ATRFX vs. ^GSPC
ATRFX (Catalyst Systematic Alpha Class I) is Multistrategy fund managed by Catalyst Mutual Funds, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, ATRFX returned 5.35%/yr vs 13.26%/yr for ^GSPC. Their 0.32 correlation means their historical movements had little consistent relationship.
Performance
ATRFX vs. ^GSPC - Performance Comparison
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Returns By Period
In the year-to-date period, ATRFX achieves a -2.88% return, which is significantly lower than ^GSPC's 9.41% return. Over the past 10 years, ATRFX has underperformed ^GSPC with an annualized return of 5.35%, while ^GSPC has yielded a comparatively higher 13.26% annualized return.
ATRFX
- 1D
- 0.87%
- 1M
- -2.15%
- 6M
- 2.30%
- YTD
- -2.88%
- 1Y
- 9.45%
- 3Y*
- -1.32%
- 5Y*
- 3.09%
- 10Y*
- 5.35%
- ALL TIME*
- 4.55%
^GSPC
- 1D
- 0.70%
- 1M
- 0.09%
- 6M
- 7.94%
- YTD
- 9.41%
- 1Y
- 20.07%
- 3Y*
- 17.84%
- 5Y*
- 11.25%
- 10Y*
- 13.26%
- ALL TIME*
- 8.09%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
^GSPC S&P 500 Index | $37.98T | $37.61T | $41.48T |
| $0.00 | $0.00 | $0.00 |
ATRFX vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ATRFX Catalyst Systematic Alpha Class I | -2.88% | 2.81% | -4.14% | 24.60% | -4.33% | 25.70% | 15.32% | 29.25% | -19.65% | 2.00% |
^GSPC S&P 500 Index | 9.41% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 28.88% | -6.24% | 19.42% |
Correlation
The correlation between ATRFX and ^GSPC is 0.76, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.76 |
Correlation (3Y) Balances recent behavior with more history. | 0.66 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.48 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.29 |
Correlation (All Time) Calculated using the full available price history since Aug 1, 2014 | 0.32 |
Over the past year, ATRFX and ^GSPC have become more correlated (0.76) than their long-term average of 0.32, meaning their price movements have been converging.
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Return for Risk
ATRFX vs. ^GSPC — Risk / Return Rank
ATRFX
^GSPC
ATRFX vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Catalyst Systematic Alpha Class I (ATRFX) and S&P 500 Index (^GSPC). 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.
| ATRFX | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.03 | ||
| Sortino ratioReturn per unit of downside risk | -1.31 | ||
| Omega ratioGain probability vs. loss probability | 1.09 | 1.25 | -0.17 |
| Calmar ratioReturn relative to maximum drawdown | 0.37 | 2.00 | -1.63 |
| Martin ratioReturn relative to average drawdown | 1.06 | 8.49 | -7.43 |
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Drawdowns
ATRFX vs. ^GSPC - Drawdown Comparison
The maximum ATRFX drawdown since its inception was -35.17%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ATRFX and ^GSPC.
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Drawdown Indicators
| ATRFX | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -35.17% | -56.78% | +21.61% |
Max Drawdown (1Y)Largest decline over 1 year | -22.53% | -9.10% | -13.43% |
Max Drawdown (3Y)Largest decline over 3 years | -35.17% | -18.90% | -16.27% |
Max Drawdown (5Y)Largest decline over 5 years | -35.17% | -25.43% | -9.74% |
Max Drawdown (10Y)Largest decline over 10 years | -35.17% | -33.92% | -1.25% |
Current DrawdownCurrent decline from peak | -17.16% | -1.58% | -15.58% |
Average DrawdownAverage peak-to-trough decline | -8.85% | -10.70% | +1.85% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 7.84% | 2.14% | +5.70% |
Volatility
ATRFX vs. ^GSPC - Volatility Comparison
Catalyst Systematic Alpha Class I (ATRFX) has a higher volatility of 4.49% compared to S&P 500 Index (^GSPC) at 3.51%. This indicates that ATRFX's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ATRFX | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.49% | 3.51% | +0.98% |
Volatility (6M)Calculated over the trailing 6-month period | 17.52% | 10.11% | +7.41% |
Volatility (1Y)Calculated over the trailing 1-year period | 21.45% | 12.87% | +8.58% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.32% | 17.01% | +0.31% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.69% | 18.07% | -2.38% |
Frequently Asked Questions
ATRFX and ^GSPC have a correlation of 0.76, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ATRFX has higher volatility (4.49%) compared to ^GSPC (3.51%). In terms of maximum drawdown, ATRFX dropped -35.17% vs ^GSPC's -56.78%.
^GSPC currently has the higher Sharpe Ratio (1.42 vs 0.39), 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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