PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
ATRFX vs. FNILX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between ATRFX and FNILX is 0.20, 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.


-0.50.00.51.00.2

Performance

ATRFX vs. FNILX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Catalyst Systematic Alpha Class I (ATRFX) and Fidelity ZERO Large Cap Index Fund (FNILX). The values are adjusted to include any dividend payments, if applicable.

80.00%90.00%100.00%110.00%120.00%130.00%JulyAugustSeptemberOctoberNovemberDecember
87.06%
125.10%
ATRFX
FNILX

Key characteristics

Sharpe Ratio

ATRFX:

-0.28

FNILX:

2.13

Sortino Ratio

ATRFX:

-0.24

FNILX:

2.84

Omega Ratio

ATRFX:

0.96

FNILX:

1.39

Calmar Ratio

ATRFX:

-0.25

FNILX:

3.15

Martin Ratio

ATRFX:

-0.55

FNILX:

13.80

Ulcer Index

ATRFX:

8.80%

FNILX:

1.97%

Daily Std Dev

ATRFX:

16.92%

FNILX:

12.77%

Max Drawdown

ATRFX:

-25.02%

FNILX:

-33.75%

Current Drawdown

ATRFX:

-17.09%

FNILX:

-3.70%

Returns By Period

In the year-to-date period, ATRFX achieves a -4.20% return, which is significantly lower than FNILX's 25.28% return.


ATRFX

YTD

-4.20%

1M

-2.08%

6M

-12.24%

1Y

-3.94%

5Y*

10.74%

10Y*

5.83%

FNILX

YTD

25.28%

1M

-0.61%

6M

8.70%

1Y

25.91%

5Y*

14.69%

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


ATRFX vs. FNILX - Expense Ratio Comparison

ATRFX has a 1.77% expense ratio, which is higher than FNILX's 0.00% expense ratio.


ATRFX
Catalyst Systematic Alpha Class I
Expense ratio chart for ATRFX: current value at 1.77% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.77%
Expense ratio chart for FNILX: current value at 0.00% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.00%

Risk-Adjusted Performance

ATRFX vs. FNILX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Catalyst Systematic Alpha Class I (ATRFX) and Fidelity ZERO Large Cap Index Fund (FNILX). 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.


Sharpe ratio
The chart of Sharpe ratio for ATRFX, currently valued at -0.28, compared to the broader market-1.000.001.002.003.004.00-0.282.13
The chart of Sortino ratio for ATRFX, currently valued at -0.24, compared to the broader market-2.000.002.004.006.008.0010.00-0.242.84
The chart of Omega ratio for ATRFX, currently valued at 0.96, compared to the broader market0.501.001.502.002.503.003.500.961.39
The chart of Calmar ratio for ATRFX, currently valued at -0.25, compared to the broader market0.002.004.006.008.0010.0012.0014.00-0.253.15
The chart of Martin ratio for ATRFX, currently valued at -0.55, compared to the broader market0.0020.0040.0060.00-0.5513.80
ATRFX
FNILX

The current ATRFX Sharpe Ratio is -0.28, which is lower than the FNILX Sharpe Ratio of 2.13. The chart below compares the historical Sharpe Ratios of ATRFX and FNILX, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
-0.28
2.13
ATRFX
FNILX

Dividends

ATRFX vs. FNILX - Dividend Comparison

ATRFX's dividend yield for the trailing twelve months is around 3.73%, more than FNILX's 0.02% yield.


TTM2023202220212020201920182017201620152014
ATRFX
Catalyst Systematic Alpha Class I
3.73%1.87%4.98%5.43%20.92%3.04%1.38%0.00%0.91%0.74%0.59%
FNILX
Fidelity ZERO Large Cap Index Fund
0.02%1.34%1.53%0.95%1.20%1.17%0.41%0.00%0.00%0.00%0.00%

Drawdowns

ATRFX vs. FNILX - Drawdown Comparison

The maximum ATRFX drawdown since its inception was -25.02%, smaller than the maximum FNILX drawdown of -33.75%. Use the drawdown chart below to compare losses from any high point for ATRFX and FNILX. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-17.09%
-3.70%
ATRFX
FNILX

Volatility

ATRFX vs. FNILX - Volatility Comparison

Catalyst Systematic Alpha Class I (ATRFX) and Fidelity ZERO Large Cap Index Fund (FNILX) have volatilities of 4.24% and 4.08%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
4.24%
4.08%
ATRFX
FNILX
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab