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VGWAX vs. ATRFX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VGWAXATRFX
YTD Return8.39%0.02%
1Y Return16.33%3.54%
3Y Return (Ann)4.44%5.32%
5Y Return (Ann)7.30%12.85%
Sharpe Ratio2.370.23
Sortino Ratio3.350.38
Omega Ratio1.451.06
Calmar Ratio4.460.20
Martin Ratio14.570.52
Ulcer Index1.13%7.31%
Daily Std Dev6.92%16.64%
Max Drawdown-25.28%-25.02%
Current Drawdown-1.92%-13.44%

Correlation

-0.50.00.51.00.2

The correlation between VGWAX and ATRFX is 0.17, 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

VGWAX vs. ATRFX - Performance Comparison

In the year-to-date period, VGWAX achieves a 8.39% return, which is significantly higher than ATRFX's 0.02% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%JuneJulyAugustSeptemberOctoberNovember
3.42%
-7.36%
VGWAX
ATRFX

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VGWAX vs. ATRFX - Expense Ratio Comparison

VGWAX has a 0.29% expense ratio, which is lower than ATRFX's 1.77% expense ratio.


ATRFX
Catalyst Systematic Alpha Class I
Expense ratio chart for ATRFX: current value at 1.77% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.77%
Expense ratio chart for VGWAX: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%

Risk-Adjusted Performance

VGWAX vs. ATRFX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Global Wellington Fund Admiral Shares (VGWAX) and Catalyst Systematic Alpha Class I (ATRFX). 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.


VGWAX
Sharpe ratio
The chart of Sharpe ratio for VGWAX, currently valued at 2.37, compared to the broader market0.002.004.002.37
Sortino ratio
The chart of Sortino ratio for VGWAX, currently valued at 3.35, compared to the broader market0.005.0010.003.35
Omega ratio
The chart of Omega ratio for VGWAX, currently valued at 1.45, compared to the broader market1.002.003.004.001.45
Calmar ratio
The chart of Calmar ratio for VGWAX, currently valued at 4.46, compared to the broader market0.005.0010.0015.0020.004.46
Martin ratio
The chart of Martin ratio for VGWAX, currently valued at 14.57, compared to the broader market0.0020.0040.0060.0080.00100.0014.57
ATRFX
Sharpe ratio
The chart of Sharpe ratio for ATRFX, currently valued at 0.23, compared to the broader market0.002.004.000.23
Sortino ratio
The chart of Sortino ratio for ATRFX, currently valued at 0.38, compared to the broader market0.005.0010.000.38
Omega ratio
The chart of Omega ratio for ATRFX, currently valued at 1.06, compared to the broader market1.002.003.004.001.06
Calmar ratio
The chart of Calmar ratio for ATRFX, currently valued at 0.20, compared to the broader market0.005.0010.0015.0020.000.20
Martin ratio
The chart of Martin ratio for ATRFX, currently valued at 0.52, compared to the broader market0.0020.0040.0060.0080.00100.000.52

VGWAX vs. ATRFX - Sharpe Ratio Comparison

The current VGWAX Sharpe Ratio is 2.37, which is higher than the ATRFX Sharpe Ratio of 0.23. The chart below compares the historical Sharpe Ratios of VGWAX and ATRFX, 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-0.500.000.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.37
0.23
VGWAX
ATRFX

Dividends

VGWAX vs. ATRFX - Dividend Comparison

VGWAX's dividend yield for the trailing twelve months is around 3.13%, less than ATRFX's 3.67% yield.


TTM2023202220212020201920182017201620152014
VGWAX
Vanguard Global Wellington Fund Admiral Shares
3.13%2.62%2.05%1.80%1.64%1.92%2.42%0.23%0.00%0.00%0.00%
ATRFX
Catalyst Systematic Alpha Class I
3.67%1.87%4.98%5.43%20.92%3.04%1.38%0.00%0.91%0.74%0.59%

Drawdowns

VGWAX vs. ATRFX - Drawdown Comparison

The maximum VGWAX drawdown since its inception was -25.28%, roughly equal to the maximum ATRFX drawdown of -25.02%. Use the drawdown chart below to compare losses from any high point for VGWAX and ATRFX. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.92%
-13.44%
VGWAX
ATRFX

Volatility

VGWAX vs. ATRFX - Volatility Comparison

The current volatility for Vanguard Global Wellington Fund Admiral Shares (VGWAX) is 1.90%, while Catalyst Systematic Alpha Class I (ATRFX) has a volatility of 5.24%. This indicates that VGWAX experiences smaller price fluctuations and is considered to be less risky than ATRFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%JuneJulyAugustSeptemberOctoberNovember
1.90%
5.24%
VGWAX
ATRFX