CRMSX vs. FTMSX

Last updated Jul 16, 2026

CRMSX (CRM Small Cap Value Fund) and FTMSX (Fuller & Thaler Behavioral Micro-Cap Equity Fund) are both Small Cap Blend Equities funds. Over the past 5 years, CRMSX returned 8.90%/yr vs 1.79%/yr for FTMSX. Their correlation of 0.84 suggests significant overlap in exposure. CRMSX charges 1.17%/yr vs 2.30%/yr for FTMSX.

Performance

CRMSX vs. FTMSX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in CRM Small Cap Value Fund (CRMSX) and Fuller & Thaler Behavioral Micro-Cap Equity Fund (FTMSX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CRMSX achieves a 20.03% return, which is significantly lower than FTMSX's 30.85% return.

CRMSX

• 1D: 0.85%
• 1M: -0.20%
• 6M: 13.13%
• YTD: 20.03%
• 1Y: 31.86%
• 3Y*: 15.29%
• 5Y*: 8.90%
• 10Y*: 8.88%

FTMSX

• 1D: 1.44%
• 1M: 5.29%
• 6M: 23.08%
• YTD: 30.85%
• 1Y: 42.42%
• 3Y*: 12.18%
• 5Y*: 1.79%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

CRMSX vs. FTMSX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
CRMSX CRM Small Cap Value Fund	20.03%	2.61%	17.86%	9.71%	-6.05%	16.50%	-3.28%	25.44%
FTMSX Fuller & Thaler Behavioral Micro-Cap Equity Fund	30.85%	0.30%	3.88%	13.11%	-31.07%	37.45%	15.58%	17.82%

Correlation

The correlation between CRMSX and FTMSX is 0.77, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.77
Correlation (3Y) Calculated over the trailing 3-year period	0.82
Correlation (5Y) Calculated over the trailing 5-year period	0.84
Correlation (All Time) Calculated using the full available price history since Jan 3, 2019	0.84

The correlation between CRMSX and FTMSX has been stable across timeframes, ranging from 0.77 to 0.84 - a consistent structural relationship.

Return for Risk

CRMSX vs. FTMSX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

CRMSX

CRMSX Risk / Return Rank: 46
CRMSX Sharpe Ratio Rank: 45
CRMSX Sortino Ratio Rank: 49
CRMSX Omega Ratio Rank: 41
CRMSX Calmar Ratio Rank: 50
CRMSX Martin Ratio Rank: 44

FTMSX

FTMSX Risk / Return Rank: 48
FTMSX Sharpe Ratio Rank: 48
FTMSX Sortino Ratio Rank: 46
FTMSX Omega Ratio Rank: 40
FTMSX Calmar Ratio Rank: 55
FTMSX Martin Ratio Rank: 52

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

CRMSX vs. FTMSX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for CRM Small Cap Value Fund (CRMSX) and Fuller & Thaler Behavioral Micro-Cap Equity Fund (FTMSX). 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.

	CRMSX	FTMSX	Difference
Sharpe ratio: Return per unit of total volatility	1.48	1.53	-0.05
Sortino ratio: Return per unit of downside risk	2.21	2.14	+0.07
Omega ratio: Gain probability vs. loss probability	1.26	1.26	0.00
Calmar ratio: Return relative to maximum drawdown	2.17	2.26	-0.09
Martin ratio: Return relative to average drawdown	7.40	8.35	-0.95

CRMSX vs. FTMSX - Sharpe Ratio Comparison

The current CRMSX Sharpe Ratio is 1.48, which is comparable to the FTMSX Sharpe Ratio of 1.53. The chart below compares the historical Sharpe Ratios of CRMSX and FTMSX, 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

CRMSX vs. FTMSX - Drawdown Comparison

The maximum CRMSX drawdown since its inception was -55.09%, roughly equal to the maximum FTMSX drawdown of -53.12%. Use the drawdown chart below to compare losses from any high point for CRMSX and FTMSX.

Drawdown Indicators

	CRMSX	FTMSX	Difference
Max Drawdown Largest peak-to-trough decline	-55.09%	-53.12%	-1.97%
Max Drawdown (1Y) Largest decline over 1 year	-13.29%	-17.52%	+4.23%
Max Drawdown (3Y) Largest decline over 3 years	-26.73%	-35.01%	+8.28%
Max Drawdown (5Y) Largest decline over 5 years	-26.73%	-48.67%	+21.94%
Max Drawdown (10Y) Largest decline over 10 years	-47.66%	—	—
Current Drawdown Current decline from peak	-3.40%	-2.83%	-0.57%
Average Drawdown Average peak-to-trough decline	-10.04%	-22.06%	+12.02%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.89%	4.73%	-0.84%

Volatility

CRMSX vs. FTMSX - Volatility Comparison

The current volatility for CRM Small Cap Value Fund (CRMSX) is 5.55%, while Fuller & Thaler Behavioral Micro-Cap Equity Fund (FTMSX) has a volatility of 6.96%. This indicates that CRMSX experiences smaller price fluctuations and is considered to be less risky than FTMSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CRMSX	FTMSX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.55%	6.96%	-1.41%
Volatility (6M) Calculated over the trailing 6-month period	14.86%	18.08%	-3.22%
Volatility (1Y) Calculated over the trailing 1-year period	19.41%	25.84%	-6.43%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	20.29%	28.12%	-7.83%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.77%	30.47%	-7.70%

CRMSX vs. FTMSX - Expense Ratio Comparison

CRMSX has a 1.17% expense ratio, which is lower than FTMSX's 2.30% expense ratio.

Dividends

CRMSX vs. FTMSX - Dividend Comparison

CRMSX's dividend yield for the trailing twelve months is around 8.92%, while FTMSX has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CRMSX CRM Small Cap Value Fund	8.92%	10.71%	10.29%	4.44%	16.87%	12.53%	0.46%	7.17%	12.30%	16.69%	7.54%	23.38%
FTMSX Fuller & Thaler Behavioral Micro-Cap Equity Fund	0.00%	0.00%	0.12%	0.00%	0.00%	8.27%	0.37%	4.90%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both CRMSX and FTMSX in my portfolio?

CRMSX and FTMSX have a correlation of 0.77, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CRMSX or FTMSX?

FTMSX has higher volatility (6.96%) compared to CRMSX (5.55%). In terms of maximum drawdown, CRMSX dropped -55.09% vs FTMSX's -53.12%.

Which has better risk-adjusted returns?

FTMSX currently has the higher Sharpe Ratio (1.53 vs 1.48), 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.