PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
FTXNX vs. XMMO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FTXNXXMMO
YTD Return28.39%44.83%
1Y Return49.50%64.03%
3Y Return (Ann)-1.30%11.46%
5Y Return (Ann)16.28%18.25%
Sharpe Ratio2.273.24
Sortino Ratio3.064.36
Omega Ratio1.381.54
Calmar Ratio1.353.99
Martin Ratio12.5822.30
Ulcer Index3.89%2.88%
Daily Std Dev21.62%19.84%
Max Drawdown-48.79%-55.37%
Current Drawdown-3.84%0.00%

Correlation

-0.50.00.51.00.9

The correlation between FTXNX and XMMO is 0.86, 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. XMMO - Performance Comparison

In the year-to-date period, FTXNX achieves a 28.39% return, which is significantly lower than XMMO's 44.83% 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%JuneJulyAugustSeptemberOctoberNovember
12.07%
12.46%
FTXNX
XMMO

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


FTXNX vs. XMMO - Expense Ratio Comparison

FTXNX has a 1.44% expense ratio, which is higher than XMMO's 0.33% 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 XMMO: current value at 0.33% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.33%

Risk-Adjusted Performance

FTXNX vs. XMMO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fuller & Thaler Behavioral Small-Cap Growth Fund (FTXNX) and Invesco S&P MidCap Momentum ETF (XMMO). 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 2.27, compared to the broader market0.002.004.002.27
Sortino ratio
The chart of Sortino ratio for FTXNX, currently valued at 3.06, compared to the broader market0.005.0010.003.06
Omega ratio
The chart of Omega ratio for FTXNX, currently valued at 1.38, compared to the broader market1.002.003.004.001.38
Calmar ratio
The chart of Calmar ratio for FTXNX, currently valued at 1.35, compared to the broader market0.005.0010.0015.0020.0025.001.35
Martin ratio
The chart of Martin ratio for FTXNX, currently valued at 12.58, compared to the broader market0.0020.0040.0060.0080.00100.0012.58
XMMO
Sharpe ratio
The chart of Sharpe ratio for XMMO, currently valued at 3.24, compared to the broader market0.002.004.003.24
Sortino ratio
The chart of Sortino ratio for XMMO, currently valued at 4.36, compared to the broader market0.005.0010.004.36
Omega ratio
The chart of Omega ratio for XMMO, currently valued at 1.54, compared to the broader market1.002.003.004.001.54
Calmar ratio
The chart of Calmar ratio for XMMO, currently valued at 3.99, compared to the broader market0.005.0010.0015.0020.0025.003.99
Martin ratio
The chart of Martin ratio for XMMO, currently valued at 22.30, compared to the broader market0.0020.0040.0060.0080.00100.0022.30

FTXNX vs. XMMO - Sharpe Ratio Comparison

The current FTXNX Sharpe Ratio is 2.27, which is lower than the XMMO Sharpe Ratio of 3.24. The chart below compares the historical Sharpe Ratios of FTXNX and XMMO, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
2.27
3.24
FTXNX
XMMO

Dividends

FTXNX vs. XMMO - Dividend Comparison

FTXNX has not paid dividends to shareholders, while XMMO's dividend yield for the trailing twelve months is around 0.30%.


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%
XMMO
Invesco S&P MidCap Momentum ETF
0.30%0.80%1.43%0.41%0.61%0.60%0.19%0.21%0.22%0.64%1.24%1.31%

Drawdowns

FTXNX vs. XMMO - Drawdown Comparison

The maximum FTXNX drawdown since its inception was -48.79%, smaller than the maximum XMMO drawdown of -55.37%. Use the drawdown chart below to compare losses from any high point for FTXNX and XMMO. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.84%
0
FTXNX
XMMO

Volatility

FTXNX vs. XMMO - Volatility Comparison

Fuller & Thaler Behavioral Small-Cap Growth Fund (FTXNX) and Invesco S&P MidCap Momentum ETF (XMMO) have volatilities of 5.78% and 6.06%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. 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
5.78%
6.06%
FTXNX
XMMO