MBXIX vs. AMFAX
Compare and contrast key facts about Catalyst/Millburn Hedge Strategy Fund Class I (MBXIX) and AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX).
MBXIX is managed by Catalyst Mutual Funds. It was launched on Dec 31, 1996. AMFAX is managed by Blackrock. It was launched on Jul 30, 2010.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: MBXIX or AMFAX.
Key characteristics
| MBXIX | AMFAX | |
|---|---|---|
| YTD Return | 13.85% | -3.54% |
| 1Y Return | 7.90% | -8.33% |
| 3Y Return (Ann) | 4.92% | -3.21% |
| 5Y Return (Ann) | 7.03% | 2.36% |
| Sharpe Ratio | 0.85 | -0.69 |
| Sortino Ratio | 1.23 | -0.82 |
| Omega Ratio | 1.16 | 0.89 |
| Calmar Ratio | 0.94 | -0.21 |
| Martin Ratio | 2.62 | -1.00 |
| Ulcer Index | 3.55% | 8.03% |
| Daily Std Dev | 10.87% | 11.73% |
| Max Drawdown | -31.73% | -37.95% |
| Current Drawdown | -1.87% | -36.42% |
Correlation
The correlation between MBXIX and AMFAX is 0.40, 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
MBXIX vs. AMFAX - Performance Comparison
In the year-to-date period, MBXIX achieves a 13.85% return, which is significantly higher than AMFAX's -3.54% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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MBXIX vs. AMFAX - Expense Ratio Comparison
MBXIX has a 2.04% expense ratio, which is higher than AMFAX's 1.72% expense ratio.
Risk-Adjusted Performance
MBXIX vs. AMFAX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Catalyst/Millburn Hedge Strategy Fund Class I (MBXIX) and AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX). 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.
Dividends
MBXIX vs. AMFAX - Dividend Comparison
MBXIX's dividend yield for the trailing twelve months is around 1.61%, more than AMFAX's 0.31% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A | 0.31% | 0.30% | 10.01% | 5.74% | 3.14% | 6.12% | 0.00% | 0.00% | 0.00% | 2.08% | 2.63% |
Drawdowns
MBXIX vs. AMFAX - Drawdown Comparison
The maximum MBXIX drawdown since its inception was -31.73%, smaller than the maximum AMFAX drawdown of -37.95%. Use the drawdown chart below to compare losses from any high point for MBXIX and AMFAX. For additional features, visit the drawdowns tool.
Volatility
MBXIX vs. AMFAX - Volatility Comparison
The current volatility for Catalyst/Millburn Hedge Strategy Fund Class I (MBXIX) is 2.73%, while AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) has a volatility of 2.96%. This indicates that MBXIX experiences smaller price fluctuations and is considered to be less risky than AMFAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.