MBXAX vs. JDJIX

Last updated Jun 3, 2026

MBXAX (Catalyst/Millburn Hedge Strategy Fund) and JDJIX (JHancock Diversified Macro Fund) are both Macro Trading funds. Over the past 5 years, MBXAX returned 7.08%/yr vs 2.98%/yr for JDJIX. At a 0.46 correlation, their price movements are largely independent. MBXAX charges 2.18%/yr vs 1.39%/yr for JDJIX.

Performance

MBXAX vs. JDJIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Catalyst/Millburn Hedge Strategy Fund (MBXAX) and JHancock Diversified Macro Fund (JDJIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, MBXAX achieves a 13.33% return, which is significantly higher than JDJIX's 10.70% return.

MBXAX

• 1D: 0.58%
• 1M: -0.02%
• YTD: 13.33%
• 6M: 14.56%
• 1Y: 21.06%
• 3Y*: 11.49%
• 5Y*: 7.08%
• 10Y*: 8.33%

JDJIX

• 1D: 0.88%
• 1M: 1.88%
• YTD: 10.70%
• 6M: 10.11%
• 1Y: 8.43%
• 3Y*: 1.69%
• 5Y*: 2.98%
• 10Y*: —

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

MBXAX vs. JDJIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
MBXAX Catalyst/Millburn Hedge Strategy Fund	13.33%	4.13%	13.17%	-0.91%	7.46%	16.62%	-0.72%	3.90%
JDJIX JHancock Diversified Macro Fund	10.70%	-7.68%	2.59%	2.77%	12.26%	-2.19%	-2.24%	1.59%

Correlation

The correlation between MBXAX and JDJIX is 0.45, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.45
Correlation (3Y) Calculated over the trailing 3-year period	0.51
Correlation (5Y) Calculated over the trailing 5-year period	0.45
Correlation (All Time) Calculated using the full available price history since Jul 30, 2019	0.46

The correlation between MBXAX and JDJIX has been stable across timeframes, ranging from 0.45 to 0.51 - a consistent structural relationship.

Return for Risk

MBXAX vs. JDJIX — Risk / Return Rank

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

MBXAX

MBXAX Risk / Return Rank: 92
MBXAX Sharpe Ratio Rank: 92
MBXAX Sortino Ratio Rank: 91
MBXAX Omega Ratio Rank: 87
MBXAX Calmar Ratio Rank: 94
MBXAX Martin Ratio Rank: 94

JDJIX

JDJIX Risk / Return Rank: 17
JDJIX Sharpe Ratio Rank: 18
JDJIX Sortino Ratio Rank: 18
JDJIX Omega Ratio Rank: 19
JDJIX Calmar Ratio Rank: 16
JDJIX Martin Ratio Rank: 13

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.

MBXAX vs. JDJIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Catalyst/Millburn Hedge Strategy Fund (MBXAX) and JHancock Diversified Macro Fund (JDJIX). 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.

	MBXAX	JDJIX	Difference
Sharpe ratio Return per unit of total volatility	3.08	1.25	+1.83
Sortino ratio Return per unit of downside risk	4.55	1.79	+2.76
Omega ratio Gain probability vs. loss probability	1.60	1.23	+0.37
Calmar ratio Return relative to maximum drawdown	5.41	1.45	+3.96
Martin ratio Return relative to average drawdown	21.04	3.86	+17.18
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

MBXAX vs. JDJIX - Sharpe Ratio Comparison

The current MBXAX Sharpe Ratio is 3.08, which is higher than the JDJIX Sharpe Ratio of 1.25. The chart below compares the historical Sharpe Ratios of MBXAX and JDJIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	MBXAX	JDJIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.08	1.25	+1.83
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.62	0.34	+0.28
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.62	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.68	0.26	+0.42

Drawdowns

MBXAX vs. JDJIX - Drawdown Comparison

The maximum MBXAX drawdown since its inception was -31.75%, which is greater than JDJIX's maximum drawdown of -19.58%. Use the drawdown chart below to compare losses from any high point for MBXAX and JDJIX.

Drawdown Indicators

	MBXAX	JDJIX	Difference
Max Drawdown Largest peak-to-trough decline	-31.75%	-19.58%	-12.17%
Max Drawdown (1Y) Largest decline over 1 year	-3.89%	-5.72%	+1.83%
Max Drawdown (3Y) Largest decline over 3 years	-15.66%	-19.58%	+3.92%
Max Drawdown (5Y) Largest decline over 5 years	-15.66%	-19.58%	+3.92%
Max Drawdown (10Y) Largest decline over 10 years	-31.75%	—	—
Current Drawdown Current decline from peak	-0.68%	-9.83%	+9.15%
Average Drawdown Average peak-to-trough decline	-4.05%	-7.39%	+3.34%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.00%	2.15%	-1.15%

Volatility

MBXAX vs. JDJIX - Volatility Comparison

Catalyst/Millburn Hedge Strategy Fund (MBXAX) and JHancock Diversified Macro Fund (JDJIX) have volatilities of 1.86% and 1.83%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	MBXAX	JDJIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.86%	1.83%	+0.03%
Volatility (6M) Calculated over the trailing 6-month period	5.18%	5.21%	-0.03%
Volatility (1Y) Calculated over the trailing 1-year period	7.03%	6.78%	+0.25%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.54%	8.87%	+2.67%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	13.42%	9.13%	+4.29%

MBXAX vs. JDJIX - Expense Ratio Comparison

MBXAX has a 2.18% expense ratio, which is higher than JDJIX's 1.39% expense ratio.

Dividends

MBXAX vs. JDJIX - Dividend Comparison

MBXAX has not paid dividends to shareholders, while JDJIX's dividend yield for the trailing twelve months is around 0.28%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
JDJIX JHancock Diversified Macro Fund	0.28%	0.31%	0.43%	3.99%	11.26%	3.46%	2.11%	3.79%	0.00%	0.00%	0.00%
MBXAX Catalyst/Millburn Hedge Strategy Fund	0.00%	0.00%	2.43%	2.02%	7.57%	0.00%	3.92%	4.96%	3.07%	3.35%	1.82%

Frequently Asked Questions

Can I hold both MBXAX and JDJIX in my portfolio?

MBXAX and JDJIX have a correlation of 0.45, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, MBXAX or JDJIX?

MBXAX has higher volatility (1.86%) compared to JDJIX (1.83%). In terms of maximum drawdown, MBXAX dropped -31.75% vs JDJIX's -19.58%.

Which has better risk-adjusted returns?

MBXAX currently has the higher Sharpe Ratio (3.08 vs 1.25), 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.