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AMFAX vs. MBXIX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


AMFAXMBXIX
YTD Return5.32%13.02%
1Y Return-0.53%15.17%
3Y Return (Ann)7.35%6.45%
5Y Return (Ann)8.56%8.29%
Sharpe Ratio0.011.37
Daily Std Dev10.81%11.07%
Max Drawdown-28.58%-31.73%
Current Drawdown-14.78%-1.02%

Correlation

-0.50.00.51.00.4

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 5.32% return, which is significantly lower than MBXIX's 13.02% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


40.00%60.00%80.00%100.00%120.00%2024FebruaryMarchAprilMayJune
42.49%
109.29%
AMFAX
MBXIX

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AlphaSimplex Managed Futures Strategy Fund Class A

Catalyst/Millburn Hedge Strategy Fund Class I

AMFAX vs. MBXIX - Expense Ratio Comparison

AMFAX has a 1.72% expense ratio, which is lower than MBXIX's 2.04% expense ratio.


MBXIX
Catalyst/Millburn Hedge Strategy Fund Class I
Expense ratio chart for MBXIX: current value at 2.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%2.04%
Expense ratio chart for AMFAX: current value at 1.72% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.72%

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.


AMFAX
Sharpe ratio
The chart of Sharpe ratio for AMFAX, currently valued at 0.01, compared to the broader market-1.000.001.002.003.004.000.01
Sortino ratio
The chart of Sortino ratio for AMFAX, currently valued at 0.08, compared to the broader market-2.000.002.004.006.008.0010.0012.000.08
Omega ratio
The chart of Omega ratio for AMFAX, currently valued at 1.01, compared to the broader market1.002.003.001.01
Calmar ratio
The chart of Calmar ratio for AMFAX, currently valued at 0.00, compared to the broader market0.005.0010.0015.000.00
Martin ratio
The chart of Martin ratio for AMFAX, currently valued at 0.02, compared to the broader market0.0020.0040.0060.0080.000.02
MBXIX
Sharpe ratio
The chart of Sharpe ratio for MBXIX, currently valued at 1.37, compared to the broader market-1.000.001.002.003.004.001.37
Sortino ratio
The chart of Sortino ratio for MBXIX, currently valued at 1.93, compared to the broader market-2.000.002.004.006.008.0010.0012.001.93
Omega ratio
The chart of Omega ratio for MBXIX, currently valued at 1.24, compared to the broader market1.002.003.001.24
Calmar ratio
The chart of Calmar ratio for MBXIX, currently valued at 1.84, compared to the broader market0.005.0010.0015.001.84
Martin ratio
The chart of Martin ratio for MBXIX, currently valued at 5.09, compared to the broader market0.0020.0040.0060.0080.005.09

AMFAX vs. MBXIX - Sharpe Ratio Comparison

The current AMFAX Sharpe Ratio is 0.01, which is lower than the MBXIX Sharpe Ratio of 1.37. The chart below compares the 12-month rolling Sharpe Ratio of AMFAX and MBXIX.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.001.502.002024FebruaryMarchAprilMayJune
0.01
1.37
AMFAX
MBXIX

Dividends

AMFAX vs. MBXIX - Dividend Comparison

AMFAX's dividend yield for the trailing twelve months is around 0.29%, less than MBXIX's 1.99% yield.


TTM2023202220212020201920182017201620152014
AMFAX
AlphaSimplex Managed Futures Strategy Fund Class A
0.29%0.30%32.70%5.74%3.14%6.12%1.31%0.00%0.00%4.92%13.32%
MBXIX
Catalyst/Millburn Hedge Strategy Fund Class I
1.99%2.25%7.74%0.00%4.27%5.18%3.33%3.33%1.91%0.00%0.00%

Drawdowns

AMFAX vs. MBXIX - Drawdown Comparison

The maximum AMFAX drawdown since its inception was -28.58%, smaller than the maximum MBXIX 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.


-20.00%-15.00%-10.00%-5.00%0.00%2024FebruaryMarchAprilMayJune
-14.78%
-1.02%
AMFAX
MBXIX

Volatility

AMFAX vs. MBXIX - Volatility Comparison

AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) has a higher volatility of 4.44% compared to Catalyst/Millburn Hedge Strategy Fund Class I (MBXIX) at 3.49%. 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.


1.00%2.00%3.00%4.00%5.00%2024FebruaryMarchAprilMayJune
4.44%
3.49%
AMFAX
MBXIX