ATRFX vs. ^GSPC
Compare and contrast key facts about Catalyst Systematic Alpha Class I (ATRFX) and S&P 500 (^GSPC).
ATRFX is managed by Catalyst Mutual Funds. It was launched on Jul 31, 2014.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ATRFX or ^GSPC.
Performance
ATRFX vs. ^GSPC - Performance Comparison
Returns By Period
In the year-to-date period, ATRFX achieves a -2.58% return, which is significantly lower than ^GSPC's 24.05% return. Over the past 10 years, ATRFX has underperformed ^GSPC with an annualized return of 5.79%, while ^GSPC has yielded a comparatively higher 11.14% annualized return.
ATRFX
-2.58%
-3.88%
-10.71%
-0.80%
11.90%
5.79%
^GSPC
24.05%
0.89%
11.19%
30.12%
13.82%
11.14%
Key characteristics
| ATRFX | ^GSPC | |
|---|---|---|
| Sharpe Ratio | -0.04 | 2.54 |
| Sortino Ratio | 0.05 | 3.40 |
| Omega Ratio | 1.01 | 1.47 |
| Calmar Ratio | -0.04 | 3.66 |
| Martin Ratio | -0.09 | 16.28 |
| Ulcer Index | 7.62% | 1.91% |
| Daily Std Dev | 16.69% | 12.25% |
| Max Drawdown | -25.02% | -56.78% |
| Current Drawdown | -15.69% | -1.41% |
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Correlation
The correlation between ATRFX and ^GSPC is 0.24, 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.
Risk-Adjusted Performance
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.
Drawdowns
ATRFX vs. ^GSPC - Drawdown Comparison
The maximum ATRFX drawdown since its inception was -25.02%, 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.
Volatility
ATRFX vs. ^GSPC - Volatility Comparison
Catalyst Systematic Alpha Class I (ATRFX) has a higher volatility of 5.33% compared to S&P 500 (^GSPC) at 4.07%. 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.