FTMSX vs. FTZIX

Last updated Jun 3, 2026

FTMSX (Fuller & Thaler Behavioral Micro-Cap Equity Fund) and FTZIX (Fuller & Thaler Behavioral Unconstrained Equity Fund) are both mutual funds - FTMSX is a Small Cap Blend Equities fund managed by Fuller & Thaler Asset Mgmt, while FTZIX is a Large Cap Blend Equities fund managed by Fuller & Thaler Asset Mgmt. Over the past 5 years, FTMSX returned -1.19%/yr vs 13.40%/yr for FTZIX. A 0.76 correlation means they provide meaningful diversification when combined. FTMSX charges 2.30%/yr vs 1.12%/yr for FTZIX.

Performance

FTMSX vs. FTZIX - Performance Comparison

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

Returns By Period

In the year-to-date period, FTMSX achieves a 24.09% return, which is significantly higher than FTZIX's 13.21% return.

FTMSX

• 1D: 2.11%
• 1M: 9.00%
• YTD: 24.09%
• 6M: 25.25%
• 1Y: 44.09%
• 3Y*: 13.24%
• 5Y*: -1.19%
• 10Y*: —

FTZIX

• 1D: -0.49%
• 1M: 1.27%
• YTD: 13.21%
• 6M: 15.99%
• 1Y: 38.69%
• 3Y*: 25.88%
• 5Y*: 13.40%
• 10Y*: —

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

FTMSX vs. FTZIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
FTMSX Fuller & Thaler Behavioral Micro-Cap Equity Fund	24.09%	0.30%	3.88%	13.11%	-31.07%	37.45%	15.58%	17.82%
FTZIX Fuller & Thaler Behavioral Unconstrained Equity Fund	13.21%	22.63%	25.31%	27.18%	-21.31%	25.25%	19.60%	36.15%

Correlation

The correlation between FTMSX and FTZIX is 0.71, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.71
Correlation (3Y) Calculated over the trailing 3-year period	0.72
Correlation (5Y) Calculated over the trailing 5-year period	0.76
Correlation (All Time) Calculated using the full available price history since Jan 4, 2019	0.76

The correlation between FTMSX and FTZIX has been stable across timeframes, ranging from 0.71 to 0.76 - a consistent structural relationship.

Return for Risk

FTMSX vs. FTZIX — Risk / Return Rank

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

FTMSX

FTMSX Risk / Return Rank: 39
FTMSX Sharpe Ratio Rank: 37
FTMSX Sortino Ratio Rank: 34
FTMSX Omega Ratio Rank: 31
FTMSX Calmar Ratio Rank: 45
FTMSX Martin Ratio Rank: 45

FTZIX

FTZIX Risk / Return Rank: 70
FTZIX Sharpe Ratio Rank: 64
FTZIX Sortino Ratio Rank: 63
FTZIX Omega Ratio Rank: 52
FTZIX Calmar Ratio Rank: 87
FTZIX Martin Ratio Rank: 84

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.

FTMSX vs. FTZIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Fuller & Thaler Behavioral Micro-Cap Equity Fund (FTMSX) and Fuller & Thaler Behavioral Unconstrained Equity Fund (FTZIX). 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.

	FTMSX	FTZIX	Difference
Sharpe ratio Return per unit of total volatility	1.78	2.35	-0.57
Sortino ratio Return per unit of downside risk	2.43	3.33	-0.89
Omega ratio Gain probability vs. loss probability	1.29	1.40	-0.10
Calmar ratio Return relative to maximum drawdown	2.58	4.16	-1.58
Martin ratio Return relative to average drawdown	9.54	15.96	-6.42
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FTMSX vs. FTZIX - Sharpe Ratio Comparison

The current FTMSX Sharpe Ratio is 1.78, which is comparable to the FTZIX Sharpe Ratio of 2.35. The chart below compares the historical Sharpe Ratios of FTMSX and FTZIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	FTMSX	FTZIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.78	2.35	-0.57
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.04	0.69	-0.74
Sharpe Ratio (All Time) Calculated using the full available price history	0.29	0.82	-0.53

Drawdowns

FTMSX vs. FTZIX - Drawdown Comparison

The maximum FTMSX drawdown since its inception was -53.12%, which is greater than FTZIX's maximum drawdown of -37.22%. Use the drawdown chart below to compare losses from any high point for FTMSX and FTZIX.

Drawdown Indicators

	FTMSX	FTZIX	Difference
Max Drawdown Largest peak-to-trough decline	-53.12%	-37.22%	-15.90%
Max Drawdown (1Y) Largest decline over 1 year	-17.52%	-9.03%	-8.49%
Max Drawdown (3Y) Largest decline over 3 years	-35.01%	-18.65%	-16.36%
Max Drawdown (5Y) Largest decline over 5 years	-48.67%	-29.53%	-19.14%
Current Drawdown Current decline from peak	-7.84%	-2.12%	-5.72%
Average Drawdown Average peak-to-trough decline	-22.32%	-6.51%	-15.81%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.74%	2.35%	+2.39%

Volatility

FTMSX vs. FTZIX - Volatility Comparison

Fuller & Thaler Behavioral Micro-Cap Equity Fund (FTMSX) has a higher volatility of 6.17% compared to Fuller & Thaler Behavioral Unconstrained Equity Fund (FTZIX) at 5.59%. This indicates that FTMSX's price experiences larger fluctuations and is considered to be riskier than FTZIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FTMSX	FTZIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.17%	5.59%	+0.58%
Volatility (6M) Calculated over the trailing 6-month period	16.00%	12.76%	+3.24%
Volatility (1Y) Calculated over the trailing 1-year period	25.36%	16.43%	+8.93%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	28.04%	19.43%	+8.61%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	30.50%	22.34%	+8.16%

FTMSX vs. FTZIX - Expense Ratio Comparison

FTMSX has a 2.30% expense ratio, which is higher than FTZIX's 1.12% expense ratio.

Dividends

FTMSX vs. FTZIX - Dividend Comparison

FTMSX has not paid dividends to shareholders, while FTZIX's dividend yield for the trailing twelve months is around 0.04%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019
FTMSX Fuller & Thaler Behavioral Micro-Cap Equity Fund	0.00%	0.00%	0.12%	0.00%	0.00%	8.27%	0.37%	4.90%
FTZIX Fuller & Thaler Behavioral Unconstrained Equity Fund	0.04%	0.05%	0.11%	0.19%	0.00%	0.00%	0.26%	0.76%

Frequently Asked Questions

Can I hold both FTMSX and FTZIX in my portfolio?

FTMSX and FTZIX have a correlation of 0.71, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FTMSX or FTZIX?

FTMSX has higher volatility (6.17%) compared to FTZIX (5.59%). In terms of maximum drawdown, FTMSX dropped -53.12% vs FTZIX's -37.22%.

Which has better risk-adjusted returns?

FTZIX currently has the higher Sharpe Ratio (2.35 vs 1.78), 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.