CZMSX vs. FTHSX

Last updated Jul 14, 2026

CZMSX (Multi-Manager Small Cap Equity Strategies Fund) and FTHSX (FullerThaler Behavioral Small-Cap Equity Fund Class I) are both Small Cap Blend Equities funds. Over the past 5 years, CZMSX returned 4.55%/yr vs 12.68%/yr for FTHSX. Their correlation of 0.95 suggests significant overlap in exposure. CZMSX charges 0.99%/yr vs 0.76%/yr for FTHSX.

Performance

CZMSX vs. FTHSX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Multi-Manager Small Cap Equity Strategies Fund (CZMSX) and FullerThaler Behavioral Small-Cap Equity Fund Class I (FTHSX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CZMSX achieves a 18.34% return, which is significantly higher than FTHSX's 15.08% return.

CZMSX

• 1D: -0.17%
• 1M: 2.66%
• 6M: 12.40%
• YTD: 18.34%
• 1Y: 23.18%
• 3Y*: 11.41%
• 5Y*: 4.55%
• 10Y*: —

FTHSX

• 1D: 0.16%
• 1M: 1.25%
• 6M: 11.22%
• YTD: 15.08%
• 1Y: 25.40%
• 3Y*: 18.69%
• 5Y*: 12.68%
• 10Y*: 13.85%

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

CZMSX vs. FTHSX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
CZMSX Multi-Manager Small Cap Equity Strategies Fund	18.34%	1.55%	8.55%	15.65%	-20.05%	19.40%	20.47%	27.16%	-10.77%	14.84%
FTHSX FullerThaler Behavioral Small-Cap Equity Fund Class I	15.08%	12.02%	16.17%	22.55%	-7.49%	30.83%	10.38%	28.06%	-13.18%	17.80%

Correlation

The correlation between CZMSX and FTHSX is 0.91, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.91
Correlation (3Y) Calculated over the trailing 3-year period	0.94
Correlation (5Y) Calculated over the trailing 5-year period	0.95
Correlation (All Time) Calculated using the full available price history since Feb 1, 2017	0.95

The correlation between CZMSX and FTHSX has been stable across timeframes, ranging from 0.91 to 0.95 - a consistent structural relationship.

Return for Risk

CZMSX vs. FTHSX — Risk / Return Rank

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

CZMSX

CZMSX Risk / Return Rank: 37
CZMSX Sharpe Ratio Rank: 31
CZMSX Sortino Ratio Rank: 34
CZMSX Omega Ratio Rank: 29
CZMSX Calmar Ratio Rank: 49
CZMSX Martin Ratio Rank: 42

FTHSX

FTHSX Risk / Return Rank: 57
FTHSX Sharpe Ratio Rank: 50
FTHSX Sortino Ratio Rank: 57
FTHSX Omega Ratio Rank: 47
FTHSX Calmar Ratio Rank: 70
FTHSX Martin Ratio Rank: 59

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.

CZMSX vs. FTHSX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Multi-Manager Small Cap Equity Strategies Fund (CZMSX) and FullerThaler Behavioral Small-Cap Equity Fund Class I (FTHSX). 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.

	CZMSX	FTHSX	Difference
Sharpe ratio: Return per unit of total volatility	1.21	1.60	-0.39
Sortino ratio: Return per unit of downside risk	1.85	2.39	-0.54
Omega ratio: Gain probability vs. loss probability	1.21	1.28	-0.07
Calmar ratio: Return relative to maximum drawdown	2.16	2.57	-0.41
Martin ratio: Return relative to average drawdown	7.18	9.21	-2.04

CZMSX vs. FTHSX - Sharpe Ratio Comparison

The current CZMSX Sharpe Ratio is 1.21, which is comparable to the FTHSX Sharpe Ratio of 1.60. The chart below compares the historical Sharpe Ratios of CZMSX and FTHSX, 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

CZMSX vs. FTHSX - Drawdown Comparison

The maximum CZMSX drawdown since its inception was -40.96%, which is greater than FTHSX's maximum drawdown of -37.74%. Use the drawdown chart below to compare losses from any high point for CZMSX and FTHSX.

Drawdown Indicators

	CZMSX	FTHSX	Difference
Max Drawdown Largest peak-to-trough decline	-40.96%	-37.74%	-3.22%
Max Drawdown (1Y) Largest decline over 1 year	-10.00%	-9.42%	-0.58%
Max Drawdown (3Y) Largest decline over 3 years	-27.73%	-24.58%	-3.15%
Max Drawdown (5Y) Largest decline over 5 years	-37.16%	-24.58%	-12.58%
Max Drawdown (10Y) Largest decline over 10 years	—	-37.74%	—
Current Drawdown Current decline from peak	-1.36%	-0.48%	-0.88%
Average Drawdown Average peak-to-trough decline	-13.51%	-5.59%	-7.92%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.03%	2.63%	+0.40%

Volatility

CZMSX vs. FTHSX - Volatility Comparison

Multi-Manager Small Cap Equity Strategies Fund (CZMSX) has a higher volatility of 4.45% compared to FullerThaler Behavioral Small-Cap Equity Fund Class I (FTHSX) at 3.86%. This indicates that CZMSX's price experiences larger fluctuations and is considered to be riskier than FTHSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CZMSX	FTHSX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.45%	3.86%	+0.59%
Volatility (6M) Calculated over the trailing 6-month period	12.71%	10.94%	+1.77%
Volatility (1Y) Calculated over the trailing 1-year period	17.92%	15.19%	+2.73%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	23.89%	18.86%	+5.03%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	24.07%	20.06%	+4.01%

CZMSX vs. FTHSX - Expense Ratio Comparison

CZMSX has a 0.99% expense ratio, which is higher than FTHSX's 0.76% expense ratio.

Dividends

CZMSX vs. FTHSX - Dividend Comparison

CZMSX's dividend yield for the trailing twelve months is around 7.48%, more than FTHSX's 0.47% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CZMSX Multi-Manager Small Cap Equity Strategies Fund	7.48%	8.85%	3.05%	2.04%	10.31%	17.14%	0.31%	5.75%	7.94%	7.88%	0.00%	0.00%
FTHSX FullerThaler Behavioral Small-Cap Equity Fund Class I	0.47%	0.54%	8.05%	1.81%	1.23%	3.77%	0.35%	0.39%	0.55%	0.26%	0.00%	15.40%

Frequently Asked Questions

Can I hold both CZMSX and FTHSX in my portfolio?

With a correlation of 0.91, CZMSX and FTHSX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, CZMSX or FTHSX?

CZMSX has higher volatility (4.45%) compared to FTHSX (3.86%). In terms of maximum drawdown, CZMSX dropped -40.96% vs FTHSX's -37.74%.

Which has better risk-adjusted returns?

FTHSX currently has the higher Sharpe Ratio (1.60 vs 1.21), 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.