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

Performance

FTHNX vs. GOOG - Performance Comparison

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

-20.00%-10.00%0.00%10.00%20.00%JuneJulyAugustSeptemberOctoberNovember
15.20%
-5.30%
FTHNX
GOOG

Returns By Period

In the year-to-date period, FTHNX achieves a 26.39% return, which is significantly higher than GOOG's 18.48% return.


FTHNX

YTD

26.39%

1M

7.85%

6M

15.20%

1Y

37.98%

5Y (annualized)

15.22%

10Y (annualized)

N/A

GOOG

YTD

18.48%

1M

1.27%

6M

-5.30%

1Y

19.25%

5Y (annualized)

20.89%

10Y (annualized)

20.04%

Key characteristics


FTHNXGOOG
Sharpe Ratio2.220.72
Sortino Ratio3.111.12
Omega Ratio1.391.15
Calmar Ratio4.660.86
Martin Ratio13.232.17
Ulcer Index2.87%8.87%
Daily Std Dev17.12%26.86%
Max Drawdown-37.78%-44.60%
Current Drawdown-0.99%-13.43%

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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.

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.


Sharpe ratio
The chart of Sharpe ratio for FTHNX, currently valued at 2.22, compared to the broader market-1.000.001.002.003.004.005.002.220.72
The chart of Sortino ratio for FTHNX, currently valued at 3.11, compared to the broader market0.005.0010.003.111.12
The chart of Omega ratio for FTHNX, currently valued at 1.39, compared to the broader market1.002.003.004.001.391.15
The chart of Calmar ratio for FTHNX, currently valued at 4.66, compared to the broader market0.005.0010.0015.0020.004.660.86
The chart of Martin ratio for FTHNX, currently valued at 13.23, compared to the broader market0.0020.0040.0060.0080.00100.0013.232.17
FTHNX
GOOG

The current FTHNX Sharpe Ratio is 2.22, which is higher than the GOOG Sharpe Ratio of 0.72. 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
2.22
0.72
FTHNX
GOOG

Dividends

FTHNX vs. GOOG - Dividend Comparison

FTHNX's dividend yield for the trailing twelve months is around 0.60%, more than GOOG's 0.24% yield.


TTM202320222021202020192018201720162015
FTHNX
Fuller & Thaler Behavioral Small-Cap Equity Fund
0.60%0.76%0.45%0.15%0.11%0.11%0.21%0.09%0.36%1.65%
GOOG
Alphabet Inc.
0.24%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
-0.99%
-13.43%
FTHNX
GOOG

Volatility

FTHNX vs. GOOG - Volatility Comparison

The current volatility for Fuller & Thaler Behavioral Small-Cap Equity Fund (FTHNX) is 6.44%, while Alphabet Inc. (GOOG) has a volatility of 9.38%. This indicates that FTHNX experiences smaller price fluctuations and is considered to be less risky than GOOG based on this measure. 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
6.44%
9.38%
FTHNX
GOOG