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

Correlation

The correlation between MBXIX and SPY is 0.59, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.0
Correlation: 0.6

Performance

MBXIX vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Catalyst/Millburn Hedge Strategy Fund Class I (MBXIX) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

100.00%150.00%200.00%250.00%NovemberDecember2025FebruaryMarchApril
80.75%
213.99%
MBXIX
SPY

Key characteristics

Sharpe Ratio

MBXIX:

-0.38

SPY:

0.52

Sortino Ratio

MBXIX:

-0.42

SPY:

0.87

Omega Ratio

MBXIX:

0.94

SPY:

1.13

Calmar Ratio

MBXIX:

-0.33

SPY:

0.55

Martin Ratio

MBXIX:

-1.05

SPY:

2.26

Ulcer Index

MBXIX:

4.94%

SPY:

4.59%

Daily Std Dev

MBXIX:

13.70%

SPY:

20.10%

Max Drawdown

MBXIX:

-31.73%

SPY:

-55.19%

Current Drawdown

MBXIX:

-8.83%

SPY:

-9.86%

Returns By Period

In the year-to-date period, MBXIX achieves a -4.79% return, which is significantly higher than SPY's -5.73% return.


MBXIX

YTD

-4.79%

1M

-2.33%

6M

-4.33%

1Y

-5.98%

5Y*

9.07%

10Y*

N/A

SPY

YTD

-5.73%

1M

-0.87%

6M

-4.56%

1Y

9.76%

5Y*

15.17%

10Y*

12.04%

*Annualized

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


MBXIX vs. SPY - Expense Ratio Comparison

MBXIX has a 2.04% expense ratio, which is higher than SPY's 0.09% expense ratio.


Expense ratio chart for MBXIX: current value is 2.04%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
MBXIX: 2.04%
Expense ratio chart for SPY: current value is 0.09%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
SPY: 0.09%

Risk-Adjusted Performance

MBXIX vs. SPY — Risk-Adjusted Performance Rank

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

MBXIX
The Risk-Adjusted Performance Rank of MBXIX is 66
Overall Rank
The Sharpe Ratio Rank of MBXIX is 77
Sharpe Ratio Rank
The Sortino Ratio Rank of MBXIX is 66
Sortino Ratio Rank
The Omega Ratio Rank of MBXIX is 66
Omega Ratio Rank
The Calmar Ratio Rank of MBXIX is 44
Calmar Ratio Rank
The Martin Ratio Rank of MBXIX is 44
Martin Ratio Rank

SPY
The Risk-Adjusted Performance Rank of SPY is 6363
Overall Rank
The Sharpe Ratio Rank of SPY is 6060
Sharpe Ratio Rank
The Sortino Ratio Rank of SPY is 6161
Sortino Ratio Rank
The Omega Ratio Rank of SPY is 6464
Omega Ratio Rank
The Calmar Ratio Rank of SPY is 6767
Calmar Ratio Rank
The Martin Ratio Rank of SPY is 6464
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

MBXIX vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Catalyst/Millburn Hedge Strategy Fund Class I (MBXIX) and SPDR S&P 500 ETF (SPY). 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.


The chart of Sharpe ratio for MBXIX, currently valued at -0.38, compared to the broader market-1.000.001.002.003.00
MBXIX: -0.38
SPY: 0.52
The chart of Sortino ratio for MBXIX, currently valued at -0.42, compared to the broader market-2.000.002.004.006.008.00
MBXIX: -0.42
SPY: 0.87
The chart of Omega ratio for MBXIX, currently valued at 0.94, compared to the broader market0.501.001.502.002.503.00
MBXIX: 0.94
SPY: 1.13
The chart of Calmar ratio for MBXIX, currently valued at -0.33, compared to the broader market0.002.004.006.008.0010.00
MBXIX: -0.33
SPY: 0.55
The chart of Martin ratio for MBXIX, currently valued at -1.05, compared to the broader market0.0010.0020.0030.0040.0050.00
MBXIX: -1.05
SPY: 2.26

The current MBXIX Sharpe Ratio is -0.38, which is lower than the SPY Sharpe Ratio of 0.52. The chart below compares the historical Sharpe Ratios of MBXIX and SPY, 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 Ratio-1.000.001.002.003.004.00NovemberDecember2025FebruaryMarchApril
-0.38
0.52
MBXIX
SPY

Dividends

MBXIX vs. SPY - Dividend Comparison

MBXIX's dividend yield for the trailing twelve months is around 1.97%, more than SPY's 1.30% yield.


TTM20242023202220212020201920182017201620152014
MBXIX
Catalyst/Millburn Hedge Strategy Fund Class I
1.97%1.88%1.84%4.16%0.00%4.27%5.18%1.77%0.00%1.32%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.30%1.21%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%

Drawdowns

MBXIX vs. SPY - Drawdown Comparison

The maximum MBXIX drawdown since its inception was -31.73%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for MBXIX and SPY. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-8.83%
-9.86%
MBXIX
SPY

Volatility

MBXIX vs. SPY - Volatility Comparison

The current volatility for Catalyst/Millburn Hedge Strategy Fund Class I (MBXIX) is 9.64%, while SPDR S&P 500 ETF (SPY) has a volatility of 15.12%. This indicates that MBXIX experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%NovemberDecember2025FebruaryMarchApril
9.64%
15.12%
MBXIX
SPY