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EBSIX vs. MBXIX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


EBSIXMBXIX
YTD Return8.67%14.05%
1Y Return4.66%8.29%
3Y Return (Ann)10.46%4.97%
5Y Return (Ann)8.93%7.09%
Sharpe Ratio0.480.75
Sortino Ratio0.711.08
Omega Ratio1.091.14
Calmar Ratio0.400.82
Martin Ratio2.032.30
Ulcer Index2.19%3.51%
Daily Std Dev9.27%10.85%
Max Drawdown-30.10%-31.73%
Current Drawdown-2.69%-1.69%

Correlation

-0.50.00.51.00.4

The correlation between EBSIX and MBXIX is 0.39, 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.

Performance

EBSIX vs. MBXIX - Performance Comparison

In the year-to-date period, EBSIX achieves a 8.67% return, which is significantly lower than MBXIX's 14.05% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.71%
0.71%
EBSIX
MBXIX

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EBSIX vs. MBXIX - Expense Ratio Comparison

EBSIX has a 1.75% expense ratio, which is lower than MBXIX's 2.04% expense ratio.


MBXIX
Catalyst/Millburn Hedge Strategy Fund Class I
Expense ratio chart for MBXIX: current value at 2.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%2.04%
Expense ratio chart for EBSIX: current value at 1.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.75%

Risk-Adjusted Performance

EBSIX vs. MBXIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Campbell Systematic Macro Fund Class I Shares (EBSIX) and Catalyst/Millburn Hedge Strategy Fund Class I (MBXIX). 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.


EBSIX
Sharpe ratio
The chart of Sharpe ratio for EBSIX, currently valued at 0.48, compared to the broader market0.002.004.000.48
Sortino ratio
The chart of Sortino ratio for EBSIX, currently valued at 0.71, compared to the broader market0.005.0010.000.71
Omega ratio
The chart of Omega ratio for EBSIX, currently valued at 1.09, compared to the broader market1.002.003.004.001.09
Calmar ratio
The chart of Calmar ratio for EBSIX, currently valued at 0.40, compared to the broader market0.005.0010.0015.0020.000.40
Martin ratio
The chart of Martin ratio for EBSIX, currently valued at 2.03, compared to the broader market0.0020.0040.0060.0080.00100.002.03
MBXIX
Sharpe ratio
The chart of Sharpe ratio for MBXIX, currently valued at 0.75, compared to the broader market0.002.004.000.75
Sortino ratio
The chart of Sortino ratio for MBXIX, currently valued at 1.08, compared to the broader market0.005.0010.001.08
Omega ratio
The chart of Omega ratio for MBXIX, currently valued at 1.14, compared to the broader market1.002.003.004.001.14
Calmar ratio
The chart of Calmar ratio for MBXIX, currently valued at 0.82, compared to the broader market0.005.0010.0015.0020.000.82
Martin ratio
The chart of Martin ratio for MBXIX, currently valued at 2.30, compared to the broader market0.0020.0040.0060.0080.00100.002.30

EBSIX vs. MBXIX - Sharpe Ratio Comparison

The current EBSIX Sharpe Ratio is 0.48, which is lower than the MBXIX Sharpe Ratio of 0.75. The chart below compares the historical Sharpe Ratios of EBSIX and MBXIX, 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
0.48
0.75
EBSIX
MBXIX

Dividends

EBSIX vs. MBXIX - Dividend Comparison

EBSIX's dividend yield for the trailing twelve months is around 1.67%, more than MBXIX's 1.61% yield.


TTM2023202220212020201920182017201620152014
EBSIX
Campbell Systematic Macro Fund Class I Shares
1.67%1.81%2.34%6.61%0.00%10.31%14.06%0.00%0.00%2.09%6.01%
MBXIX
Catalyst/Millburn Hedge Strategy Fund Class I
1.61%1.84%4.16%0.00%4.27%5.18%1.77%0.00%1.32%0.00%0.00%

Drawdowns

EBSIX vs. MBXIX - Drawdown Comparison

The maximum EBSIX drawdown since its inception was -30.10%, smaller than the maximum MBXIX drawdown of -31.73%. Use the drawdown chart below to compare losses from any high point for EBSIX and MBXIX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.69%
-1.69%
EBSIX
MBXIX

Volatility

EBSIX vs. MBXIX - Volatility Comparison

The current volatility for Campbell Systematic Macro Fund Class I Shares (EBSIX) is 2.36%, while Catalyst/Millburn Hedge Strategy Fund Class I (MBXIX) has a volatility of 2.68%. This indicates that EBSIX experiences smaller price fluctuations and is considered to be less risky than MBXIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
2.36%
2.68%
EBSIX
MBXIX