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FTHNX vs. GOOG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FTHNXGOOG
YTD Return25.10%29.66%
1Y Return43.35%37.12%
3Y Return (Ann)10.28%6.97%
5Y Return (Ann)14.94%22.81%
Sharpe Ratio2.431.45
Sortino Ratio3.441.98
Omega Ratio1.441.27
Calmar Ratio5.221.71
Martin Ratio15.124.36
Ulcer Index2.82%8.72%
Daily Std Dev17.50%26.24%
Max Drawdown-37.78%-44.60%
Current Drawdown-0.75%-5.26%

Correlation

-0.50.00.51.00.5

The correlation between FTHNX and GOOG is 0.47, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

FTHNX vs. GOOG - Performance Comparison

In the year-to-date period, FTHNX achieves a 25.10% return, which is significantly lower than GOOG's 29.66% 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%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
14.11%
7.30%
FTHNX
GOOG

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Risk-Adjusted Performance

FTHNX vs. GOOG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fuller & Thaler Behavioral Small-Cap Equity Fund (FTHNX) and Alphabet Inc. (GOOG). 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.


FTHNX
Sharpe ratio
The chart of Sharpe ratio for FTHNX, currently valued at 2.43, compared to the broader market0.002.004.002.43
Sortino ratio
The chart of Sortino ratio for FTHNX, currently valued at 3.44, compared to the broader market0.005.0010.003.44
Omega ratio
The chart of Omega ratio for FTHNX, currently valued at 1.44, compared to the broader market1.002.003.004.001.44
Calmar ratio
The chart of Calmar ratio for FTHNX, currently valued at 5.22, compared to the broader market0.005.0010.0015.0020.0025.005.22
Martin ratio
The chart of Martin ratio for FTHNX, currently valued at 15.12, compared to the broader market0.0020.0040.0060.0080.00100.0015.12
GOOG
Sharpe ratio
The chart of Sharpe ratio for GOOG, currently valued at 1.45, compared to the broader market0.002.004.001.45
Sortino ratio
The chart of Sortino ratio for GOOG, currently valued at 1.98, compared to the broader market0.005.0010.001.98
Omega ratio
The chart of Omega ratio for GOOG, currently valued at 1.27, compared to the broader market1.002.003.004.001.27
Calmar ratio
The chart of Calmar ratio for GOOG, currently valued at 1.71, compared to the broader market0.005.0010.0015.0020.0025.001.71
Martin ratio
The chart of Martin ratio for GOOG, currently valued at 4.36, compared to the broader market0.0020.0040.0060.0080.00100.004.36

FTHNX vs. GOOG - Sharpe Ratio Comparison

The current FTHNX Sharpe Ratio is 2.43, which is higher than the GOOG Sharpe Ratio of 1.45. The chart below compares the historical Sharpe Ratios of FTHNX and GOOG, 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 Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
2.43
1.45
FTHNX
GOOG

Dividends

FTHNX vs. GOOG - Dividend Comparison

FTHNX's dividend yield for the trailing twelve months is around 0.61%, more than GOOG's 0.22% yield.


TTM202320222021202020192018201720162015
FTHNX
Fuller & Thaler Behavioral Small-Cap Equity Fund
0.61%0.76%0.45%0.15%0.11%0.11%0.21%0.09%0.36%1.65%
GOOG
Alphabet Inc.
0.22%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

FTHNX vs. GOOG - Drawdown Comparison

The maximum FTHNX drawdown since its inception was -37.78%, smaller than the maximum GOOG drawdown of -44.60%. Use the drawdown chart below to compare losses from any high point for FTHNX and GOOG. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.75%
-5.26%
FTHNX
GOOG

Volatility

FTHNX vs. GOOG - Volatility Comparison

Fuller & Thaler Behavioral Small-Cap Equity Fund (FTHNX) and Alphabet Inc. (GOOG) have volatilities of 6.23% and 6.51%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. 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
6.23%
6.51%
FTHNX
GOOG