT” ORDER, WILL NOT NECESSARILY LIMIT YOUR LOSSES TO THE INTENDED AMOUNTS, SINCE MARKET CONDITIONS MAY MAKE IT IMPOSSIBLE TO EXECUTE SUCH ORDERS.

A “SPREAD” POSITION MAY NOT BE LESS RISKY THAN A SIMPLE “LONG” OR “SHORT” POSITION.

THE HIGH DEGREE OF LEVERAGE THAT IS OFTEN OBTAINABLE IN COMMODITY INTEREST TRADING CAN WORK AGAINST YOU AS WELL AS FOR YOU. THE USE OF LEVERAGE CAN LEAD TO LARGE LOSSES AS WELL AS GAINS.

IN SOME CASES, MANAGED COMMODITY ACCOUNTS ARE SUBJECT TO SUBSTANTIAL CHARGES FOR MANAGEMENT AND ADVISORY FEES. IT MAY BE NECESSARY FOR THOSE ACCOUNTS THAT ARE SUBJECT TO

THESE CHARGES TO MAKE SUBSTANTIAL TRADING PROFITS TO AVOID DEPLETION OR EXHAUSTION OF THEIR ASSETS. THIS DISCLOSURE DOCUMENT CONTAINS, AT PAGE 13, A COMPLETE DESCRIPTION OF EACH FEE TO BE CHARGED TO YOUR ACCOUNT BY THE COMMODITY TRADING ADVISOR.

THIS BRIEF STATEMENT CANNOT DISCLOSE ALL THE RISKS AND OTHER SIGNIFICANT ASPECTS OF THE COMMODITY INTEREST MARKETS. YOU SHOULD THEREFORE CAREFULLY STUDY THIS DISCLOSURE DOCUMENT AND COMMODITY INTEREST TRADING BEFORE YOU TRADE, INCLUDING THE DESCRIPTION OF THE PRINCIPAL RISK FACTORS OF THIS INVESTMENT, AT PAGE 7.

YOU SHOULD ALSO BE AWARE THAT THIS COMMODITY TRADING ADVISOR MAY ENGAGE IN TRADING FOREIGN FUTURES OR OPTIONS CONTRACTS. TRANSACTIONS ON MARKETS LOCATED OUTSIDE THE UNITED STATES, INCLUDING MARKETS FORMALLY LINKED TO A UNITED STATES MARKET MAY BE SUBJECT TO REGULATIONS WHICH OFFER DIFFERENT OR DIMINISHED PROTECTION. FURTHER, UNITED STATES REGULATORY AUTHORITIES MAY BE UNABLE TO COMPEL THE ENFORCEMENT OF THE RULES OF REGULATORY AUTHORITIES OR MARKETS IN NON-UNITED STATES JURISDICTIONS WHERE YOUR TRANSACTIONS MAY BE EFFECTED. BEFORE YOU TRADE YOU SHOULD INQUIRE ABOUT ANY RULES RELEVANT TO YOUR PARTICULAR CONTEMPLATED TRANSACTIONS AND ASK THE FIRM WITH WHICH YOU INTEND TO TRADE FOR DETAILS ABOUT THE TYPES OF REDRESS AVAILABLE IN BOTH YOUR LOCAL AND OTHER RELEVANT JURISDICTIONS.

THIS COMMODITY TRADING ADVISOR IS PROHIBITED BY LAW FROM ACCEPTING FUNDS IN THE TRADING ADVISOR'S NAME FROM A CLIENT FOR TRADING COMMODITY INTERESTS. YOU MUST PLACE ALL FUNDS FOR TRADING IN THIS TRADING PROGRAM DIRECTLY WITH A FUTURES COMMISSION MERCHANT OR RETAIL FOREIGN EXCHANGE DEALER, AS APPLICABLE.

TABLE OF CONTENTS THE ADVISOR ...... 1 CLEARING ARRANGEMENTS ...... 3 INVESTMENT OBJECTIVES AND STRATEGY ...... 3 PRINCIPAL RISK FACTORS ...... 7 COMPENSATION TO THE ADVISOR...... 13 OPERATING EXPENSES ...... 14 CONFLICTS OF INTEREST; PROPRIETARY TRADING ...... 14 PERFORMANCE DATA FOR TRADING PROGRAM ...... 17

THE ADVISOR

Manning & Napier Advisors, LLC, (the “Advisor”), a Delaware limited liability company formed on September 13, 2011, registered on May 6, 2014 with the Commodity Futures Trading Commission as a commodity pool operator and commodity trading advisor and has been a member of the National Futures Association since May 6, 2014. The Advisor is also registered with the Securities and Exchange Commission as a registered investment adviser. The Advisor’s main business address is 290 Woodcliff Drive, Fairport, New York 14450 and its main business telephone number is (585) 325-6880. The Advisor will begin using this Disclosure Document on the date set forth on the cover page. The information and opinions contained herein are subject to change or revision subsequent to the date of this Disclosure Document. The key professionals of the Advisor for the MN Xenon Strategies are Jay Feuerstein and Jeffrey Bolduc. The Advisor may in the future admit additional members.

On May 22, 2014 Manning & Napier acquired the business and operations of 2100 Xenon Group, LLC, a Chicago-based investment firm specializing in managed futures and global macro strategies for institutional and individual clients. 2100 Xenon Group, LLC was formed on February 7, 2005, registered on February 21, 2007 with the Commodity Futures Trading Commission as a commodity pool operator and commodity trading advisor and was a member of the National Futures Association since February 21, 2007.

Jay R. Feuerstein co-founded Xenon Capital Management, LLC (“Xenon Capital”), an Illinois limited liability company which was the general partner of Xenon Partners L.P., an Illinois limited partnership that operated as a private investment fund, in 2001. Mr. Feuerstein was the Managing Member and Chief Investment Officer of Xenon Capital from its inception until 2007, when the business of Xenon Capital was acquired by 2100 Xenon Group, LLC. Mr. Feuerstein served as the Chief Executive Officer and Chief Investment Officer of 2100 Xenon Group, LLC from 2008 through May 2014, when the business of 2100 Xenon Group, LLC was acquired by the Advisor. He currently serves as the Managing Director of the Alternative Strategies Group of the Advisor. Before founding Xenon Capital, Mr. Feuerstein was a Managing Director/Principal in the Chicago office of Bear Stearns & Co. Inc. (“Bear Stearns”) from 1997 to 2001, working with clients in the hedge fund, mutual fund, insurance and pension areas. Prior to his affiliation with Bear Stearns, Mr. Feuerstein served as Senior Vice President for Paine Webber from 1995 to 1997 following its purchase of Kidder Peabody. From 1992 to 1995 he served as Director of Global Futures Sales and Marketing for Fixed Income at Kidder Peabody. In the first twelve years after he received an MBA from the University of Chicago (1980), Mr. Feuerstein worked in sales, trading and research for Lehman Brothers,

Drexel Burnham Lambert, The Chicago Corporation and Conti Commodity Services, Inc. Mr. Feuerstein also has published several articles in Corporate Finance Review, Treasury & Risk Management, The Journal of Futures Markets, The MFA Reporter and the Family Office Exchange. Several of these articles specifically deal with trading strategies, risk management and economic theory. In addition, Mr. Feuerstein has lectured at many professional conferences and educational seminars at institutions such as the University of Chicago Graduate School of Business, Northwestern University’s Kellogg School of Management, Duke University’s Fuqua Graduate School of Business, Chicago Mercantile Exchange, the Chicago Board Options Exchange, Marsh & McLennan and the Chicago Board of Trade.

Jeffrey P. Bolduc joined 2100 Xenon Group, LLC in August 2008 as a Senior Quantitative Analyst and now serves as the Portfolio Manager for the Alternative Strategies Group of the Advisor. In this capacity Jeffrey is responsible for researching investments for the futures portfolios. Jeffrey joined Manning & Napier in May 2014 when Manning & Napier acquired 2100 Xenon Group, LLC. Prior to joining Manning & Napier, Jeffrey was the Director of Research and Trading at 2100 Xenon Group, LLC where he managed the research of future investment processes and portfolio management techniques, as well as managed the trade execution team and execution architecture. Prior to this Jeff worked as a quantitative analyst at 2100 Capital Group from 2005- 2008 where he helped manage and develop the multiple risk platforms for multi- strategy hedge fund and fund-of-funds products. He was also a member of a team that oversaw investments in quantitative equity, commodity trading advisor funds (CTA), long/short credit and fund-of-funds strategies. Prior to entering the hedge fund space, Jeffrey worked as a strategy consulting analyst for CRA International from 2004 -2005 providing the Metals and Chemical and Petroleum practices with market, industry and company level research. Jeffrey earned his BA in Mathematics and Economics from Bates College (2004) and his MBA from The University of Chicago (2010), with concentrations in Analytical Finance and Econometrics and Statistics. He is also a CFA® charter holder.

There have never been any material civil, criminal or administrative actions, either pending, on appeal or concluded, against the Advisor or its key professionals.

Manning & Napier Advisors is about 14% publicly owned and 86% employee owned.

Past performance disclosures are located on pages 17.

CLEARING ARRANGEMENTS

Clients may select any properly registered futures commission merchant (“FCM”) to hold the accounts that the Advisor will trade on their behalf. Clients also may use the introducing broker of their choice. However, for ease of execution, the Advisor reserves the right to execute trades through the FCM of its choice and “give-up” the trades to the FCM maintaining the client’s account. Clients using give-up arrangements will be subject to additional transaction- based give-up fees in addition to commissions and other transaction-based fees. The Advisor has a policy of all clients paying a singular give-up rate of $0.50 per side.

Neither the Advisor nor its principals will participate in commissions or transaction fees paid by its clients or otherwise benefit by a client’s choice of clearing arrangements.

INVESTMENT OBJECTIVES AND STRATEGY

Investment Objectives and Strategy: General Overview

Manning & Napier Advisors, LLC is the investment advisor and trading manager (the "Trading Manager“) and is responsible for the trading activities and management of its client accounts. MN Xenon Managed Futures Fund L.P. is also managed by MN Xenon Partners 2, LLC.

The Advisor currently offers five strategies, which are described below (the “Strategies”), in its trading for client accounts. The MN Xenon Managed Futures (2x) Program is a systematic global managed futures strategy. This flagship product targets 15% to 20% volatility. The MN Xenon Managed Futures Program is a lower volatility version of the Managed Futures (2x) Program that targets volatility of 7.5% to 10%. These two programs are systematic diversified managed futures strategies that invest in global equity, fixed income, currency, metals, energy and commodity markets. The MN Xenon Global Fixed Income Program is a systematic managed futures strategy that invests solely in the global fixed income markets and also targets volatility of 7.5% to 10%. The MN Xenon Global Fixed Income (2x) Program is a systematic managed futures strategy that invests solely in the global fixed income markets and targets volatility of 15% to 20%. The MN Xenon Global Fixed Income (1.5x) Program is a systematic managed futures strategy that invests solely in the global fixed income markets and targets volatility of 11.25%. The MN Xenon Global Fixed Income (1.25x) Program is a systematic managed futures strategy that invests solely in the global fixed income markets and targets volatility of 9.4%. The MN

Xenon Futures Alpha Program is a systematic managed futures strategy with a target volatility of 9-14%. The performances of these five programs are set forth in the last section of the document.

The Strategies use an “experience-driven” mathematical and statistical approach to investment decision making. The process may utilize eight model families to estimate signals across fifty-six (56) markets worldwide. The Advisor also considers its approach to portfolio construction as an “alpha engine” and it uses proprietary risk management tools to govern exposures.

The Advisor’s investment objective is to achieve substantial returns and diversification along with low correlation to the general equities markets and an improved risk/reward profile. The foregoing description is general by necessity and in no way restricts or limits the Advisor’s actions with respect to strategies employed by the Advisor on behalf of any client. In other words, no investment restrictions apply to the Strategy, without limitation, and there are no restrictions on the countries, instruments or markets in which the Advisor may invest or the investment strategies the Advisor may employ.

Investment Strategy: Additional Information

The Advisor views the development of trading strategies as an ongoing process. While the Advisor relies exclusively on systematic, quantitative models, the Advisor, in its sole determination, selects the markets, instruments and products to be traded pursuant to the models.

The Advisor reserves the right to add, delete or modify the products, markets, sectors and asset classes traded on behalf of clients pursuant to the Strategy at any time.

The heart of the Advisor’s managed futures strategy is the belief that mathematical and statistical systems outperform discretion. The Advisor also believes that hedgers willingly pay speculators to accept risk. Additionally, the Advisor believes global policy makers cause market inefficiencies and global resource imbalances and those can be identified as systematic trends and trading opportunities. Finally, the Advisor believes that portfolio construction and risk management are keys to long-term, consistent investment performance.

The Advisor’s strategy is a diversified global managed futures strategy that invests in many of the world’s equity, fixed income, currency, metals, energy, and commodity markets. However, the Advisor does not trade over-the-counter currencies. The Advisor takes a systematic approach to markets and incorporates six families of forecasting models to estimate signals and utilize its proprietary system to construct portfolios. The Advisor trades listed futures in all asset classes.

The investment process has three distinct steps; 1) signal estimation, 2) portfolio construction and 3) risk management. Signal estimation utilizes the eight families of MN Xenon’s forecasting models for developing market views. The model’s buy or sell signals are then captured by the portfolio construction algorithm where the signals are converted to portfolio positions. Risk management governs the broad range of global portfolio exposures.

MN Xenon has seven model families applied across fifty-six (56) global markets. These models are built based off of three decades of trading experience in the global debt markets and the belief that global liquidity, which is the available supply of cash and credit, drives market pricing across all asset classes. All of the proprietary models used in the Strategy look to capitalize off of momentum across multiple time frames as well as fundamental shifts in interest rate policy. Those time frames typically range from two hours, for certain models, to one year, in other models. The average holding period across all models is 30 days. All of the models are systematic. With the exception of its U.S. yield curve trading strategy, all models are technical in nature. The yield curve strategy systematically utilizes fundamental data. These models are systematically blended together based upon their inherent risk, quality and correlation.

The trend-following component of the Strategy uses multiple models applied to all markets. One model measures the distribution of a proprietary indicator of "trendiness" in markets and capitalizes on the tails of that distribution. In those circumstances the model shifts from a medium-term trend-following system to a short-term counter-trend system. Once the "trendiness" reverts to the mean, the system returns to following the medium-term trend. This multi-trend following model is active in the market approximately 90% of the time trying to measure trend durability and respond to extreme values in "trendiness." Another model is designed to recognize regime shifts in medium-term trends. A new trading range often signals the beginning of a trend. This model operates on multiple time frames and measures variable range breakout potential across all markets. Additionally, there is a long-term trend-following model which looks to confirm long-term momentum in the markets. Once a market establishes momentum in a given direction, it tends to continue in that direction. Further, another model looks to identify momentum or autocorrelation in the relationship between assets and/or groups of assets. This is different from the aforementioned models in that it seeks opportunities across assets rather than within a specific asset.

In addition, the Advisor systematically “trades the Treasury yield curve.” The Yield Curve model looks to capture profits from Federal Reserve monetary policy decisions by trading spreads in the 2-year note and 30-year bond futures markets. This model measures the impact of monetary policy and the effect on the yield curve. The premise is that changes in Federal Reserve policies are captured as the yield curve steepens and flattens. It is the only MN Xenon model that uses fundamental values to determine its positions.

The Advisor’s vega model targets market behavior during “risk on” and “risk off” regimes. Its genesis comes from our risk management strategies. In mid-2008, we developed a regime-shifting risk management strategy which defines when to take risk and when to cut risk. This process honed our risk forecasts but we also found a derivative benefit, namely risks in and across markets have a relationship with the payoff opportunities in the markets. The vega model characterizes the relationship between risk and return opportunities and establishes positions accordingly. It is uncorrelated with trend following but is still long liquidity and volatility risk.

Furthermore, the Advisor’s yield value strategy seeks pricing dislocations between central bank policy and business cycle expectations. When rates are low compared to the fed reserves central tendency a position is put on that will profit as rates rise to tendency. Conversely, if rates are high compared to central tendency a position is entered to profit from a fall in rates.

Finally, the advisors momentum dispersion strategy profits from momentum differential across related markets. The idea is that not only is a market’s performance persistent, but its relative performance is also persistent.

In trading these models, risk management is the key component that binds them together. The Advisor 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, the Advisor manages 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, the Advisor shortens their time estimate of volatility such that daily resizing is more sensitive to recent volatility shocks, and, therefore, reduces risk more quickly. Further, they take intra-day risk snapshots of expected portfolio composition, and when it changes significantly, positions are adjusted accordingly.

The Advisor targets 7.5 to 10 per cent annualized volatility for the Managed Futures Program and 15 to 20 per cent annualized volatility for the Managed Futures (2x) Program. When markets are more volatile, the Advisor anticipates trading smaller sizes. When they are less volatile, the Advisor anticipates taking bigger positions. The Advisor adjusts for volatility on both a per-instrument and portfolio basis. The Advisor makes these adjustments according to exponential moving averages of volatility in each instrument and in the portfolio as a whole.

Jay Feuerstein and Jeffrey Bolduc have over 40 years of trading experience relating to the tools, methodologies and models embodied in the Strategy. The guidelines for such models are governed by key variables and mathematical relations.

Futures contracts that the Advisor trades on behalf of clients include, among others, crude oil, gold, Eurodollars, two-year, five-year, ten-year and thirty-year U.S. Treasury futures, Euro-Bobl, Euro-Schatz, Euro-Bund, Euribor, Euroswiss, corn, wheat, soybeans, sugar, coffee, gasoline, natural gas, copper, cotton, live cattle, the Nikkei, S&P, Stoxx, Dax, Russell, Aussie Dollar, Mexican Peso, Euro, Yen, British Pound, Swiss Franc, Canadian Dollar futures, Gilt, Canadian 10 Year, JGB 10 Year, Aussie 3 year, Aussie 10 Year, Sterling, Euroyen, Canadian Bank Bill, Aussie Bank Bill, Korean Won, Canola Oil, Palm Oil, Brent Crude, Gas Oil, Heating Oil, Soybean Oil, Platinum, Hang Seng, S&P/ASX, South Africa and Taiwan. The Advisor also may trade actual government bonds on behalf clients as well. Depending on the dictates of the Strategy, clients may be long or short any of these instruments at any given time.

From time to time, the Advisor may retain cash balances in client accounts. This may occur, for example, where the Advisor has determined that the client should establish reserves for contingencies. Alternatively, the Advisor may believe that to achieve the objectives of the Strategy it is necessary to invest a portion of assets in cash equivalent investments. The Advisor will manage clients’ investments in cash and cash equivalents including, for example, certificates of deposit, money market funds, short term government securities and other instruments commonly viewed as having safety and liquidity nearly equivalent to that of cash.

PRINCIPAL RISK FACTORS

All investments in securities and derivatives risk the loss of capital. While the Advisor believes that its investment programs may moderate this risk to some degree, no guarantee or representation is made that its investment strategy will be successful in lowering the risks associated with investing in securities and derivatives. Therefore, prospective clients should consult with independent qualified sources of investment, legal and tax advice prior to making any decision to become a client and participate in the Advisor’s trading program. Prospective clients must be aware of and be comfortable with the proposition that they may rapidly lose amounts in excess of the funds deposited into their trading accounts. Therefore, prospective clients should not become clients unless they can afford to lose amounts in excess of funds on deposit without experiencing a material change in current lifestyle or future plans. Prospective clients should consider the following risks before opening an account:

Strategy Risks

Competitive Market for Investments. Futures, options on futures and fixed income government securities investing are extremely competitive. The Advisor will compete with a large number of firms, some of which may have substantially greater financial resources, as well as larger research and trading staffs, than are available to the Advisor. Competitive investment activity by other firms may reduce clients’ opportunity for profit by reducing the variety of investment opportunities available to the Advisor for investment on behalf of clients.

Derivative Instruments. The Strategy makes extensive use of various derivative instruments, such as options and futures. The use of derivative instruments involves a variety of risks, including the risks inherent in the extremely high degree of leverage often embedded in such instruments. In addition, derivative instruments often have limited liquidity, which can make it difficult as well as costly to close out open positions in order either to realize gains or to limit losses.

Derivatives also may be traded by the Advisor on behalf of clients using principal-to-principal or “over-the-counter” contracts with third parties. The risk of counterparty nonperformance can be significant in the case of over-the-counter instruments and “bid-ask” spreads may be unusually wide in these substantially unregulated markets.

Highly Volatile Markets. The prices of derivative instruments, including futures and options, can be highly volatile. Price movements of forward, futures and other derivative contracts in which the Strategy’s assets may be invested are influenced by, among other things, interest rates, changing supply and demand relationships, fiscal, monetary and exchange control programs and policies of governments and national and international political and economic events and policies. In addition, governments from time to time intervene, directly and by regulation, in certain markets, particularly those in currencies, futures and options. Such intervention is often intended to directly influence prices and may, together with other factors, cause all of such markets to move rapidly in the same direction because of, among other things, interest rate fluctuations. The Strategy also will be subject to the risk of the failure of any exchanges on which its positions trade or of their clearinghouses.

Hedging Transactions. The Strategy may utilize a variety of financial instruments, such as derivatives, options, interest rate swaps, caps and floors, futures and forward contracts, both for trading purposes and for risk management purposes. The Advisor is not obligated and will not attempt to hedge all market or other risks inherent in the Strategy’s positions. While the Advisor may enter into hedging transactions to seek to reduce risk, such transactions may result in a poorer overall performance for the Strategy than if it had not engaged in any

such hedging transaction. Moreover, the Strategy may be exposed to certain risks that cannot be hedged, such as credit risk (relating both to particular securities and counterparties).

Margin on Futures. In the futures markets, margin deposits are typically low relative to the value of the futures contracts purchased or sold. In the forward, currency and certain other derivative markets, margin deposits may be even lower or may not be required at all. Such low margin deposits are indicative of the fact that any commodity futures contract trading typically is accompanied by a high degree of leverage. Low margin deposits mean that a relatively small price movement in a futures contract may result in immediate and substantial losses to the investor. For example, if at the time of purchase 5% of the price of a futures contract is deposited as margin, a 5% decrease in the price of the futures contract would, if the contract is then closed out, result in a total loss of the margin deposit before any deduction for the brokerage commission. Thus, like other leveraged investments, any purchase or sale of a commodity contract may result in losses in excess of the amount invested.

It is also possible to use notional funding in the futures markets. An account is notionally funded when the client directs the CTA to trade the account as if the funding amount was higher than the actual funds on deposit in the client’s account. An investor who uses notional funding has even greater leverage, so that the investor’s risk of loss is that much greater.

Increased Costs of Frequent Trading. The Strategy requires the taking of frequent trading positions. Portfolio turnover and brokerage commission expenses may, therefore, significantly exceed those of other investment entities of comparable size.

Institutional Risk. Institutions (such as brokerage firms and banks) will have custody of clients’ assets. Often these assets will not be registered in the name of the client. Bankruptcy or fraud at one of these institutions could impair the capital position of and result in significant losses to clients.

Lack of Diversification. Although the Advisor invests on behalf of clients in a variety of investments and markets, investments are made using a single strategy and focused on government bond futures contracts and options on futures contracts. As a result, clients may at any time hold a few relatively large (in relation to capital) investments with the result that a loss in any such position could have a material adverse impact on clients’ capital.

Non-U.S. Investments. The Advisor may trade futures, options and forward contracts on commodity exchanges and markets located outside the United States where CFTC regulations do not apply. Some non-U.S. exchanges, in contrast to U.S. exchanges, are "principals' markets" in which performance is the responsibility only of the individual member with whom the trader has entered

into a commodity contract and not of an exchange or clearing corporation. In such a case, the Strategy is subject to the risk of the inability of, or refusal by, the counterparty to perform with respect to such contracts. In addition, the trading of forward contracts on certain non-U.S. commodity exchanges may be subject to price fluctuation limits. The Strategy may also invest a portion of its assets in financial instruments of non-U.S. companies which are traded in non-U.S. markets.

Investing in non-U.S. financial instruments involves certain considerations not usually associated with investing in U.S. markets, including: political and economic considerations, such as greater risks of expropriation and nationalization, confiscatory taxation, the potential difficulty of repatriating funds, general social, political and economic instability and adverse diplomatic developments; the possibility of imposition of withholding or other taxes on dividends, interest, capital gains or other income; the small size of the securities markets in such countries and the low volume of trading, resulting in potential lack of liquidity and in price volatility; fluctuations in the rate of exchange between currencies and costs associated with currency conversion; and certain government policies that may restrict the portfolio's trading opportunities. In addition, accounting and financial reporting standards that prevail in such countries generally are not equivalent to U.S. standards and, consequently, less information is available to investors in companies located in such countries than is available to investors in companies located in the United States. There is also less regulation, generally, of the financial markets in such countries than there is in the United States.

Trading Decisions Based on Technical Strategy. The trading decisions of the Advisor are based on a strategy which seeks to take into account certain “technical” factors in identifying price trends and price movements. The buy and sell signals generated by the system are not based on analysis of fundamental supply and demand factors, general economic factors or anticipated world events but generally upon a study of actual daily, weekly and monthly price fluctuations, volume variations and changes in open interest. The profitability of any technical trading strategy depends upon the occurrence in the future of major price moves or trends in the instruments traded. In the past there have been periods without discernible trends and presumably similar periods will occur in the future. The best trading strategy will not be profitable if there are no trends of the kind it seeks to follow. Any factor that may lessen the prospect of major trends in the future (for example, increased governmental control of, or participation in, the markets) may reduce the prospect that the strategy will be profitable. Any factor that would make it more difficult to execute trades at the system’s signal prices, such as a significant lessening of liquidity in a particular market, also would be detrimental to profitability. The Advisor may modify and alter the Strategy so that the trading strategy used in the future may differ from the Strategy as currently used. Clients normally will not be notified of modifications and alterations and

thus will have no opportunity to evaluate the potential of their investment with regard to the modified strategy.

Possible Effects of Other Trend-Following Systems. Trading strategies employing trend-following signals based on technical analysis are not new and, if many traders in addition to the Advisor follow very similar strategies, a bunching of buy and sell orders could occur. It is likely that there has been an increase in recent years in the use of trend-following strategies. Moreover, the overall volume of trading and liquidity of the commodity markets has changed. Consequently, it is difficult to determine whether the total amount of funds and client accounts traded on a trend-following basis, either for futures as a whole or for a particular contract, is greater in proportion to the overall volume and liquidity of commodity markets than in the past. The effect of the increase, if any, in the proportion of funds and client accounts traded pursuant to trend-following strategies in recent years cannot be predicted. Any increase, however, could alter trading patterns or affect execution of trades to the detriment of clients.

Futures on Fixed Income Instruments. The Advisor will trade futures (and options thereon) on bonds or other fixed income instruments of U.S. and non-U.S. issuers. The value of the underlying financial instruments in which the Advisor trades will change in response to fluctuations in interest rates. In addition, the value of certain fixed-income instruments can fluctuate in response to perceptions of credit worthiness, political stability or soundness of economic policies and general market liquidity.

Commodity Futures Contracts. The Advisor trades in futures contracts and options on futures. Trading in commodity interests may involve substantial risks. The low margin or premiums normally required in such trading may provide a large amount of leverage and a relatively small change in the price of a financial instrument or contract can produce a disproportionately larger profit or loss. There is no assurance that a liquid secondary market will exist for commodity futures contracts or options purchased or sold and the Strategy may be required to maintain a position until exercise or expiration, which could result in losses.

Other Clients of the Advisor. The Advisor may manage funds and other accounts (including collective investment vehicles and accounts in which the Advisor may have an interest), and engage in other activities, which could increase the level of competition for the same trades the Advisor might otherwise make on behalf of any client, including the priorities of order entry. This could make it difficult or impossible to take or liquidate a position at a price indicated by the Strategy.

The Advisor and its principals, in managing collective investment vehicles and accounts other than those of any client, may employ trading methods, policies and strategies which differ from those under which the Advisor operates

on the client’s behalf. Therefore, the results of the Advisor’s trading on behalf of the client may differ from those of the other accounts the Advisor may trade.

Market and Other Risks

General Economic and Market Conditions. The success of any investment activity is affected by general economic conditions, which may affect the level and volatility of interest rates and the extent and timing of investor participation in the markets. Unexpected volatility or liquidity in the markets in which the client holds positions could cause the client to incur losses and impair its ability to trade.

Suspension of Trading. As previously discussed, securities and commodities exchanges typically have the right to suspend or limit trading in any instrument traded on the exchange. A suspension would render it impossible to liquidate positions and could thereby expose the client to losses.

Systems Failure. The Advisor’s strategies are dependent in part on the proper functioning of its internal computer systems. System failures, whether due to third-party failures upon which such systems are dependent or the failure of the Advisor’s hardware or software, could disrupt trading or making trading impossible until such failure is remedied. Any such failure, and the resulting inability to trade (even for a short time), could, in certain market conditions, cause the Strategy to experience significant trading losses or to miss opportunities for profitable trading.

Failure of Futures Commission Merchants. Under the Commodity Exchange Act, futures commission merchants are required to maintain customers' assets in a segregated account. To the extent that the Advisor engages in futures and options contract trading and the futures commission merchants with whom the Strategy maintains accounts fail to so segregate the Strategy’s assets, the Strategy will be subject to a risk of loss in the event of the bankruptcy of any of its futures commission merchants. In certain circumstances, the Strategy might be able to recover, even with respect to property specifically traceable to the Strategy, only a pro rata share of all property available for distribution to a bankrupt futures commission merchant's customers. It should be noted that, in the event of a FCM’s failure, clients may receive no assets.

Advisor’s Profit Share and Management Fee. The Profit Share (as discussed below) may create an incentive for the Advisor to make investments that are riskier or more speculative than would be the case in the absence of the Profit Share.

The Advisor may receive its Profit Share based upon unrealized appreciation as well as realized gains. The determination of unrealized

appreciation on investments for which market quotations are not readily available will be made by the Advisor. The use of outside appraisers or independent investment advisors to determine the valuation of such investments is not contemplated.

The Profit Share and the Management Fee (as discussed below) may offset any gains realized by investors.

Business Dependent upon Key Individuals. The success of the Strategy is dependent upon the expertise of the key personnel of the Advisor, and any future unavailability of their services could have an adverse impact on the Strategy’s performance.

COMPENSATION TO THE ADVISOR

As compensation for its services, the Advisor will generally receive a quarterly Profit Share and a monthly Management Fee, each of which is discussed below. From time to time, compensation may be negotiable and the Advisor may agree to compensation that is different than described below.

Profit Share

The Advisor receives a quarterly Profit Share as of the end of each calendar quarter, generally equal to 20% of all “New Net Profits” realized on each client account in the calendar quarter for which the calculation is being made. As used herein, New Net Profits with respect to any client account for a calendar quarter generally means the amount by which the “Net Asset Value” of the account on the last day of the calendar quarter exceeds the Net Asset Value of the account as of the last date on which a Profit Share was made with respect to such account or, if no Profit Share has ever been made, then the Net Asset Value of the account as of the date such account was established. New Net Profits take into account both realized and unrealized gains and losses and is adjusted for withdrawals and account contributions.

As used herein, Net Asset Value of an account as of any date means the total assets of the account as of such date, including all cash equivalents, interest and dividends receivable, and the fair market value of all open investments of the account as determined by the Advisor, less liabilities of the client, including all transaction expenses and other expenses payable in respect of the account.

By applying the above formula, the Advisor only receives a Profit Share on a client account if the client has recouped all prior losses with respect to such account (except that the amount of any such prior losses which must be recouped is reduced proportionately by the amount of any withdrawals with

respect to such account). It should also be noted that, once a Profit Share is made to the Advisor with respect to any account, it will be retained by the Advisor despite the fact that such account may incur subsequent losses. The Advisor’s Profit Share is determined quarterly as of the end of each calendar quarter. If, however, a client withdraws all or a portion of its account other than at the end of a calendar quarter, the Profit Share with respect to such account will be computed as if the date of withdrawal was a quarter end.

Management Fee

The Advisor also generally receives a monthly Management Fee from each client account as of the last day of each calendar month equal to 1/12th of 2% of the account’s Net Asset Value. In addition, clients will pay the Advisor a prorated Management Fee upon a withdrawal occurring other than at a month end. For purposes of computing the Management Fee, Net Assets will be determined before any accrued but unpaid Profit Share. The Management Fee will be paid to the Advisor regardless of whether a client account has accrued any profit.

If a client’s account is to be “notionally” or “nominally” funded1, the client should realize that the Management Fees will be calculated on the nominal funds, and not simply on the actual funds, in the account. Cash additions and cash withdrawals from a client’s account do not necessarily affect the nominal account size, whereas net performance will normally increase or decrease the nominal account size. The rates of return and drawdown percentages reported by the Advisor are also not affected by the amount of the notional funding although the “cash on cash” returns and draw-down percentages experienced by the client will be affected. The Management Fees charged to clients’ accounts, when expressed as a percentage of actual funds, will be higher by a factor corresponding directly to the ratio between nominal account size and actual funds. For example:

Management Fee Range as a Percentage of:

Actual Funds Nominal Account Size Notional Funds Actual Funds

$1,000,000 $1,000,000 2.00% 2.00%

$1,000,000 $2,000,000 2.00% 4.00%

$1,000,000 $3,000,000 2.00% 6.00%

$1,000,000 $4,000,000 2.00% 8.00%

1 The nominal account size is the total account size to be traded by the Advisor and may be different than the actual funds on deposit in the client’s account. The difference between the cash on deposit in the client’s account and the nominal account size is referred to as the notional amount. Nominal account size is the actual funds on deposit plus notional funds.

$1,000,000 $5,000,000 2.00% 10.00%

OPERATING EXPENSES

There are two vehicles through which an investor can participate in one of the Advisor’s investment programs: a master/feeder fund structure; or a separately managed account. In the case of a managed account, the expenses associated with operating that account are controlled by the investor and the brokerage firm with which the investor chooses to open a managed account. As a result, the amount of expenses incurred by a managed account varies from account to account.

An investment in one of the advisor’s funds will incur a pro-rata amount of the operating expense incurred by the fund, capped at 1.5% of the investor’s nominal investment. Other expenses incurred by the funds are as follows:

Management Fees, as discussed above; and

Brokerage fees paid to third-party brokers.

CONFLICTS OF INTEREST; PROPRIETARY TRADING

The Advisor has various conflicts of interest arising out of its relationships with clients, including those described below:

Decisions regarding whether and how funds in any client account are to be invested will be made in the sole discretion of the Advisor. The Advisor and its principals are engaged in other activities, including investment activities, apart from their management of client accounts and devote to such accounts only so much of their time as they believe is appropriate. The Advisor and its principals advise persons other than the client, some of which may use investment strategies which may be the same or different from or conflict with those used on behalf of the client.

The Advisor and its principals have and may in the future organize, advise and participate in funds and other collective investment vehicles which may invest in similar or different investments than those in which clients will invest. If this occurs, the Advisor may have to allocate limited investment opportunities among the various funds and client accounts that it manages, which, in certain circumstances, could work to the detriment of clients. In such event, the Advisor would not be committed to allocating opportunities among the funds and client accounts that it manages in any particular proportion, although it intends to make such allocations in a fair and equitable manner.

In certain circumstances, the Advisor and its employees may invest in the same investments made on behalf of any client, and these investments may be purchased, sold or liquidated independently of the client’s investments. The Advisor and its employees may also invest in funds managed by the Advisor and thus be considered purchasing securities from a client. In addition, the Advisor and its employees may actively buy and sell securities and derivatives and may make investments independently of any client. The Advisor and its employees may invest on their own, or together with others, in certain investment opportunities and such investment opportunities may or may not be offered to any client. Employees may only invest in commodities, however, as long as the account is maintained and monitored by the Advisor in accordance with the Advisor’s Code of Ethics. Clients will not be permitted to inspect the records of any investments, or purchases or sales of securities or derivatives, made by the Advisor and its principals independently of the client, or any written policies pertaining to such activities that have or may be affected.

Investment transactions will be allocated to brokers at the discretion of the Advisor, although it is the Advisor’s policy to obtain best execution in accordance with its policies and procedures. The Advisor has authority to and may select brokers in consideration of various factors, such as brokers’ provisions or payment of the costs of services (e.g. special execution and block positioning capabilities, research ideas, investment strategies and functions incidental to the effectuation of transactions, responsiveness, reputation and reliability of the broker) which are generally of benefit to clients and the Advisor, although such services may not directly relate to any transactions for the benefit of any client. In such event, the commission paid by a client to such brokers could be in excess of the lowest commission available in the brokerage marketplace.

The Profit Share (as discussed above) may create an incentive for the Advisor to make investments that are riskier or more speculative than would be the case in the absence of the Profit Share.

PERFORMANCE DATA FOR TRADING PROGRAMS

Derivative transactions, including futures, are complex and carry a risk of substantial losses. They are intended for sophisticated investors who understand risk. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. This is not an offer to sell securities.

Name of Trading Program: MN XENON MANAGED FUTURES (2x) PROGRAM Name of the CTA: MANNING & NAPIER ADVISORS, LLC Date CTA Began Using Trading Program for Client Accounts: June 2006 Minimum Investment Amount: $5,000,000 (Managed Account); $1,000,000 (Fund) Total Assets Under Management MN Xenon Strategies (1x Equivalent): $84,643,143 Total Assets Under Management MN Xenon Managed Futures (2x) Program (1x Equivalent): $4,557,194 Number of Client Accounts Open: 2 (includes Master/Feeder Fund) Largest Monthly Percentage Draw-Down: -10.47% (1/14) Largest Peak-to-Valley Draw-Down: -32.51% (01/09-06/14)

Rate of Return Required Performance Data Additional Data MONTH 2014 2013 2012 2011 2010 2009 2008 2007 2006 January -10.47% 0.64% 2.57% -2.86% 0.04% 1.78% 12.35% 0.33% February 0.83% -5.71% -0.68% 4.05% 0.23% -1.51% 9.95% -2.92% March -5.29% -0.40% -1.95% -1.21% 1.94% -6.91% -0.99% -1.14% April -1.59% 0.75% 1.69% 6.98% -2.14% -4.03% -4.98% 1.09% May 0.16% -1.48% 0.38% -1.43% 4.32% -3.44% 1.15% 6.91% June -3.68% -3.94% -3.42% -2.61% -1.65% -3.39% 3.22% 1.39% 3.59% July 0.70% 6.61% 5.62% -3.16% 1.87% -7.60% -3.66% -5.93% August 1.42% -1.32% 4.94% 5.51% 1.37% -1.70% -8.14% 0.02% September -2.28% -2.87% -2.52% -2.18% -1.00% 1.84% 10.54% 0.88% October -1.26% -6.40% -4.08% 3.87% -2.33% 19.44% 3.63% 4.28% November 3.63% -0.41% 0.55% -6.19% 3.51% 3.09% 4.68% 1.31% December 4.63% 0.39% 1.62% 2.87% -3.22% 3.63% 1.02% 3.45%

Year -18.82% -3.70% -5.84% 8.59% 2.82% -16.41% 43.21% 13.10% 7.45%

”Draw-Down” means losses experienced by the Program over a specified period.

“Largest Monthly Percentage Draw-Down” is the largest monthly loss experienced by the program on an Individual basis in any calendar month expressed as a percentage of the total equity in the program and includes the month and year of such draw-down.

“Largest Peak-to Valley Draw-Down” is greatest cumulative percentage decline in month-end asset value of the program on an individual basis due to losses sustained by the trading program during a period in which the initial month-end net asset value of the program is not equaled or exceeded by a subsequent month-end net asset value of the program and includes the time period in which it occurred.

“The Monthly Rate of Return” is computed by dividing the net income by beginning equity after factoring into beginning equity changes. The monthly rates are then compounded to arrive at the annual rate of return. Rate of Return for any specific month depends on accounts excluded for the month based on start/close period and substantial capital movement.

As a result of the MF Global bankruptcy proceeding, 1 account was not fully under the control of the CTA in November 2011. There was no trading in the account in November 2011 and this account has been excluded from monthly performance calculation for November 2011.

Prior to May 23, 2014, these accounts were managed by 2100 Xenon Group LLC. Effective from May 23, 2014, 2100 Xenon Group LLC was taken over by Manning & Napier Advisors, LLC. Now, Manning & Napier Advisors, LLC is managing all accounts.

Name of Trading Program: MN XENON MANAGED FUTURES (1x) PROGRAM Name of CTA: MANNING & NAPIER ADVISORS, LLC Date CTA Began Using Trading Program for Client Accounts: August 2004 Minimum Investment Amount: $1,000,000 Total Assets Under Management MN Xenon Strategies (1x Equivalent): $84,643,143 Total Assets Under Management MN Xenon Managed Futures (1x) Program (1x Equivalent): $4,128,988 Number of Client Accounts Open: 1 Largest Monthly Percentage Draw-Down: -20% 01/14 Largest Peak-to-Valley Draw-Down: -16.27% (08/11 - 06/14)

Rate of Return Required Performance Data Additional Data Month 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 January -4.20% 0.13% 0.46% -1.42% 0.16% 0.68% 4.99% -0.05% -1.58% -0.93% February 0.98% -3.15% -0.51% 1.85% 0.28% -0.62% 4.44% -1.83% 0.23% 1.03% March -1.51% -0.29% -1.75% -0.59% 0.78% -3.23% -0.49% -0.94% 0.03% 0.76% April -0.80% 0.63% 0.97% 2.47% -1.16% -1.82% -2.19% 0.26% 1.57% 0.82% May 0.09% -0.36% 0.19% -0.10% 2.39% -1.69% 0.59% 3.42% -0.02% 1.32% June -1.46% -1.12% -1.78% -0.85% -0.72% -1.70% 1.47% -0.98% 0.52% 3.18% July 0.60% 3.03% 2.78% -0.95% 1.06% -3.94% -2.36% -3.44% -0.47% August 0.95% -1.66% 2.87% 2.54% 0.83% -1.28% -4.19% -0.18% 0.45% 1.21% September -1.39% -1.36% -0.44% -1.26% -0.38% 1.16% 5.57% 0.08% 0.27% 1.15% October -1.09% -3.46% -2.56% 2.26% -1.12% 8.95% 1.93% 1.84% 1.23% 0.88% November 1.11% -0.46% 0.05% -2.89% 1.76% 1.48% 2.14% 0.34% 1.63% -1.12% December 1.90% 0.10% 1.09% 0.92% -1.63% 1.68% 0.43% 1.63% -0.57% -0.20%

Year -6.79% -2.41% -6.19% 5.08% 2.22% -7.71% 17.48% 3.06% 0.92% 8.99% 1.91%

"Draw-Down" means losses experienced by the Program over a specified period.

"Largest Monthly Percentage Draw-Down" is the largest monthly loss experienced by the program on an Individual basis in any calendar month expressed as a percentage of the total equity in the program and includes the month and year of such draw-down.

Name of Trading Program: MN XENON GLOBAL FIXED INCOME (2x) PROGRAM Name of the CTA: MANNING & NAPIER ADVISORS, LLC Date CTA Began Using Trading Program for Client Accounts: February 2007 Minimum Investment Amount: $2,000,000 Total Assets Under Management MN Xenon Strategies (1x Equivalent): $84,643,143 Total Assets Under Management MN Xenon Global Fixed Income (2x) Program (1x Equivalent): $30,041,829 Number of Client Accounts Open: 4 Largest Monthly Percentage Draw-Down: -7.99% (01/14) Largest Peak-to-Valley Draw-Down: -29.36% (05/12-06/14)

Rate of Return MONTH 2014 2013 2012 2011 2010 January -7.99% -3.24% -0.54% -2.04% February -1.99% -4.86% -1.66% -2.23% March -5.07% -1.30% -5.22% -0.80% April -1.84% -1.18% 4.82% 2.09% May -1.01% 4.21% 4.61% 5.87% 4.06% June -3.02% 5.14% -2.85% 1.59% 1.04% July -0.42% 2.32% 4.00% -0.37% August 3.88% -3.66% 5.10% 3.62% September -4.94% -4.24% -0.54% -3.60% October -2.49% -4.80% -2.47% 0.41% November 1.23% 0.57% -1.11% -5.93% December 4.22% 0.04% 3.00% -1.98%

Year -19.33% -0.39% -10.71% 12.65% -3.13%

"Draw-Down" means losses experienced by the Program over a specified period.

“Largest Monthly Percentage Draw-Down” is the largest monthly loss experienced by the program in any calendar month expressed as a percentage of the total equity in the account and includes the month and year of such draw-down.

Name of Trading Program: MN XENON GLOBAL FIXED INCOME (1x) PROGRAM Name of CTA: MANNING & NAPIER ADVISORS, LLC Date CTA Began Using Trading Program for Client Accounts: August 2004 Minimum Investment Amount: $2,000,000 Total Assets Under Management MN Xenon Strategies (1x Equivalent): $84,643,143 Total Assets Under Management MN Xenon Global Fixed Income (1x) Program (1x Equivalent): $4,218,988 Number of Client Accounts Open: 3 Largest Monthly Percentage Draw-Down: -3.89% (01/14) Largest Peak-to-Valley Draw-Down: -16.29% (05/12 - 06/14)

Rate of Return Required Performance Data Additional Data Month 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 January -3.89% -1.64% -0.35% -0.86% 1.26% -1.14% 5.51% 0.24% -0.07% 0.60% February -0.98% -2.41% -0.87% -1.13% 1.63% -1.64% 3.64% -1.06% 0.52% 1.12% March -2.59% -0.84% -2.53% -0.21% -0.51% -1.82% -1.45% -0.89% 1.50% 0.86% April -0.79% -0.65% 2.29% 0.89% -0.39% -1.35% -1.98% 0.48% 0.33% 1.38% May -0.13% 2.45% 2.60% 3.05% 2.14% -1.10% 0.70% 2.71% -0.92% -0.03% June -1.49% 2.86% -1.65% 0.92% 0.55% -0.23% 0.43% -0.89% 1.23% 2.63% July -0.36% 1.33% 2.34% 0.05% -0.06% -1.80% -3.37% -2.68% -0.86% August 1.92% -1.98% 2.92% 1.56% 0.68% -0.58% -2.90% -0.36% 1.34% 2.33% September -2.67% -2.28% -0.42% -1.75% 0.17% -1.14% 2.91% 0.13% -0.37% 0.04% October -1.41% -2.45% -1.33% 0.17% 0.36% 5.00% 1.89% 1.56% 1.75% 0.43% November 0.40% 0.28% -0.65% -3.03% 1.83% 1.53% 3.77% -0.79% 0.04% -0.87% December 1.64% -0.03% 1.60% -0.88% -0.38% 1.96% -0.17% 2.00% -0.43% 0.01%

Year -9.51% -0.91% -5.66% 7.22% 0.68% -4.64% 12.09% 2.47% 2.37% 8.26% 1.93%

"Draw-Down" means losses experienced by the Program over a specified period.

As a result of the MF Global bankruptcy proceeding, 3 accounts were not fully under the control of the CTA in November 2011. There was no trading in the 2 accounts in November 2011 and in 1 account in December 2011. 3 managed accounts have been excluded from monthly performance calculation for November 2011. Total assets for these accounts were approximately $6,422,000 as of the end of October 31, 2011 and this was 23% of the program's assets." 1 managed account has been excluded from monthly performance calculation for December 2011. Total assets for this account were approximately $995,000 as of the end of October 31, 2011 and this was 3.5% of the program's assets."

As a result of the "Peregrine Financial Group, Inc." bankruptcy proceeding, 2 managed accounts were not fully under the control of the CTA in July 2012. There was no trading in these accounts in August to October 2012. These accounts have been excluded in the performance calculation for July to October 2012. Total assets for these accounts were $4,466,503 as of the end of June 30, 2012 and this was 13.09% of the program's assets."

Name of Trading Program: MN XENON GLOBAL FIXED INCOME (1.5x) PROGRAM Name of the CTA: MANNING & NAPIER ADVISORS, LLC Date CTA Began Using Trading Program for Client Accounts: June 2011 Minimum Investment Amount: $2,000,000 Total Assets Under Management MN Xenon Strategies (1x Equivalent): $84,643,143 Total Assets Under Management MN Xenon Global Fixed Income (1.5x) Program (1x Equivalent): $0 Number of Client Accounts Open: 0 Largest Monthly Percentage Draw-Down: -5.97% 01/14 Largest Peak-to-Valley Draw-Down: -22.45% 05/12-05/14

Rate of Return MONTH 2014 2013 2012 2011 January -5.97% -2.48% -0.53% February -1.61% -3.59% -1.34% March -3.87% -1.04% -3.92% April -1.35% -1.13% 3.58% May -1.08% 2.96% 3.94% June N/A 4.00% -2.33% -0.35% July -0.41% 1.81% 3.38% August 3.26% -3.04% 4.39% September -3.83% -3.38% -0.60% October -2.04% -3.63% -1.76% November 0.87% 0.47% -0.60% December 3.00% -0.08% 2.53%

Year -13.21% -0.85% -8.52% 7.03%

"Draw-Down" means losses experienced by the Program over a specified period.

Name of Trading Program: MN XENON GLOBAL FIXED INCOME (1.25x) PROGRAM Name of the CTA: MANNING & NAPIER ADVISORS, LLC Date CTA Began Using Trading Program for Client Accounts: June 2013 Minimum Investment Amount: $2,000,000 Total Assets Under Management MN Xenon Strategies (1x Equivalent): $84,643,143 Total Assets Under Management MN Xenon Global Fixed Income (1.25x) Program (1x Equivalent): $34,166,458 Number of Client Accounts Open: 1 Largest Monthly Percentage Draw-Down: -5.32% 01/14 Largest Peak-to-Valley Draw-Down: -14.53% 08/13-06/14

Rate of Return MONTH 2014 2013 January -5.32% February -1.31% March -3.14% April -1.46% May -0.70% June -1.96% 4.15% July -0.14% August 2.19% September -3.02% October -1.92% November 0.75% December 2.72%

Year -13.17% 4.63%

"Draw-Down" means losses experienced by the Program over a specified period.

Name of Trading Program: MN XENON FUTURES ALPHA PROGRAM (Pro Forma) Name of the CTA: MANNING & NAPIER ADVISORS, LLC Date CTA Began Using Trading Program for Client Accounts: June 2013 Minimum Investment Amount: $7,000,000 Total Assets Under Management MN Xenon Strategies (1x Equivalent): $84,643,143 Total Assets Under Management MN Xenon Futures Alpha Program (1x Equivalent): $7,870,820 Number of Client Accounts Open: 1 (Proprietary Account as of May 2014) Largest Monthly Percentage Draw-Down: -7.31% 01/14 Largest Peak-to-Valley Draw-Down: -10.24% 12/13-06/14

Rate of Return (Pro Forma) MONTH 2014 2013 January -7.31% February 0.28% March -0.41% April -0.47% May -1.76% June -0.83% -4.48% July 4.18% August 1.07% September 0.47% October -2.02% November 2.73% December 1.81%

Year -10.24% -3.56%

”Draw-Down” means losses experienced by the Program over a specified period.

“Worst Monthly Percentage Draw-Down” is the largest monthly loss experienced by the program on an Individual basis in any calendar month expressed as a percentage of the total equity in the program and includes the month and year of such draw-down.

“Worst Peak-to Valley Draw-Down” is greatest cumulative percentage decline in month-end asset value of the program on an individual basis due to losses sustained by the trading program during a period in which the initial month-end net asset value of the program is not equaled or exceeded by a subsequent month-end net asset value of the program and includes the time period in which it occurred.

MNA is currently the only investor. Prior to June 3, 2014, rate of return information reflects client assets invested in the Futures Alpha Program. Between June 3rd and June 30th Manning & Napier Advisors, LLC was the sole investor in this program. From June 3, 2014, rate of return information reflects Manning & Napier Advisors, LLC proprietary investment only.

Pro Forma Management fee rate is 1% p.a. calculated monthly.

Pro Forma Incentive fee rate is 10% calculated quarterly.

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.