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

Key characteristics


FTHNXVOO
YTD Return25.10%26.59%
1Y Return43.35%38.23%
3Y Return (Ann)10.28%9.99%
5Y Return (Ann)14.94%15.91%
Sharpe Ratio2.433.11
Sortino Ratio3.444.14
Omega Ratio1.441.58
Calmar Ratio5.224.54
Martin Ratio15.1220.72
Ulcer Index2.82%1.85%
Daily Std Dev17.50%12.33%
Max Drawdown-37.78%-33.99%
Current Drawdown-0.75%0.00%

Correlation

-0.50.00.51.00.8

The correlation between FTHNX and VOO is 0.79, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

FTHNX vs. VOO - Performance Comparison

In the year-to-date period, FTHNX achieves a 25.10% return, which is significantly lower than VOO's 26.59% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
14.11%
15.13%
FTHNX
VOO

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FTHNX vs. VOO - Expense Ratio Comparison

FTHNX has a 1.03% expense ratio, which is higher than VOO's 0.03% expense ratio.


FTHNX
Fuller & Thaler Behavioral Small-Cap Equity Fund
Expense ratio chart for FTHNX: current value at 1.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.03%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

FTHNX vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fuller & Thaler Behavioral Small-Cap Equity Fund (FTHNX) and Vanguard S&P 500 ETF (VOO). 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
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 3.11, compared to the broader market0.002.004.003.11
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 4.14, compared to the broader market0.005.0010.004.14
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.58, compared to the broader market1.002.003.004.001.58
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.54, compared to the broader market0.005.0010.0015.0020.0025.004.54
Martin ratio
The chart of Martin ratio for VOO, currently valued at 20.72, compared to the broader market0.0020.0040.0060.0080.00100.0020.72

FTHNX vs. VOO - Sharpe Ratio Comparison

The current FTHNX Sharpe Ratio is 2.43, which is comparable to the VOO Sharpe Ratio of 3.11. The chart below compares the historical Sharpe Ratios of FTHNX and VOO, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.43
3.11
FTHNX
VOO

Dividends

FTHNX vs. VOO - Dividend Comparison

FTHNX's dividend yield for the trailing twelve months is around 0.61%, less than VOO's 1.24% yield.


TTM20232022202120202019201820172016201520142013
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%0.00%0.00%
VOO
Vanguard S&P 500 ETF
1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

FTHNX vs. VOO - Drawdown Comparison

The maximum FTHNX drawdown since its inception was -37.78%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for FTHNX and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.75%
0
FTHNX
VOO

Volatility

FTHNX vs. VOO - Volatility Comparison

Fuller & Thaler Behavioral Small-Cap Equity Fund (FTHNX) has a higher volatility of 6.23% compared to Vanguard S&P 500 ETF (VOO) at 3.95%. This indicates that FTHNX's price experiences larger fluctuations and is considered to be riskier than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
6.23%
3.95%
FTHNX
VOO