FTMSX vs. VSMAX
Compare and contrast key facts about Fuller & Thaler Behavioral Micro-Cap Equity Fund (FTMSX) and Vanguard Small-Cap Index Fund Admiral Shares (VSMAX).
FTMSX is managed by Fuller & Thaler Asset Mgmt. It was launched on Dec 28, 2018. VSMAX is managed by Vanguard. It was launched on Nov 13, 2000.
Performance
FTMSX vs. VSMAX - Performance Comparison
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FTMSX vs. VSMAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
FTMSX Fuller & Thaler Behavioral Micro-Cap Equity Fund | -3.53% | 0.30% | 3.88% | 13.11% | -31.07% | 37.45% | 15.58% | 17.82% |
VSMAX Vanguard Small-Cap Index Fund Admiral Shares | -1.21% | 8.83% | 14.23% | 18.17% | -17.61% | 17.74% | 19.06% | 29.62% |
Returns By Period
In the year-to-date period, FTMSX achieves a -3.53% return, which is significantly lower than VSMAX's -1.21% return.
FTMSX
- 1D
- -2.07%
- 1M
- -8.29%
- YTD
- -3.53%
- 6M
- -6.44%
- 1Y
- 18.30%
- 3Y*
- 3.87%
- 5Y*
- -3.67%
- 10Y*
- —
VSMAX
- 1D
- -0.98%
- 1M
- -8.09%
- YTD
- -1.21%
- 6M
- 0.58%
- 1Y
- 16.07%
- 3Y*
- 11.85%
- 5Y*
- 5.02%
- 10Y*
- 10.15%
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FTMSX vs. VSMAX - Expense Ratio Comparison
FTMSX has a 2.30% expense ratio, which is higher than VSMAX's 0.05% expense ratio.
Return for Risk
FTMSX vs. VSMAX — Risk / Return Rank
FTMSX
VSMAX
FTMSX vs. VSMAX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Fuller & Thaler Behavioral Micro-Cap Equity Fund (FTMSX) and Vanguard Small-Cap Index Fund Admiral Shares (VSMAX). 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 | VSMAX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.58 | 0.75 | -0.17 |
Sortino ratioReturn per unit of downside risk | 1.01 | 1.19 | -0.18 |
Omega ratioGain probability vs. loss probability | 1.13 | 1.16 | -0.04 |
Calmar ratioReturn relative to maximum drawdown | 0.79 | 0.97 | -0.18 |
Martin ratioReturn relative to average drawdown | 2.46 | 4.20 | -1.74 |
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
| FTMSX | VSMAX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.58 | 0.75 | -0.17 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.13 | 0.24 | -0.37 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.47 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.18 | 0.37 | -0.19 |
Correlation
The correlation between FTMSX and VSMAX is 0.89, 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.
Dividends
FTMSX vs. VSMAX - Dividend Comparison
FTMSX has not paid dividends to shareholders, while VSMAX's dividend yield for the trailing twelve months is around 1.38%.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FTMSX Fuller & Thaler Behavioral Micro-Cap Equity Fund | 0.00% | 0.00% | 0.12% | 0.00% | 0.00% | 8.27% | 0.37% | 4.90% | 0.00% | 0.00% | 0.00% | 0.00% |
VSMAX Vanguard Small-Cap Index Fund Admiral Shares | 1.38% | 1.33% | 1.30% | 1.56% | 1.54% | 1.24% | 1.14% | 1.39% | 1.67% | 1.35% | 1.49% | 1.48% |
Drawdowns
FTMSX vs. VSMAX - Drawdown Comparison
The maximum FTMSX drawdown since its inception was -53.12%, smaller than the maximum VSMAX drawdown of -59.68%. Use the drawdown chart below to compare losses from any high point for FTMSX and VSMAX.
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Drawdown Indicators
| FTMSX | VSMAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -53.12% | -59.68% | +6.56% |
Max Drawdown (1Y)Largest decline over 1 year | -17.52% | -14.30% | -3.22% |
Max Drawdown (5Y)Largest decline over 5 years | -48.67% | -28.14% | -20.53% |
Max Drawdown (10Y)Largest decline over 10 years | — | -41.82% | — |
Current DrawdownCurrent decline from peak | -28.35% | -8.97% | -19.38% |
Average DrawdownAverage peak-to-trough decline | -22.44% | -9.75% | -12.69% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.60% | 3.30% | +2.30% |
Volatility
FTMSX vs. VSMAX - Volatility Comparison
Fuller & Thaler Behavioral Micro-Cap Equity Fund (FTMSX) has a higher volatility of 8.12% compared to Vanguard Small-Cap Index Fund Admiral Shares (VSMAX) at 5.91%. This indicates that FTMSX's price experiences larger fluctuations and is considered to be riskier than VSMAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FTMSX | VSMAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 8.12% | 5.91% | +2.21% |
Volatility (6M)Calculated over the trailing 6-month period | 19.14% | 12.22% | +6.92% |
Volatility (1Y)Calculated over the trailing 1-year period | 30.15% | 21.62% | +8.53% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 28.22% | 20.69% | +7.53% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 30.67% | 21.52% | +9.15% |