UGOFX vs. MBXIX
UGOFX (USAA Global Managed Volatility Fund) and MBXIX (Catalyst/Millburn Hedge Strategy Fund Class I) are both mutual funds - UGOFX is a Global Equities fund managed by BlackRock, while MBXIX is a Multistrategy fund managed by Catalyst Mutual Funds. Over the past 10 years, UGOFX returned 10.45%/yr vs 7.68%/yr for MBXIX. Their 0.54 correlation means they have sometimes moved together and sometimes differently. UGOFX charges 0.70%/yr vs 2.04%/yr for MBXIX.
Performance
UGOFX vs. MBXIX - Performance Comparison
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Returns By Period
In the year-to-date period, UGOFX achieves a 13.74% return, which is significantly higher than MBXIX's 12.91% return. Over the past 10 years, UGOFX has outperformed MBXIX with an annualized return of 10.45%, while MBXIX has yielded a comparatively lower 7.68% annualized return.
UGOFX
- 1D
- 1.67%
- 1M
- 0.91%
- 6M
- 10.04%
- YTD
- 13.74%
- 1Y
- 23.35%
- 3Y*
- 16.25%
- 5Y*
- 9.93%
- 10Y*
- 10.45%
- ALL TIME*
- 6.95%
MBXIX
- 1D
- -0.28%
- 1M
- -2.01%
- 6M
- 8.54%
- YTD
- 12.91%
- 1Y
- 17.43%
- 3Y*
- 10.12%
- 5Y*
- 7.38%
- 10Y*
- 7.68%
- ALL TIME*
- 8.94%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
UGOFX vs. MBXIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
UGOFX USAA Global Managed Volatility Fund | 13.74% | 16.72% | 13.34% | 19.81% | -15.68% | 21.22% | 6.44% | 21.97% | -8.64% | 21.26% |
MBXIX Catalyst/Millburn Hedge Strategy Fund Class I | 12.91% | 4.35% | 13.49% | -0.67% | 7.72% | 16.89% | -0.45% | 13.83% | -2.16% | 13.99% |
Correlation
The correlation between UGOFX and MBXIX is 0.38, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.38 |
Correlation (3Y) Balances recent behavior with more history. | 0.35 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.38 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.54 |
Correlation (All Time) Calculated using the full available price history since Dec 28, 2015 | 0.54 |
The correlation between UGOFX and MBXIX shifts across timeframes, from 0.35 (3 years) to 0.54 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
UGOFX vs. MBXIX — Risk / Return Rank
UGOFX
MBXIX
UGOFX vs. MBXIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for USAA Global Managed Volatility Fund (UGOFX) and Catalyst/Millburn Hedge Strategy Fund Class I (MBXIX). 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.
| UGOFX | MBXIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.48 | ||
| Sortino ratioReturn per unit of downside risk | -0.81 | ||
| Omega ratioGain probability vs. loss probability | 1.30 | 1.40 | -0.10 |
| Calmar ratioReturn relative to maximum drawdown | 2.70 | 3.88 | -1.17 |
| Martin ratioReturn relative to average drawdown | 11.20 | 14.92 | -3.72 |
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Drawdowns
UGOFX vs. MBXIX - Drawdown Comparison
The maximum UGOFX drawdown since its inception was -38.00%, which is greater than MBXIX's maximum drawdown of -31.73%. Use the drawdown chart below to compare losses from any high point for UGOFX and MBXIX.
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Drawdown Indicators
| UGOFX | MBXIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -38.00% | -31.73% | -6.27% |
Max Drawdown (1Y)Largest decline over 1 year | -7.95% | -3.85% | -4.10% |
Max Drawdown (3Y)Largest decline over 3 years | -14.22% | -15.59% | +1.37% |
Max Drawdown (5Y)Largest decline over 5 years | -38.00% | -15.59% | -22.41% |
Max Drawdown (10Y)Largest decline over 10 years | -38.00% | -31.73% | -6.27% |
Current DrawdownCurrent decline from peak | -0.73% | -2.68% | +1.95% |
Average DrawdownAverage peak-to-trough decline | -7.32% | -3.95% | -3.37% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.92% | 1.04% | +0.88% |
Volatility
UGOFX vs. MBXIX - Volatility Comparison
USAA Global Managed Volatility Fund (UGOFX) has a higher volatility of 3.78% compared to Catalyst/Millburn Hedge Strategy Fund Class I (MBXIX) at 1.59%. This indicates that UGOFX's price experiences larger fluctuations and is considered to be riskier than MBXIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| UGOFX | MBXIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.78% | 1.59% | +2.19% |
Volatility (6M)Calculated over the trailing 6-month period | 10.86% | 4.89% | +5.97% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.81% | 6.90% | +5.91% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.29% | 11.40% | +8.89% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.33% | 13.36% | +4.97% |
UGOFX vs. MBXIX - Expense Ratio Comparison
UGOFX has a 0.70% expense ratio, which is lower than MBXIX's 2.04% expense ratio.
Dividends
UGOFX vs. MBXIX - Dividend Comparison
UGOFX's dividend yield for the trailing twelve months is around 17.80%, while MBXIX has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MBXIX Catalyst/Millburn Hedge Strategy Fund Class I | 0.00% | 0.00% | 2.63% | 2.25% | 7.74% | 0.00% | 4.27% | 5.18% | 3.33% | 3.33% | 1.91% | 0.00% |
UGOFX USAA Global Managed Volatility Fund | 17.80% | 20.24% | 3.46% | 1.77% | 8.60% | 24.98% | 4.13% | 4.16% | 4.48% | 1.99% | 1.44% | 1.05% |
Frequently Asked Questions
UGOFX and MBXIX have a correlation of 0.38, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
UGOFX has higher volatility (3.78%) compared to MBXIX (1.59%). In terms of maximum drawdown, UGOFX dropped -38.00% vs MBXIX's -31.73%.
MBXIX currently has the higher Sharpe Ratio (2.16 vs 1.68), 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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