MSJIX vs. MBXAX

Last updated Aug 4, 2026

MSJIX (Morgan Stanley Global Endurance Portfolio) and MBXAX (Catalyst/Millburn Hedge Strategy Fund) are both mutual funds - MSJIX is a Global Equities fund managed by Morgan Stanley, while MBXAX is a Multistrategy fund managed by Catalyst Mutual Funds. Over the past 5 years, MSJIX returned -6.63%/yr vs 7.27%/yr for MBXAX. Their 0.39 correlation means their historical movements had little consistent relationship. MSJIX charges 1.00%/yr vs 2.18%/yr for MBXAX.

Performance

MSJIX vs. MBXAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Morgan Stanley Global Endurance Portfolio (MSJIX) and Catalyst/Millburn Hedge Strategy Fund (MBXAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, MSJIX achieves a 9.35% return, which is significantly lower than MBXAX's 13.56% return.

MSJIX

• 1D: -1.00%
• 1M: 0.58%
• 6M: 12.72%
• YTD: 9.35%
• 1Y: 18.62%
• 3Y*: 10.82%
• 5Y*: -6.63%
• 10Y*: —
• ALL TIME*: 13.51%

MBXAX

• 1D: 0.73%
• 1M: -1.32%
• 6M: 9.10%
• YTD: 13.56%
• 1Y: 18.00%
• 3Y*: 9.79%
• 5Y*: 7.27%
• 10Y*: 7.59%
• ALL TIME*: 8.93%

*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)
MBXAX Catalyst/Millburn Hedge Strategy Fund	$0.00	$0.00	$0.00
MSJIX Morgan Stanley Global Endurance Portfolio	$0.00	$0.00	$0.00

MSJIX vs. MBXAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
MSJIX Morgan Stanley Global Endurance Portfolio	9.35%	24.62%	5.99%	72.54%	-66.23%	9.69%	110.10%	34.61%
MBXAX Catalyst/Millburn Hedge Strategy Fund	13.56%	4.13%	13.17%	-0.91%	7.46%	16.62%	-0.72%	13.10%

Correlation

The correlation between MSJIX and MBXAX is 0.29, which is low. Their historical price movements had little consistent relationship.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.29
Correlation (3Y) Balances recent behavior with more history.	0.30
Correlation (5Y) Shows whether the relationship held over a longer period.	0.31
Correlation (All Time) Calculated using the full available price history since Jan 3, 2019	0.39

Return for Risk

MSJIX vs. MBXAX — Risk / Return Rank

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

MSJIX

MSJIX Risk / Return Rank: 36
MSJIX Sharpe Ratio Rank: 28
MSJIX Sortino Ratio Rank: 34
MSJIX Omega Ratio Rank: 29
MSJIX Calmar Ratio Rank: 50
MSJIX Martin Ratio Rank: 36

MBXAX

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

MSJIX vs. MBXAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Morgan Stanley Global Endurance Portfolio (MSJIX) and Catalyst/Millburn Hedge Strategy Fund (MBXAX). 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.

	MSJIX	MBXAX	Difference
Sharpe ratio: Return per unit of total volatility	1.06	2.36	-1.30
Sortino ratio: Return per unit of downside risk	1.71	3.47	-1.76
Omega ratio: Gain probability vs. loss probability	1.20	1.44	-0.25
Calmar ratio: Return relative to maximum drawdown	2.02	4.17	-2.15
Martin ratio: Return relative to average drawdown	5.75	16.27	-10.52

MSJIX vs. MBXAX - Sharpe Ratio Comparison

The current MSJIX Sharpe Ratio is 1.06, which is lower than the MBXAX Sharpe Ratio of 2.36. The chart below compares the historical Sharpe Ratios of MSJIX and MBXAX, 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

MSJIX vs. MBXAX - Drawdown Comparison

The maximum MSJIX drawdown since its inception was -75.26%, which is greater than MBXAX's maximum drawdown of -31.75%. Use the drawdown chart below to compare losses from any high point for MSJIX and MBXAX.

Drawdown Indicators

	MSJIX	MBXAX	Difference
Max Drawdown Largest peak-to-trough decline	-75.26%	-31.75%	-43.51%
Max Drawdown (1Y) Largest decline over 1 year	-10.91%	-3.89%	-7.02%
Max Drawdown (3Y) Largest decline over 3 years	-24.83%	-15.66%	-9.17%
Max Drawdown (5Y) Largest decline over 5 years	-73.58%	-15.66%	-57.92%
Max Drawdown (10Y) Largest decline over 10 years	—	-31.75%	—
Current Drawdown Current decline from peak	-36.44%	-1.98%	-34.46%
Average Drawdown Average peak-to-trough decline	-36.30%	-4.00%	-32.30%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.82%	1.01%	+2.81%

Volatility

MSJIX vs. MBXAX - Volatility Comparison

Morgan Stanley Global Endurance Portfolio (MSJIX) has a higher volatility of 7.66% compared to Catalyst/Millburn Hedge Strategy Fund (MBXAX) at 1.78%. This indicates that MSJIX's price experiences larger fluctuations and is considered to be riskier than MBXAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	MSJIX	MBXAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.66%	1.78%	+5.88%
Volatility (6M) Calculated over the trailing 6-month period	17.25%	4.91%	+12.34%
Volatility (1Y) Calculated over the trailing 1-year period	20.86%	6.90%	+13.96%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	32.03%	11.39%	+20.64%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	32.50%	13.36%	+19.14%

MSJIX vs. MBXAX - Expense Ratio Comparison

MSJIX has a 1.00% expense ratio, which is lower than MBXAX's 2.18% expense ratio.

Dividends

MSJIX vs. MBXAX - Dividend Comparison

MSJIX's dividend yield for the trailing twelve months is around 0.49%, while MBXAX has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
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%
MSJIX Morgan Stanley Global Endurance Portfolio	0.49%	0.53%	0.56%	1.83%	0.00%	4.68%	3.17%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both MSJIX and MBXAX in my portfolio?

MSJIX and MBXAX have a correlation of 0.29, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, MSJIX or MBXAX?

MSJIX has higher volatility (7.66%) compared to MBXAX (1.78%). In terms of maximum drawdown, MSJIX dropped -75.26% vs MBXAX's -31.75%.

Which has better risk-adjusted returns?

MBXAX currently has the higher Sharpe Ratio (2.36 vs 1.06), 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.