AMFAX vs. MBXIX
AMFAX (AlphaSimplex Managed Futures Strategy Fund Class A) and MBXIX (Catalyst/Millburn Hedge Strategy Fund Class I) are both mutual funds - AMFAX is a Systematic Trend fund managed by BlackRock, while MBXIX is a Multistrategy fund managed by Catalyst Mutual Funds. Over the past 10 years, AMFAX returned 1.77%/yr vs 7.68%/yr for MBXIX. Their 0.40 correlation means their historical movements had little consistent relationship. AMFAX charges 1.72%/yr vs 2.04%/yr for MBXIX.
Performance
AMFAX vs. MBXIX - Performance Comparison
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Returns By Period
In the year-to-date period, AMFAX achieves a 9.45% return, which is significantly lower than MBXIX's 12.91% return. Over the past 10 years, AMFAX has underperformed MBXIX with an annualized return of 1.77%, while MBXIX has yielded a comparatively higher 7.68% annualized return.
AMFAX
- 1D
- -0.24%
- 1M
- 1.21%
- 6M
- 5.30%
- YTD
- 9.45%
- 1Y
- 21.01%
- 3Y*
- -3.53%
- 5Y*
- 2.02%
- 10Y*
- 1.77%
- ALL TIME*
- 3.55%
MBXIX
- 1D
- -0.28%
- 1M
- -2.01%
- 6M
- 8.54%
- YTD
- 12.91%
- 1Y
- 17.43%
- 3Y*
- 10.12%
- 5Y*
- 7.38%
- 10Y*
- 7.68%
- ALL TIME*
- 8.94%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
AMFAX vs. MBXIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A | 9.45% | -9.75% | -3.56% | -10.59% | 35.38% | 3.28% | 13.29% | 8.03% | -12.87% | 6.54% |
MBXIX Catalyst/Millburn Hedge Strategy Fund Class I | 12.91% | 4.35% | 13.49% | -0.67% | 7.72% | 16.89% | -0.45% | 13.83% | -2.16% | 13.99% |
Correlation
The correlation between AMFAX and MBXIX is 0.47, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.47 |
Correlation (3Y) Balances recent behavior with more history. | 0.45 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.40 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.41 |
Correlation (All Time) Calculated using the full available price history since Dec 28, 2015 | 0.40 |
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Return for Risk
AMFAX vs. MBXIX — Risk / Return Rank
AMFAX
MBXIX
AMFAX vs. MBXIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) and Catalyst/Millburn Hedge Strategy Fund Class I (MBXIX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| AMFAX | MBXIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.63 | ||
| Sortino ratioReturn per unit of downside risk | -1.11 | ||
| Omega ratioGain probability vs. loss probability | 1.27 | 1.40 | -0.14 |
| Calmar ratioReturn relative to maximum drawdown | 2.65 | 3.88 | -1.23 |
| Martin ratioReturn relative to average drawdown | 7.58 | 14.92 | -7.34 |
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Drawdowns
AMFAX vs. MBXIX - Drawdown Comparison
The maximum AMFAX drawdown since its inception was -36.84%, which is greater than MBXIX's maximum drawdown of -31.73%. Use the drawdown chart below to compare losses from any high point for AMFAX and MBXIX.
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Drawdown Indicators
| AMFAX | MBXIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -36.84% | -31.73% | -5.11% |
Max Drawdown (1Y)Largest decline over 1 year | -7.33% | -3.85% | -3.48% |
Max Drawdown (3Y)Largest decline over 3 years | -30.49% | -15.59% | -14.90% |
Max Drawdown (5Y)Largest decline over 5 years | -36.84% | -15.59% | -21.25% |
Max Drawdown (10Y)Largest decline over 10 years | -36.84% | -31.73% | -5.11% |
Current DrawdownCurrent decline from peak | -22.92% | -2.68% | -20.24% |
Average DrawdownAverage peak-to-trough decline | -13.71% | -3.95% | -9.76% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.56% | 1.04% | +1.52% |
Volatility
AMFAX vs. MBXIX - Volatility Comparison
AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) has a higher volatility of 2.91% compared to Catalyst/Millburn Hedge Strategy Fund Class I (MBXIX) at 1.59%. This indicates that AMFAX's price experiences larger fluctuations and is considered to be riskier than MBXIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AMFAX | MBXIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.91% | 1.59% | +1.32% |
Volatility (6M)Calculated over the trailing 6-month period | 9.83% | 4.89% | +4.94% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.61% | 6.90% | +5.71% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.80% | 11.40% | +2.40% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.73% | 13.36% | -0.63% |
AMFAX vs. MBXIX - Expense Ratio Comparison
AMFAX has a 1.72% expense ratio, which is lower than MBXIX's 2.04% expense ratio.
Dividends
AMFAX vs. MBXIX - Dividend Comparison
AMFAX's dividend yield for the trailing twelve months is around 1.68%, while MBXIX has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A | 1.68% | 1.84% | 1.28% | 0.30% | 32.70% | 5.74% | 3.14% | 4.71% | 1.31% | 0.00% | 0.00% | 4.92% |
MBXIX Catalyst/Millburn Hedge Strategy Fund Class I | 0.00% | 0.00% | 2.63% | 2.25% | 7.74% | 0.00% | 4.27% | 5.18% | 3.33% | 3.33% | 1.91% | 0.00% |
Frequently Asked Questions
AMFAX and MBXIX have a correlation of 0.47, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
AMFAX has higher volatility (2.91%) compared to MBXIX (1.59%). In terms of maximum drawdown, AMFAX dropped -36.84% vs MBXIX's -31.73%.
MBXIX currently has the higher Sharpe Ratio (2.16 vs 1.54), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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