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FTXNX vs. MGK
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FTXNXMGK
YTD Return30.72%31.04%
1Y Return53.74%42.03%
3Y Return (Ann)-0.60%9.85%
5Y Return (Ann)16.69%20.55%
Sharpe Ratio2.412.45
Sortino Ratio3.213.16
Omega Ratio1.401.44
Calmar Ratio1.443.15
Martin Ratio13.4111.98
Ulcer Index3.89%3.56%
Daily Std Dev21.67%17.37%
Max Drawdown-48.79%-48.36%
Current Drawdown-2.10%0.00%

Correlation

-0.50.00.51.00.8

The correlation between FTXNX and MGK is 0.77, 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

FTXNX vs. MGK - Performance Comparison

The year-to-date returns for both investments are quite close, with FTXNX having a 30.72% return and MGK slightly higher at 31.04%. 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%20.00%JuneJulyAugustSeptemberOctoberNovember
14.10%
18.88%
FTXNX
MGK

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FTXNX vs. MGK - Expense Ratio Comparison

FTXNX has a 1.44% expense ratio, which is higher than MGK's 0.07% expense ratio.


FTXNX
Fuller & Thaler Behavioral Small-Cap Growth Fund
Expense ratio chart for FTXNX: current value at 1.44% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.44%
Expense ratio chart for MGK: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

FTXNX vs. MGK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fuller & Thaler Behavioral Small-Cap Growth Fund (FTXNX) and Vanguard Mega Cap Growth ETF (MGK). 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.


FTXNX
Sharpe ratio
The chart of Sharpe ratio for FTXNX, currently valued at 2.41, compared to the broader market0.002.004.002.41
Sortino ratio
The chart of Sortino ratio for FTXNX, currently valued at 3.21, compared to the broader market0.005.0010.003.21
Omega ratio
The chart of Omega ratio for FTXNX, currently valued at 1.40, compared to the broader market1.002.003.004.001.40
Calmar ratio
The chart of Calmar ratio for FTXNX, currently valued at 1.44, compared to the broader market0.005.0010.0015.0020.001.44
Martin ratio
The chart of Martin ratio for FTXNX, currently valued at 13.41, compared to the broader market0.0020.0040.0060.0080.00100.0013.41
MGK
Sharpe ratio
The chart of Sharpe ratio for MGK, currently valued at 2.42, compared to the broader market0.002.004.002.42
Sortino ratio
The chart of Sortino ratio for MGK, currently valued at 3.13, compared to the broader market0.005.0010.003.13
Omega ratio
The chart of Omega ratio for MGK, currently valued at 1.43, compared to the broader market1.002.003.004.001.43
Calmar ratio
The chart of Calmar ratio for MGK, currently valued at 3.10, compared to the broader market0.005.0010.0015.0020.003.10
Martin ratio
The chart of Martin ratio for MGK, currently valued at 11.81, compared to the broader market0.0020.0040.0060.0080.00100.0011.81

FTXNX vs. MGK - Sharpe Ratio Comparison

The current FTXNX Sharpe Ratio is 2.41, which is comparable to the MGK Sharpe Ratio of 2.45. The chart below compares the historical Sharpe Ratios of FTXNX and MGK, 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.41
2.42
FTXNX
MGK

Dividends

FTXNX vs. MGK - Dividend Comparison

FTXNX has not paid dividends to shareholders, while MGK's dividend yield for the trailing twelve months is around 0.42%.


TTM20232022202120202019201820172016201520142013
FTXNX
Fuller & Thaler Behavioral Small-Cap Growth Fund
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
MGK
Vanguard Mega Cap Growth ETF
0.42%0.50%0.70%0.41%0.65%0.85%1.12%1.23%1.53%1.43%1.25%1.29%

Drawdowns

FTXNX vs. MGK - Drawdown Comparison

The maximum FTXNX drawdown since its inception was -48.79%, roughly equal to the maximum MGK drawdown of -48.36%. Use the drawdown chart below to compare losses from any high point for FTXNX and MGK. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.10%
0
FTXNX
MGK

Volatility

FTXNX vs. MGK - Volatility Comparison

Fuller & Thaler Behavioral Small-Cap Growth Fund (FTXNX) has a higher volatility of 5.93% compared to Vanguard Mega Cap Growth ETF (MGK) at 5.27%. This indicates that FTXNX's price experiences larger fluctuations and is considered to be riskier than MGK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
5.93%
5.27%
FTXNX
MGK