FHESX vs. MBXIX

Last updated Aug 1, 2026

FHESX (Federated Hermes SDG Engagement Equity Fund) and MBXIX (Catalyst/Millburn Hedge Strategy Fund Class I) are both mutual funds - FHESX is a Global Equities fund managed by Federated, while MBXIX is a Multistrategy fund managed by Catalyst Mutual Funds. Over the past 5 years, FHESX returned 2.75%/yr vs 7.38%/yr for MBXIX. Their 0.50 correlation means their historical movements had little consistent relationship. FHESX charges 0.94%/yr vs 2.04%/yr for MBXIX.

Performance

FHESX vs. MBXIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Federated Hermes SDG Engagement Equity Fund (FHESX) and Catalyst/Millburn Hedge Strategy Fund Class I (MBXIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FHESX achieves a 10.68% return, which is significantly lower than MBXIX's 12.91% return.

FHESX

• 1D: 1.82%
• 1M: -0.66%
• 6M: 5.88%
• YTD: 10.68%
• 1Y: 8.69%
• 3Y*: 5.54%
• 5Y*: 2.75%
• 10Y*: —
• ALL TIME*: 6.32%

MBXIX

• 1D: -0.28%
• 1M: -2.01%
• 6M: 8.54%
• YTD: 12.91%
• 1Y: 17.43%
• 3Y*: 10.12%
• 5Y*: 7.38%
• 10Y*: 7.68%
• ALL TIME*: 8.94%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
FHESX Federated Hermes SDG Engagement Equity Fund	$0.00	$0.00	$0.00
MBXIX Catalyst/Millburn Hedge Strategy Fund Class I	$0.00	$0.00	$0.00

FHESX vs. MBXIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
FHESX Federated Hermes SDG Engagement Equity Fund	10.68%	0.59%	2.01%	18.31%	-18.47%	17.54%	8.33%	25.41%	-8.25%
MBXIX Catalyst/Millburn Hedge Strategy Fund Class I	12.91%	4.35%	13.49%	-0.67%	7.72%	16.89%	-0.45%	13.83%	0.14%

Correlation

The correlation between FHESX and MBXIX is 0.28, which is low. Their historical price movements had little consistent relationship.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.28
Correlation (3Y) Balances recent behavior with more history.	0.27
Correlation (5Y) Shows whether the relationship held over a longer period.	0.33
Correlation (All Time) Calculated using the full available price history since Nov 9, 2018	0.50

Over the past year, the correlation between FHESX and MBXIX has dropped to 0.28 - well below their long-term average of 0.50, suggesting their price drivers have been diverging.

Return for Risk

FHESX vs. MBXIX — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

FHESX

FHESX Risk / Return Rank: 14
FHESX Sharpe Ratio Rank: 13
FHESX Sortino Ratio Rank: 14
FHESX Omega Ratio Rank: 13
FHESX Calmar Ratio Rank: 15
FHESX Martin Ratio Rank: 14

MBXIX

MBXIX Risk / Return Rank: 90
MBXIX Sharpe Ratio Rank: 88
MBXIX Sortino Ratio Rank: 87
MBXIX Omega Ratio Rank: 84
MBXIX Calmar Ratio Rank: 94
MBXIX Martin Ratio Rank: 95

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

FHESX vs. MBXIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Federated Hermes SDG Engagement Equity Fund (FHESX) 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.

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.

	FHESX	MBXIX	Difference
Sharpe ratio: Return per unit of total volatility	0.55	2.16	-1.61
Sortino ratio: Return per unit of downside risk	0.91	3.18	-2.27
Omega ratio: Gain probability vs. loss probability	1.11	1.40	-0.30
Calmar ratio: Return relative to maximum drawdown	0.78	3.88	-3.10
Martin ratio: Return relative to average drawdown	2.07	14.92	-12.85

FHESX vs. MBXIX - Sharpe Ratio Comparison

The current FHESX Sharpe Ratio is 0.55, which is lower than the MBXIX Sharpe Ratio of 2.16. The chart below compares the historical Sharpe Ratios of FHESX and MBXIX, 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

FHESX vs. MBXIX - Drawdown Comparison

The maximum FHESX drawdown since its inception was -40.76%, which is greater than MBXIX's maximum drawdown of -31.73%. Use the drawdown chart below to compare losses from any high point for FHESX and MBXIX.

Drawdown Indicators

	FHESX	MBXIX	Difference
Max Drawdown Largest peak-to-trough decline	-40.76%	-31.73%	-9.03%
Max Drawdown (1Y) Largest decline over 1 year	-11.20%	-3.85%	-7.35%
Max Drawdown (3Y) Largest decline over 3 years	-22.88%	-15.59%	-7.29%
Max Drawdown (5Y) Largest decline over 5 years	-27.80%	-15.59%	-12.21%
Max Drawdown (10Y) Largest decline over 10 years	—	-31.73%	—
Current Drawdown Current decline from peak	-1.37%	-2.68%	+1.31%
Average Drawdown Average peak-to-trough decline	-7.37%	-3.95%	-3.42%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.08%	1.04%	+3.04%

Volatility

FHESX vs. MBXIX - Volatility Comparison

Federated Hermes SDG Engagement Equity Fund (FHESX) has a higher volatility of 3.98% compared to Catalyst/Millburn Hedge Strategy Fund Class I (MBXIX) at 1.59%. This indicates that FHESX's price experiences larger fluctuations and is considered to be riskier than MBXIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FHESX	MBXIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.98%	1.59%	+2.39%
Volatility (6M) Calculated over the trailing 6-month period	12.58%	4.89%	+7.69%
Volatility (1Y) Calculated over the trailing 1-year period	15.90%	6.90%	+9.00%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.25%	11.40%	+5.85%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	19.70%	13.36%	+6.34%

FHESX vs. MBXIX - Expense Ratio Comparison

FHESX has a 0.94% expense ratio, which is lower than MBXIX's 2.04% expense ratio.

Dividends

FHESX vs. MBXIX - Dividend Comparison

Neither FHESX nor MBXIX has paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
FHESX Federated Hermes SDG Engagement Equity Fund	0.00%	0.00%	2.00%	0.97%	0.37%	0.72%	0.88%	1.52%	0.00%	0.00%	0.00%
MBXIX Catalyst/Millburn Hedge Strategy Fund Class I	0.00%	0.00%	2.63%	2.25%	7.74%	0.00%	4.27%	5.18%	3.33%	3.33%	1.91%

Frequently Asked Questions

Can I hold both FHESX and MBXIX in my portfolio?

FHESX and MBXIX have a correlation of 0.28, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FHESX or MBXIX?

FHESX has higher volatility (3.98%) compared to MBXIX (1.59%). In terms of maximum drawdown, FHESX dropped -40.76% vs MBXIX's -31.73%.

Which has better risk-adjusted returns?

MBXIX currently has the higher Sharpe Ratio (2.16 vs 0.55), 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.