CATALYST FUNDS RESEARCH
Understanding Fund Correlation
Catalyst/Millburn Hedge Strategy Fund
Catalyst/Millburn Hedge Strategy Fund
December 2018 |
The Morningstar 5-star rated* Catalyst/Millburn Hedge Strategy Fund (MBXIX) seeks to achieve superior riskadjusted returns as compared with a typical long only, non-leveraged equity portfolio. The Fund attempts to outperform typical long-only equity investments with lower drawdowns by utilizing complementary active and passive investment strategies, which includes integrating managed futures as a component of the strategy.
MBXIX Has Exhibited a Significantly Lower Rolling Three Year Correlation to the S&P 500 TR Index than a 60/40 Portfolio
Seek a Long-Term Integration Approach for MBXIX to Avoid the Temptation of Short-Term Evaluation
MBXIX Significantly Outperformed the S&P 500 TR Index and a 60/40 Portfolio Since Inception in January 1997
Past performance is no guarantee of future results. The referenced indices are shown for general market comparisons and are notmeant to represent any fund. Investors cannot directly invest in an index; unmanaged index returns do not reflect any fees, expenses or sales charges. Based on monthly return data for Catalyst/Millburn Hedge Strategy Fund Class I (MBXIX), S&P 500 Total Return Index and 60% S&P 500 Total Return Index/40% Bloomberg Barclays US Aggregate Bond Total Return Index (60/40 Portfolio, rebalanced monthly) from January 1997 to December 2018. Source: Bloomberg LP and Catalyst Capital Advisors LLC. *Rated 5-stars by Morningstar for the period ending 12/31/2018, based on 3 year risk-adjusted returns, out of 290 funds in the Multialternative category.
99% of rolling 36-month periods exhibited positive returns
The Catalyst/Millburn Hedge Strategy Fund Class I (MBXIX) has delivered positive returns during 99% of rolling 36-month periods from inception until September 30, 2018. The S&P 500 Index only delivered positive returns during 74% of rolling 36-month periods.
Rolling 36-Month Return Analysis (January 1997 – December 2018)
|MBXIX||S&P 500 TR Index|
|Number of 36-Month Periods||229||229|
|Average 36-Month Annualized Return||10.46%f||6.91%|
|Best 36-Month Annualized Return||22.05%||27.56%|
|Worst 36-Month Annualized Return||-0.71%||-16.09%|
|Standard Deviation of 36-Month Periods||4.47%f||10.10%|
|Profitable Periods (%)||99%||74%|
|Average Profitable Period Return (Annualized)||10.56%||11.92%|
|Unprofitable Periods (%)||1%||26%|
|Number of Unprofitable Periods||2||59|
|Average Unprofitable Period Return (Annualized)||-0.62%||-7.53%|
Fund Performance as of December 31, 2018
|Share Class||1 Year||3 Years||5 Years||10 Years||Since Inception*|
|S&P 500 TR Index||-4.38%||9.26%||8.49%||13.12%||7.70%|
|S&P 500 TR Index||-4.38%||9.26%||n/a||n/a||9.02%|
|Class A with Sales Charge||-8.04%||7.18%||n/a||n/a||6.89%|
*Inception: 1/1/1997 (I Share) & 12/28/2015 (A & C Shares)
The Fund’s maximum sales charge for Class “A” shares is 5.75%. Total Annual Fund Operating Expenses 2.25%, 3.00%, and 2.00% (Class A, C, and I respectively). Investments in mutual funds involve risks. Performance is historic and does not guarantee future results. Investment return and principal value will fluctuate with changing market conditions so that when redeemed, shares may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. To obtain the most recent month end performance information or the Fund’s prospectus please call the fund, toll free at 1-866-447-4228. You can also obtain a prospectus at www.CatalystMF.com.
IMPORTANT RISK CONSIDERATIONS:
Past performance does not guarantee future results. There is no guarantee that any investment strategy will achieve its objectives, generate profits, or avoid losses.
Investing in the Fund carries certain risks. The Fund will invest a percentage of its assets in derivatives, such as futures and options contracts. The use of such derivatives and the resulting high portfolio turn-over may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities and commodities underlying those derivatives. The Fund may experience losses that exceed those experienced by funds that do not use futures contracts, options and hedging strategies. Investing in commodities markets may subject the Fund to greater volatility than investments in traditional securities. Currency trading risks include market risk, credit risk and country risk. Foreign investing involves risks not typically associated with U.S. investments. Changes in interest rates and the liquidity of certain investments could affect the Fund’s overall performance. The Fund is non-diversified and as a result, changes in the value of a single security may have significant effect on the Fund’s value. Other risks include U.S. Government securities risks and investments in fixed income securities. Typically, a rise in interest rates causes a decline in the value of fixed income securities or derivatives owned by the Fund. Furthermore, the use of leveraging can magnify the potential for gain or loss and amplify the effects of market volatility on the Fund’s share price. The Fund is subject to regulatory change and tax risks; changes to current rules could increase costs associated with an investment in the Fund. These factors may affect the value of your investment.
Performance shown before December 28, 2015 is for the Fund’s Predecessor Fund (Millburn Hedge Fund, L.P.). The prior performance is net of management fees and other expenses including the effect of the performance fee. The Predecessor Fund had an investment objective and strategies that were, in all material respects, the same as those of the Fund, and was managed in a manner that, in all material respects, complied with the investment guidelines and restrictions of the Fund. From its inception through December 28, 2015, the Predecessor Fund was not subject to certain investment restrictions, diversification requirements and other restrictions of the 1940 Act of the Code, which if they had been applicable, might have adversely affected its performance. In addition, the Predecessor Fund was not subject to sales loads that would have adversely affected performance. Performance of the predecessor fund is not an indicator of future results.
©2019 Morningstar. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Past performance is no guarantee of future results. The Morningstar RatingTM for funds, or “star rating”, is calculated for managed products (including mutual funds, variable annuity and variable life subaccounts, exchange-traded funds, closed-end funds, and separate accounts) with at least a three-year history. Exchange-traded funds and open-ended mutual funds are considered a single population for comparative purposes. It is calculated based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a managed product’s monthly excess performance, placing more emphasis on downward variations and rewarding consistent performance. The Morningstar Rating does not include any adjustment for sales loads. The top 10% of products in each product category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars, and the bottom 10% receive 1 star. The Overall Morningstar Rating for a managed product is derived from a weighted average of the performance figures associated with its three-, five-, and 10-year (if applicable) Morningstar Rating metrics. Morningstar Rating is for the I share class only; other classes may have different performance characteristics.
Investors should carefully consider the investment objectives, risks, charges and expenses of the Catalyst Funds. This and other important information about the Fund is contained in the prospectus, which can be obtained by calling 866-447-4228 or at www.CatalystMF.com. The prospectus should be read carefully before investing. The Catalyst Funds are distributed by Northern Lights Distributors, LLC, member FINRA/SIPC. Catalyst Capital Advisors, LLC is not affiliated with Northern Lights Distributors, LLC. 4326-NLD-2/26/2019