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Trending ETFs

Name

Price

Aum/Mkt Cap

YIELD

Exp Ratio

Watchlist

$11.24

$6.61 M

4.13%

$0.46

2.69%

Vitals

YTD Return

9.0%

1 yr return

8.9%

3 Yr Avg Return

2.7%

5 Yr Avg Return

2.1%

Net Assets

$6.61 M

Holdings in Top 10

68.4%

52 WEEK LOW AND HIGH

$11.2
$9.81
$11.25

Expenses

OPERATING FEES

Expense Ratio 2.69%

SALES FEES

Front Load 5.75%

Deferred Load N/A

TRADING FEES

Turnover 121.00%

Redemption Fee N/A


Min Investment

Standard (Taxable)

$2,500

IRA

$2,500


Fund Classification

Fund Type

Open End Mutual Fund


Name

Price

Aum/Mkt Cap

YIELD

Exp Ratio

Watchlist

$11.24

$6.61 M

4.13%

$0.46

2.69%

ATRAX - Profile

Distributions

  • YTD Total Return 9.0%
  • 3 Yr Annualized Total Return 2.7%
  • 5 Yr Annualized Total Return 2.1%
  • Capital Gain Distribution Frequency Annually
  • Net Income Ratio 0.35%
DIVIDENDS
  • Dividend Yield 4.1%
  • Dividend Distribution Frequency Annually

Fund Details

  • Legal Name
    Catalyst Systematic Alpha Fund
  • Fund Family Name
    Catalyst Mutual Funds
  • Inception Date
    Jul 31, 2014
  • Shares Outstanding
    N/A
  • Share Class
    A
  • Currency
    USD
  • Domiciled Country
    United States
  • Manager
    David Miller

Fund Description

Under normal circumstances, the Fund seeks to provide a total return that exceeds the BNP Paribas Catalyst Systematic Alpha Index II (the “Benchmark”). The Fund seeks excess return, after the impact of fees and expenses, above the Benchmark through investing in (i) securities that provide exposure to the Benchmark (“Benchmark Component”) and (ii) fixed income securities, primarily short-term U.S. corporate bonds issued by publicly traded companies, including real estate investment trusts (“REITs”) and convertible bonds (the “Fixed Income Component”). The Fund generally seeks exposure to the Benchmark by investing in one or more structured notes and/or one or more non-exchange-traded total return swap contracts. These instruments generate returns that approximate the Benchmark’s returns either in whole or through a combination of the Benchmark’s components, with some or all of the Benchmark replication instruments being held through a wholly-owned and controlled subsidiary of the Fund organized under the laws of the Cayman Islands (the “Subsidiary”). However, the majority of Benchmark-linked instruments are held in the Subsidiary. The swap contracts may use the Benchmark or a modified version of the Benchmark, one or more components of the Benchmark, or an unrelated index as the reference asset. The adviser selects non-Benchmark linked instruments with return that it believes are highly correlated to those of the Benchmark. BNP Paribas (“BNP”) is the index sponsor and index calculation agent.

Benchmark Component

The Fund’s investment advisor, Catalyst Capital Advisors, LLC (the “Advisor”) executes the Benchmark Component of the Fund’s strategy by investing in structured notes or swap contracts, with some or all of the structured notes or swap contracts being held through the Subsidiary. The Benchmark is an absolute return, multi-risk premia index (i.e., a multi-risk factor index) that

attempts to capture various sources of systematic risks in the capital markets. Risk premia refers to sources of return derived by accepting risks beyond those inherent in traditional broad market exposures. Risk premia are considered the building blocks of many variable (i.e., non-linear) and hedged investment strategies. Risk premia strategies use publicly traded instruments, tend to have low correlation to equities and bonds as well as to one another, and have historically had persistent positive returns over a variety of market environments and time periods. The multi-risk premia strategy Benchmark seeks absolute returns through risk-balanced exposure to carry, momentum and volatility risk premia across the equity, commodity, forex and fixed income markets and synthetically invests in the components of the six pre-existing BNP Paribas Risk Premia Indexes (identified in the table below and collectively the “Underlying Indexes”), which consist of futures on equity indices, commodities, government bonds and non-government bonds, and currency forwards. Certain Underlying Indexes may have significant exposure to particular countries or geographic regions and, as a result, the Fund may concentrate its investments in such geographic locations.

.

Underlying Indexes
-          BNP Paribas Dynamic Volatility Roll-Down US Index
-          BNP Paribas Multi Asset Diversified 5 Index
-          BNP Paribas Enhanced Kinetis Money Market Excess Return USD Index
-          BNP Paribas GALAXY G10 Excess Return USD Index
-          BNP Paribas Commodity Daily Dynamic Alpha Curve ER Index
-          BNP Paribas Intraday Trend US 2 Index

•       Carry Risk Premium: Captures the tendency for higher yielding assets to outperform lower yielding assets over time. Typical Carry Risk Premium strategies include being long high carry assets and short low carry assets.

•       Momentum Risk Premium: Captures the tendency for assets that have performed well in recent past to continue to perform well, and assets that have performed poorly in the recent past to continue to perform poorly. Typical Momentum Risk Premium strategies include being long historically high performing assets and being short historically low performing assets.

•       Volatility Risk Premium: Captures the behavioral tendency of markets to over exaggerate the probability of near-term market corrections. Typical Volatility Premium strategies include being short an asset’s expected end-of-day price standard deviation (implied volatility) and being long an asset’s realized end-of-day price standard deviation (realized volatility) over a specified period of time.

The Benchmark uses a rules-based, risk-budget model to dynamically allocate across the various Underlying Indexes and is constructed using a hypothetical portfolio comprised of the Underlying Indexes (the “Daily Portfolio”) based on each Underlying Index’s 20-day and 60-day Historical

Volatility, Volatility Budget, and current Daily Portfolio value. The Benchmark’s exposure to each Underlying Index is determined daily and is greater than or equal to 0.

The Benchmark assigns a higher weight to Underlying Indexes exhibiting near-term low volatility and a lower weight to Underlying Indexes exhibiting near-term high volatility in an attempt to maintain a balanced exposure to the risk in each Carry, Momentum, and Volatility Risk Premia. The Benchmark may rebalance its exposure to the Underlying Indexes as frequently as daily to quickly adapt to various market conditions and risk levels.

Fixed Income Component

The Fund seeks excess return above the Benchmark through active management of a fixed income portfolio. The Fund’s fixed income portfolio invests primarily in short-term U.S. corporate bonds issued by publicly traded companies, including REITs. The Fund may invest in corporate bonds , including convertible bonds of any credit quality (with ratings ranging from AAA to C by S&P Global Ratings or the equivalent by another national recognized statistical ratings organization), effective maturity or modified duration, but intends to hold a majority of the portfolio in investment grade corporate bonds (rated BBB- or higher by S&P Global Ratings or the equivalent by another nationally recognized statistical ratings organization) with an average effective maturity of less than four years and an average duration of less than three and a half. Modified duration measures the change in the value of a bond in response to a 1% change in interest rates. The Fund will not purchase bonds that are in default.

The Advisor uses quantitative and qualitative screening processes to selects bonds for investment by the Fund. The Advisor's quantitative screen focuses on credit metrics including total leverage ratio (total debt/earnings before interest, taxes, depreciation and amortization (“EBITDA”)), EBITDA interest coverage ratio (EBITDA/interest expense), and cash ratio (cash and equivalents/current liabilities). The Advisor’s qualitative review involves an analysis of company fundamentals including business model, competitive advantages, cyclicality of the underlying industry, and addressable market opportunity. The Advisor generally sells bonds if the Advisor believes the bonds no longer offer favorable risk-adjusted return potential. The Fund actively trades its portfolio investments, which may lead to higher transaction costs that may affect the Fund’s performance.

Investments in Subsidiary – The Advisor executes a portion of the Fund’s strategy by investing up to 25% of its total assets in the Subsidiary. The Subsidiary invests the majority of its assets in structured notes or swap contracts that seek to track the Benchmark. The Subsidiary is subject to the same investment restrictions as the Fund, when viewed on a consolidated basis.

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ATRAX - Performance

Return Ranking - Trailing

Period ATRAX Return Category Return Low Category Return High Rank in Category (%)
YTD 9.0% -73.0% 19.4% 4.30%
1 Yr 8.9% -9.1% 86.9% 7.27%
3 Yr 2.7%* -9.5% 16.2% 2.01%
5 Yr 2.1%* -4.9% 14.4% 22.87%
10 Yr N/A* -0.9% 7.5% N/A

* Annualized

Return Ranking - Calendar

Period ATRAX Return Category Return Low Category Return High Rank in Category (%)
2022 -8.7% -22.7% 305.1% 83.70%
2021 9.3% -9.8% 27.3% 1.21%
2020 -1.6% -20.8% 10.9% 99.11%
2019 6.2% -12.4% 29.4% 72.28%
2018 -4.3% -10.5% 15.8% 82.20%

Total Return Ranking - Trailing

Period ATRAX Return Category Return Low Category Return High Rank in Category (%)
YTD 9.0% -73.0% 19.4% 4.30%
1 Yr 8.9% -13.4% 86.9% 11.64%
3 Yr 2.7%* -9.5% 16.2% 4.42%
5 Yr 2.1%* -5.3% 14.4% 43.05%
10 Yr N/A* -0.9% 7.5% N/A

* Annualized

Total Return Ranking - Calendar

Period ATRAX Return Category Return Low Category Return High Rank in Category (%)
2022 -8.7% -22.7% 305.1% 83.70%
2021 9.3% -9.8% 27.3% 1.21%
2020 -1.6% -20.8% 10.9% 99.11%
2019 6.2% -8.4% 29.4% 82.67%
2018 -4.3% -10.2% 18.0% 83.77%

NAV & Total Return History


ATRAX - Holdings

Concentration Analysis

ATRAX Category Low Category High ATRAX % Rank
Net Assets 6.61 M 1.5 M 5.01 B 99.26%
Number of Holdings 65 4 4478 93.99%
Net Assets in Top 10 4.71 M -398 M 2.55 B 90.81%
Weighting of Top 10 68.44% 13.1% 100.0% 24.31%

Top 10 Holdings

  1. First American Government Obligs U 35.46%
  2. Csacs Fund Limited 25.96%
  3. Csacs Fund Limited 25.96%
  4. Csacs Fund Limited 25.96%
  5. Csacs Fund Limited 25.96%
  6. Csacs Fund Limited 25.96%
  7. Csacs Fund Limited 25.96%
  8. Csacs Fund Limited 25.96%
  9. Csacs Fund Limited 25.96%
  10. Csacs Fund Limited 25.96%

Asset Allocation

Weighting Return Low Return High ATRAX % Rank
Cash
61.87% -6278.21% 410.43% 78.80%
Stocks
25.81% -3.75% 97.95% 97.17%
Other
12.24% -21.53% 148.54% 15.19%
Bonds
0.04% -326.45% 6347.80% 40.99%
Preferred Stocks
0.03% -0.12% 46.97% 93.29%
Convertible Bonds
0.00% 0.00% 87.92% 1.06%

Stock Sector Breakdown

Weighting Return Low Return High ATRAX % Rank
Healthcare
18.92% 0.00% 45.63% 99.23%
Industrials
18.70% 0.00% 21.45% 99.23%
Basic Materials
17.23% 0.00% 27.46% 99.23%
Financial Services
15.33% 0.00% 59.28% 99.23%
Real Estate
7.17% 0.00% 51.26% 99.23%
Technology
7.01% 0.00% 39.58% 0.39%
Energy
6.60% 0.00% 100.00% 99.23%
Consumer Defense
3.48% 0.00% 13.62% 99.23%
Consumer Cyclical
2.46% 0.00% 29.09% 99.23%
Utilities
2.11% 0.00% 9.23% 99.23%
Communication Services
0.99% 0.00% 21.78% 99.23%

Stock Geographic Breakdown

Weighting Return Low Return High ATRAX % Rank
US
20.54% -8.85% 91.88% 92.23%
Non US
5.27% -19.62% 42.11% 88.69%

Bond Sector Breakdown

Weighting Return Low Return High ATRAX % Rank
Cash & Equivalents
99.89% 0.27% 100.00% 94.35%
Government
0.06% 0.00% 84.29% 99.65%
Corporate
0.05% 0.00% 87.73% 3.89%
Derivative
0.00% 0.00% 88.81% 99.65%
Securitized
0.00% 0.00% 56.83% 9.19%
Municipal
0.00% 0.00% 27.33% 97.53%

Bond Geographic Breakdown

Weighting Return Low Return High ATRAX % Rank
US
0.04% -126.19% 6311.18% 31.45%
Non US
0.00% -382.37% 121.02% 70.32%

ATRAX - Expenses

Operational Fees

ATRAX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Expense Ratio 2.69% 0.29% 31.15% 3.24%
Management Fee 1.50% 0.00% 2.50% 85.16%
12b-1 Fee 0.25% 0.00% 1.00% 62.84%
Administrative Fee N/A 0.01% 0.30% 63.64%

Sales Fees

ATRAX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Front Load 5.75% 2.50% 5.75% 44.23%
Deferred Load N/A 1.00% 5.00% N/A

Trading Fees

ATRAX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Max Redemption Fee N/A 1.00% 2.00% N/A

Related Fees

Turnover provides investors a proxy for the trading fees incurred by mutual fund managers who frequently adjust position allocations. Higher turnover means higher trading fees.

ATRAX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Turnover 121.00% 0.00% 491.00% 37.50%

ATRAX - Distributions

Dividend Yield Analysis

ATRAX Category Low Category High ATRAX % Rank
Dividend Yield 4.13% 0.00% 4.56% 97.17%

Dividend Distribution Analysis

ATRAX Category Low Category High Category Mod
Dividend Distribution Frequency Annually Annually Quarterly Annually

Net Income Ratio Analysis

ATRAX Category Low Category High ATRAX % Rank
Net Income Ratio 0.35% -2.51% 6.83% 13.67%

Capital Gain Distribution Analysis

ATRAX Category Low Category High Capital Mode
Capital Gain Distribution Frequency Annually Annually Annually Annually

Distributions History

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ATRAX - Fund Manager Analysis

Managers

David Miller


Start Date

Tenure

Tenure Rank

May 05, 2015

7.08

7.1%

David Miller, Owner and Chief Investment Officer of Rational Advisors, Inc. since 2016. He is a co-founder and has served as Chief Investment Officer of Catalyst Capital Advisors LLC since 2006, and is responsible for the day-to-day management of several funds managed by Catalyst. Mr. Miller is also a member of Catalyst International Advisors LLC since 2019, Insights Media LLC since 2019, and Catalyst Insurance Corporation II since 2018. Prior to founding Catalyst, Mr. Miller was the CEO of Investment Catalyst, an investment newsletter he founded in 2005. The Investment Catalyst newsletter worked to identify undervalued stocks with a near term catalyst for appreciation. Mr. Miller was a trader with UBS, working on the equity derivatives desk from July 2002 until December 2002. Mr. Miller was the CEO of MovieDaze Media Group, a search engine marketing company that he co-founded in 2003 and sold in 2006. He received a BS in Economics from the University of Pennsylvania, Wharton School and a MBA in Finance from the University of Michigan, Ross School of Business.

Arthur Holly


Start Date

Tenure

Tenure Rank

Jul 01, 2021

0.92

0.9%

Mr. Holly is the Chief Investment Officer for Persimmon Capital Management and manages the investment team including the investment research process and asset management strategies for the firm. He has 30+ years of progressive experience managing hedge fund assets, structuring alternative strategy vehicles, conducting extensive due diligence and developing asset allocation policy. Prior to joining Persimmon in 2014, Art was the Head of Investment Solutions, North America, for the Man Group, plc, a $60 billion asset management firm specializing in alternative investment strategies. His other responsibilities at Man included Head of Portfolio Management, North America, and he was a member of the Global Asset Allocation and the Global Product and Portfolio Boards. Prior to Man he was the Director of Hedge Fund Development for Merrill Lynch where his team managed $25 billion in hedge fund and related assets. Art previously managed his own long/short equity strategy at Athena Securities for a decade and also headed the Event Driven Desk for Banc of America Securities and was a proprietary trader for T.C. Management Partners and Union Bank of Switzerland in both long/short equities and credit instruments. Art is a graduate of Villanova University with a Finance degree and a minor in Computer Science.

Tenure Analysis

Category Low Category High Category Average Category Mode
0.02 17.37 4.48 1.67