HMEZX vs. HFRO
HMEZX (NexPoint Merger Arbitrage Fund) and HFRO (Highland Funds I - Highland Opportunities and Income Fund) are both mutual funds - HMEZX is a Event Driven fund managed by Highland Funds, while HFRO is a Diversified Portfolio fund managed by Highland Funds. Over the past 5 years, HMEZX returned 4.89%/yr vs -3.18%/yr for HFRO. At a 0.12 correlation, their price movements are largely independent. HMEZX charges 1.50%/yr vs 0.02%/yr for HFRO.
Performance
HMEZX vs. HFRO - Performance Comparison
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Returns By Period
In the year-to-date period, HMEZX achieves a 1.72% return, which is significantly lower than HFRO's 14.58% return.
HMEZX
- 1D
- -0.05%
- 1M
- 0.25%
- YTD
- 1.72%
- 6M
- 1.89%
- 1Y
- 5.55%
- 3Y*
- 6.92%
- 5Y*
- 4.89%
- 10Y*
- 5.89%
HFRO
- 1D
- -1.34%
- 1M
- 8.46%
- YTD
- 14.58%
- 6M
- 13.05%
- 1Y
- 39.54%
- 3Y*
- -1.98%
- 5Y*
- -3.18%
- 10Y*
- —
HMEZX vs. HFRO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
HMEZX NexPoint Merger Arbitrage Fund | 1.72% | 6.30% | 7.42% | 4.10% | 2.70% | 5.37% | 8.46% | 8.10% | 5.92% | -0.07% |
HFRO Highland Funds I - Highland Opportunities and Income Fund | 14.58% | 25.08% | -27.17% | -16.97% | 1.71% | 16.33% | -8.42% | 4.22% | -12.30% | 1.01% |
Correlation
The correlation between HMEZX and HFRO is 0.08, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.08 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.13 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.15 |
Correlation (All Time) Calculated using the full available price history since Nov 7, 2017 | 0.12 |
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Return for Risk
HMEZX vs. HFRO — Risk / Return Rank
HMEZX
HFRO
HMEZX vs. HFRO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for NexPoint Merger Arbitrage Fund (HMEZX) and Highland Funds I - Highland Opportunities and Income Fund (HFRO). 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.
| HMEZX | HFRO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.63 | ||
| Sortino ratioReturn per unit of downside risk | +5.47 | ||
| Omega ratioGain probability vs. loss probability | 2.19 | 1.36 | +0.83 |
| Calmar ratioReturn relative to maximum drawdown | 10.25 | 2.52 | +7.72 |
| Martin ratioReturn relative to average drawdown | 58.26 | 6.11 | +52.16 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| HMEZX | HFRO | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 4.56 | 1.93 | +2.63 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 2.92 | -0.13 | +3.06 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 1.56 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.59 | -0.07 | +1.67 |
Drawdowns
HMEZX vs. HFRO - Drawdown Comparison
The maximum HMEZX drawdown since its inception was -6.86%, smaller than the maximum HFRO drawdown of -52.79%. Use the drawdown chart below to compare losses from any high point for HMEZX and HFRO.
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Drawdown Indicators
| HMEZX | HFRO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -6.86% | -52.79% | +45.93% |
Max Drawdown (1Y)Largest decline over 1 year | -0.55% | -15.74% | +15.19% |
Max Drawdown (3Y)Largest decline over 3 years | -1.06% | -43.68% | +42.62% |
Max Drawdown (5Y)Largest decline over 5 years | -1.94% | -52.79% | +50.85% |
Max Drawdown (10Y)Largest decline over 10 years | -6.86% | — | — |
Current DrawdownCurrent decline from peak | -0.05% | -23.06% | +23.01% |
Average DrawdownAverage peak-to-trough decline | -0.37% | -20.68% | +20.31% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.10% | 6.49% | -6.39% |
Volatility
HMEZX vs. HFRO - Volatility Comparison
The current volatility for NexPoint Merger Arbitrage Fund (HMEZX) is 0.24%, while Highland Funds I - Highland Opportunities and Income Fund (HFRO) has a volatility of 6.28%. This indicates that HMEZX experiences smaller price fluctuations and is considered to be less risky than HFRO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| HMEZX | HFRO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.24% | 6.28% | -6.04% |
Volatility (6M)Calculated over the trailing 6-month period | 0.86% | 14.54% | -13.68% |
Volatility (1Y)Calculated over the trailing 1-year period | 1.23% | 20.63% | -19.40% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 1.68% | 23.78% | -22.10% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 3.80% | 22.50% | -18.70% |
HMEZX vs. HFRO - Expense Ratio Comparison
HMEZX has a 1.50% expense ratio, which is higher than HFRO's 0.02% expense ratio.
Dividends
HMEZX vs. HFRO - Dividend Comparison
HMEZX's dividend yield for the trailing twelve months is around 5.02%, less than HFRO's 6.96% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
HFRO Highland Funds I - Highland Opportunities and Income Fund | 6.96% | 7.73% | 8.90% | 12.02% | 8.97% | 8.41% | 8.99% | 7.43% | 7.22% | 0.99% | 0.00% |
HMEZX NexPoint Merger Arbitrage Fund | 5.02% | 5.04% | 6.36% | 5.07% | 5.11% | 3.63% | 5.83% | 0.33% | 19.16% | 6.88% | 0.02% |
Frequently Asked Questions
HMEZX and HFRO have a correlation of 0.08, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
HFRO has higher volatility (6.28%) compared to HMEZX (0.24%). In terms of maximum drawdown, HMEZX dropped -6.86% vs HFRO's -52.79%.
HMEZX currently has the higher Sharpe Ratio (4.56 vs 1.93), 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.
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