AMFAX vs. MBXIX
Compare and contrast key facts about AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) and Catalyst/Millburn Hedge Strategy Fund Class I (MBXIX).
AMFAX is managed by Blackrock. It was launched on Jul 30, 2010. MBXIX is managed by Catalyst Mutual Funds. It was launched on Dec 31, 1996.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AMFAX or MBXIX.
Key characteristics
| AMFAX | MBXIX | |
|---|---|---|
| YTD Return | -3.54% | 14.05% |
| 1Y Return | -8.43% | 8.29% |
| 3Y Return (Ann) | -3.20% | 4.97% |
| 5Y Return (Ann) | 2.21% | 7.09% |
| Sharpe Ratio | -0.71 | 0.75 |
| Sortino Ratio | -0.85 | 1.08 |
| Omega Ratio | 0.89 | 1.14 |
| Calmar Ratio | -0.22 | 0.82 |
| Martin Ratio | -1.03 | 2.30 |
| Ulcer Index | 8.08% | 3.51% |
| Daily Std Dev | 11.70% | 10.85% |
| Max Drawdown | -37.95% | -31.73% |
| Current Drawdown | -36.42% | -1.69% |
Correlation
The correlation between AMFAX and MBXIX is 0.40, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
AMFAX vs. MBXIX - Performance Comparison
In the year-to-date period, AMFAX achieves a -3.54% return, which is significantly lower than MBXIX's 14.05% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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AMFAX vs. MBXIX - Expense Ratio Comparison
AMFAX has a 1.72% expense ratio, which is lower than MBXIX's 2.04% expense ratio.
Risk-Adjusted Performance
AMFAX vs. MBXIX - Risk-Adjusted Performance 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.
Dividends
AMFAX vs. MBXIX - Dividend Comparison
AMFAX's dividend yield for the trailing twelve months is around 0.31%, less than MBXIX's 1.61% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A | 0.31% | 0.30% | 10.01% | 5.74% | 3.14% | 6.12% | 0.00% | 0.00% | 0.00% | 2.08% | 2.63% |
MBXIX Catalyst/Millburn Hedge Strategy Fund Class I | 1.61% | 1.84% | 4.16% | 0.00% | 4.27% | 5.18% | 1.77% | 0.00% | 1.32% | 0.00% | 0.00% |
Drawdowns
AMFAX vs. MBXIX - Drawdown Comparison
The maximum AMFAX drawdown since its inception was -37.95%, 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. For additional features, visit the drawdowns tool.
Volatility
AMFAX vs. MBXIX - Volatility Comparison
AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) has a higher volatility of 2.96% compared to Catalyst/Millburn Hedge Strategy Fund Class I (MBXIX) at 2.68%. 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.