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ATRFX vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ATRFX and ^GSPC is 0.27, 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.


-0.50.00.51.0
Correlation: 0.3

Performance

ATRFX vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Catalyst Systematic Alpha Class I (ATRFX) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

50.00%100.00%150.00%200.00%NovemberDecember2025FebruaryMarchApril
46.85%
186.18%
ATRFX
^GSPC

Key characteristics

Sharpe Ratio

ATRFX:

-1.16

^GSPC:

0.46

Sortino Ratio

ATRFX:

-1.46

^GSPC:

0.77

Omega Ratio

ATRFX:

0.78

^GSPC:

1.11

Calmar Ratio

ATRFX:

-0.71

^GSPC:

0.47

Martin Ratio

ATRFX:

-1.62

^GSPC:

1.94

Ulcer Index

ATRFX:

15.52%

^GSPC:

4.61%

Daily Std Dev

ATRFX:

21.65%

^GSPC:

19.44%

Max Drawdown

ATRFX:

-35.09%

^GSPC:

-56.78%

Current Drawdown

ATRFX:

-29.75%

^GSPC:

-10.07%

Returns By Period

In the year-to-date period, ATRFX achieves a -15.32% return, which is significantly lower than ^GSPC's -6.06% return. Over the past 10 years, ATRFX has underperformed ^GSPC with an annualized return of 3.72%, while ^GSPC has yielded a comparatively higher 10.11% annualized return.


ATRFX

YTD

-15.32%

1M

-7.94%

6M

-18.71%

1Y

-25.20%

5Y*

8.34%

10Y*

3.72%

^GSPC

YTD

-6.06%

1M

-3.27%

6M

-4.87%

1Y

9.44%

5Y*

14.30%

10Y*

10.11%

*Annualized

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Risk-Adjusted Performance

ATRFX vs. ^GSPC — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ATRFX
The Risk-Adjusted Performance Rank of ATRFX is 00
Overall Rank
The Sharpe Ratio Rank of ATRFX is 00
Sharpe Ratio Rank
The Sortino Ratio Rank of ATRFX is 00
Sortino Ratio Rank
The Omega Ratio Rank of ATRFX is 00
Omega Ratio Rank
The Calmar Ratio Rank of ATRFX is 00
Calmar Ratio Rank
The Martin Ratio Rank of ATRFX is 11
Martin Ratio Rank

^GSPC
The Risk-Adjusted Performance Rank of ^GSPC is 6868
Overall Rank
The Sharpe Ratio Rank of ^GSPC is 6666
Sharpe Ratio Rank
The Sortino Ratio Rank of ^GSPC is 6363
Sortino Ratio Rank
The Omega Ratio Rank of ^GSPC is 6767
Omega Ratio Rank
The Calmar Ratio Rank of ^GSPC is 7070
Calmar Ratio Rank
The Martin Ratio Rank of ^GSPC is 7373
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

ATRFX vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Catalyst Systematic Alpha Class I (ATRFX) and S&P 500 (^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.


The chart of Sharpe ratio for ATRFX, currently valued at -1.16, compared to the broader market-1.000.001.002.003.00
ATRFX: -1.16
^GSPC: 0.46
The chart of Sortino ratio for ATRFX, currently valued at -1.46, compared to the broader market-2.000.002.004.006.008.00
ATRFX: -1.46
^GSPC: 0.77
The chart of Omega ratio for ATRFX, currently valued at 0.78, compared to the broader market0.501.001.502.002.503.00
ATRFX: 0.78
^GSPC: 1.11
The chart of Calmar ratio for ATRFX, currently valued at -0.71, compared to the broader market0.002.004.006.008.0010.00
ATRFX: -0.71
^GSPC: 0.47
The chart of Martin ratio for ATRFX, currently valued at -1.62, compared to the broader market0.0010.0020.0030.0040.0050.00
ATRFX: -1.62
^GSPC: 1.94

The current ATRFX Sharpe Ratio is -1.16, which is lower than the ^GSPC Sharpe Ratio of 0.46. The chart below compares the historical Sharpe Ratios of ATRFX and ^GSPC, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-2.00-1.000.001.002.003.00NovemberDecember2025FebruaryMarchApril
-1.16
0.46
ATRFX
^GSPC

Drawdowns

ATRFX vs. ^GSPC - Drawdown Comparison

The maximum ATRFX drawdown since its inception was -35.09%, 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. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2025FebruaryMarchApril
-29.75%
-10.07%
ATRFX
^GSPC

Volatility

ATRFX vs. ^GSPC - Volatility Comparison

The current volatility for Catalyst Systematic Alpha Class I (ATRFX) is 12.09%, while S&P 500 (^GSPC) has a volatility of 14.23%. This indicates that ATRFX experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%NovemberDecember2025FebruaryMarchApril
12.09%
14.23%
ATRFX
^GSPC