FTHSX vs. SMMD
FTHSX (FullerThaler Behavioral Small-Cap Equity Fund Class I) and SMMD (iShares Russell 2500 ETF) are both funds - FTHSX is a Small Cap Blend Equities fund actively managed by Fuller & Thaler Asset Mgmt, while SMMD is a Small Cap Growth Equities fund tracking the Russell 2500 Index. FTHSX is actively managed, while SMMD is passively managed. Over the past 5 years, FTHSX returned 11.55%/yr vs 7.64%/yr for SMMD. Their correlation of 0.90 suggests significant overlap in exposure. FTHSX charges 0.76%/yr vs 0.15%/yr for SMMD.
Performance
FTHSX vs. SMMD - Performance Comparison
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Returns By Period
In the year-to-date period, FTHSX achieves a 10.63% return, which is significantly lower than SMMD's 18.37% return.
FTHSX
- 1D
- 0.47%
- 1M
- 1.61%
- YTD
- 10.63%
- 6M
- 11.14%
- 1Y
- 27.04%
- 3Y*
- 19.70%
- 5Y*
- 11.55%
- 10Y*
- 14.13%
SMMD
- 1D
- -0.63%
- 1M
- 4.41%
- YTD
- 18.37%
- 6M
- 18.20%
- 1Y
- 36.03%
- 3Y*
- 18.53%
- 5Y*
- 7.64%
- 10Y*
- —
FTHSX vs. SMMD - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FTHSX FullerThaler Behavioral Small-Cap Equity Fund Class I | 10.63% | 12.02% | 16.17% | 22.55% | -7.49% | 30.83% | 10.38% | 28.06% | -13.18% | 10.32% |
SMMD iShares Russell 2500 ETF | 18.37% | 11.72% | 11.87% | 17.71% | -18.53% | 18.30% | 19.98% | 28.01% | -10.58% | 10.82% |
Correlation
The correlation between FTHSX and SMMD is 0.90, 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 | 0.90 |
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 Jul 10, 2017 | 0.90 |
The correlation between FTHSX and SMMD has been stable across timeframes, ranging from 0.90 to 0.94 - a consistent structural relationship.
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Return for Risk
FTHSX vs. SMMD — Risk / Return Rank
FTHSX
SMMD
FTHSX vs. SMMD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for FullerThaler Behavioral Small-Cap Equity Fund Class I (FTHSX) and iShares Russell 2500 ETF (SMMD). 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.
| FTHSX | SMMD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.22 | ||
| Sortino ratioReturn per unit of downside risk | -0.16 | ||
| Omega ratioGain probability vs. loss probability | 1.33 | 1.36 | -0.03 |
| Calmar ratioReturn relative to maximum drawdown | 3.05 | 3.75 | -0.70 |
| Martin ratioReturn relative to average drawdown | 10.87 | 14.29 | -3.42 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| FTHSX | SMMD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.89 | 2.11 | -0.22 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.61 | 0.37 | +0.25 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.70 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.67 | 0.50 | +0.17 |
Drawdowns
FTHSX vs. SMMD - Drawdown Comparison
The maximum FTHSX drawdown since its inception was -37.74%, smaller than the maximum SMMD drawdown of -41.06%. Use the drawdown chart below to compare losses from any high point for FTHSX and SMMD.
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Drawdown Indicators
| FTHSX | SMMD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -37.74% | -41.06% | +3.32% |
Max Drawdown (1Y)Largest decline over 1 year | -9.42% | -9.66% | +0.24% |
Max Drawdown (3Y)Largest decline over 3 years | -24.58% | -25.50% | +0.92% |
Max Drawdown (5Y)Largest decline over 5 years | -24.58% | -28.26% | +3.68% |
Max Drawdown (10Y)Largest decline over 10 years | -37.74% | — | — |
Current DrawdownCurrent decline from peak | -0.48% | -0.63% | +0.15% |
Average DrawdownAverage peak-to-trough decline | -5.65% | -8.37% | +2.72% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.64% | 2.53% | +0.11% |
Volatility
FTHSX vs. SMMD - Volatility Comparison
The current volatility for FullerThaler Behavioral Small-Cap Equity Fund Class I (FTHSX) is 4.22%, while iShares Russell 2500 ETF (SMMD) has a volatility of 5.17%. This indicates that FTHSX experiences smaller price fluctuations and is considered to be less risky than SMMD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FTHSX | SMMD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.22% | 5.17% | -0.95% |
Volatility (6M)Calculated over the trailing 6-month period | 10.79% | 12.58% | -1.79% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.25% | 17.20% | -1.95% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.91% | 20.82% | -1.91% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.13% | 22.37% | -2.24% |
FTHSX vs. SMMD - Expense Ratio Comparison
FTHSX has a 0.76% expense ratio, which is higher than SMMD's 0.15% expense ratio.
Dividends
FTHSX vs. SMMD - Dividend Comparison
FTHSX's dividend yield for the trailing twelve months is around 0.49%, less than SMMD's 1.05% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FTHSX FullerThaler Behavioral Small-Cap Equity Fund Class I | 0.49% | 0.54% | 8.05% | 1.81% | 1.23% | 3.77% | 0.35% | 0.39% | 0.55% | 0.26% | 0.00% | 15.40% |
SMMD iShares Russell 2500 ETF | 1.05% | 1.28% | 1.27% | 1.44% | 1.79% | 1.12% | 1.31% | 1.50% | 2.45% | 0.68% | 0.00% | 0.00% |
Frequently Asked Questions
FTHSX and SMMD have a correlation of 0.90, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SMMD has higher volatility (5.17%) compared to FTHSX (4.22%). In terms of maximum drawdown, FTHSX dropped -37.74% vs SMMD's -41.06%.
SMMD currently has the higher Sharpe Ratio (2.11 vs 1.89), 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.
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