CPEAX vs. FUMIX

Last updated Jun 26, 2026

CPEAX (Catalyst Dynamic Alpha Fund) and FUMIX (Fidelity SAI U.S. Momentum Index Fund) are both Large Cap Growth Equities funds. Over the past 5 years, CPEAX returned 13.39%/yr vs 16.19%/yr for FUMIX. Their correlation of 0.91 suggests significant overlap in exposure. CPEAX charges 1.38%/yr vs 0.11%/yr for FUMIX.

Performance

CPEAX vs. FUMIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Catalyst Dynamic Alpha Fund (CPEAX) and Fidelity SAI U.S. Momentum Index Fund (FUMIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CPEAX achieves a 25.38% return, which is significantly lower than FUMIX's 27.64% return.

CPEAX

• 1D: 0.15%
• 1M: 2.58%
• YTD: 25.38%
• 6M: 22.14%
• 1Y: 37.36%
• 3Y*: 21.34%
• 5Y*: 13.39%
• 10Y*: 13.32%

FUMIX

• 1D: -0.37%
• 1M: 3.05%
• YTD: 27.64%
• 6M: 25.21%
• 1Y: 34.69%
• 3Y*: 31.93%
• 5Y*: 16.19%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

CPEAX vs. FUMIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
CPEAX Catalyst Dynamic Alpha Fund	25.38%	9.98%	22.02%	13.44%	-14.87%	19.59%	21.00%	11.14%	-4.35%	19.17%
FUMIX Fidelity SAI U.S. Momentum Index Fund	27.64%	17.01%	33.39%	14.67%	-15.79%	22.56%	29.92%	24.16%	-1.41%	22.71%

Correlation

The correlation between CPEAX and FUMIX is 0.91, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.91
Correlation (3Y) Calculated over the trailing 3-year period	0.90
Correlation (5Y) Calculated over the trailing 5-year period	0.91
Correlation (All Time) Calculated using the full available price history since Feb 9, 2017	0.91

The correlation between CPEAX and FUMIX has been stable across timeframes, ranging from 0.90 to 0.91 - a consistent structural relationship.

Return for Risk

CPEAX vs. FUMIX — Risk / Return Rank

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

CPEAX

CPEAX Risk / Return Rank: 53
CPEAX Sharpe Ratio Rank: 42
CPEAX Sortino Ratio Rank: 39
CPEAX Omega Ratio Rank: 41
CPEAX Calmar Ratio Rank: 76
CPEAX Martin Ratio Rank: 65

FUMIX

FUMIX Risk / Return Rank: 64
FUMIX Sharpe Ratio Rank: 54
FUMIX Sortino Ratio Rank: 51
FUMIX Omega Ratio Rank: 53
FUMIX Calmar Ratio Rank: 78
FUMIX Martin Ratio Rank: 86

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

CPEAX vs. FUMIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Catalyst Dynamic Alpha Fund (CPEAX) and Fidelity SAI U.S. Momentum Index Fund (FUMIX). 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.

	CPEAX	FUMIX	Difference
Sharpe ratio: Return per unit of total volatility	1.57	1.81	-0.24
Sortino ratio: Return per unit of downside risk	2.16	2.50	-0.34
Omega ratio: Gain probability vs. loss probability	1.28	1.33	-0.05
Calmar ratio: Return relative to maximum drawdown	2.92	3.09	-0.17
Martin ratio: Return relative to average drawdown	10.63	13.73	-3.09

CPEAX vs. FUMIX - Sharpe Ratio Comparison

The current CPEAX Sharpe Ratio is 1.57, which is comparable to the FUMIX Sharpe Ratio of 1.81. The chart below compares the historical Sharpe Ratios of CPEAX and FUMIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

CPEAX vs. FUMIX - Drawdown Comparison

The maximum CPEAX drawdown since its inception was -34.39%, roughly equal to the maximum FUMIX drawdown of -33.36%. Use the drawdown chart below to compare losses from any high point for CPEAX and FUMIX.

Drawdown Indicators

	CPEAX	FUMIX	Difference
Max Drawdown Largest peak-to-trough decline	-34.39%	-33.36%	-1.03%
Max Drawdown (1Y) Largest decline over 1 year	-12.61%	-10.99%	-1.62%
Max Drawdown (3Y) Largest decline over 3 years	-26.28%	-19.90%	-6.38%
Max Drawdown (5Y) Largest decline over 5 years	-26.28%	-27.66%	+1.38%
Max Drawdown (10Y) Largest decline over 10 years	-34.39%	—	—
Current Drawdown Current decline from peak	-3.17%	-3.76%	+0.59%
Average Drawdown Average peak-to-trough decline	-5.29%	-6.29%	+1.00%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.46%	2.46%	+1.00%

Volatility

CPEAX vs. FUMIX - Volatility Comparison

Catalyst Dynamic Alpha Fund (CPEAX) has a higher volatility of 9.94% compared to Fidelity SAI U.S. Momentum Index Fund (FUMIX) at 8.66%. This indicates that CPEAX's price experiences larger fluctuations and is considered to be riskier than FUMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPEAX	FUMIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	9.94%	8.66%	+1.28%
Volatility (6M) Calculated over the trailing 6-month period	19.81%	16.37%	+3.44%
Volatility (1Y) Calculated over the trailing 1-year period	23.45%	18.77%	+4.68%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	20.58%	21.44%	-0.86%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.81%	21.86%	-1.05%

CPEAX vs. FUMIX - Expense Ratio Comparison

CPEAX has a 1.38% expense ratio, which is higher than FUMIX's 0.11% expense ratio.

Dividends

CPEAX vs. FUMIX - Dividend Comparison

CPEAX's dividend yield for the trailing twelve months is around 12.56%, more than FUMIX's 2.17% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CPEAX Catalyst Dynamic Alpha Fund	12.56%	15.75%	9.57%	0.00%	1.21%	30.88%	0.00%	0.12%	19.37%	2.32%	0.00%	1.36%
FUMIX Fidelity SAI U.S. Momentum Index Fund	2.17%	2.77%	5.89%	18.09%	2.10%	20.67%	8.68%	2.09%	3.84%	0.88%	0.00%	0.00%

Frequently Asked Questions

Can I hold both CPEAX and FUMIX in my portfolio?

With a correlation of 0.91, CPEAX and FUMIX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, CPEAX or FUMIX?

CPEAX has higher volatility (9.94%) compared to FUMIX (8.66%). In terms of maximum drawdown, CPEAX dropped -34.39% vs FUMIX's -33.36%.

Which has better risk-adjusted returns?

FUMIX currently has the higher Sharpe Ratio (1.81 vs 1.57), 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.