FZAOX vs. FTMSX

Last updated Aug 1, 2026

FZAOX (Fidelity Advisor Small Cap Fund Class Z) and FTMSX (Fuller & Thaler Behavioral Micro-Cap Equity Fund) are both Small Cap Blend Equities funds. Over the past 5 years, FZAOX returned 6.56%/yr vs 0.33%/yr for FTMSX. Their correlation of 0.87 means they have usually moved in the same direction. FZAOX charges 0.83%/yr vs 2.30%/yr for FTMSX.

Performance

FZAOX vs. FTMSX - Performance Comparison

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

Returns By Period

In the year-to-date period, FZAOX achieves a 19.96% return, which is significantly lower than FTMSX's 22.38% return.

FZAOX

• 1D: 1.52%
• 1M: -1.74%
• 6M: 14.49%
• YTD: 19.96%
• 1Y: 33.43%
• 3Y*: 11.71%
• 5Y*: 6.56%
• 10Y*: 10.29%
• ALL TIME*: 9.68%

FTMSX

• 1D: 2.90%
• 1M: -6.49%
• 6M: 16.01%
• YTD: 22.38%
• 1Y: 36.98%
• 3Y*: 7.22%
• 5Y*: 0.33%
• 10Y*: —
• ALL TIME*: 8.55%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
FTMSX Fuller & Thaler Behavioral Micro-Cap Equity Fund	$0.00	$0.00	$0.00
FZAOX Fidelity Advisor Small Cap Fund Class Z	$0.00	$0.00	$0.00

FZAOX vs. FTMSX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
FZAOX Fidelity Advisor Small Cap Fund Class Z	19.96%	12.25%	-0.46%	18.75%	-20.39%	31.71%	17.62%	32.66%
FTMSX Fuller & Thaler Behavioral Micro-Cap Equity Fund	22.38%	0.30%	3.88%	13.11%	-31.07%	37.45%	15.58%	17.82%

Correlation

The correlation between FZAOX and FTMSX is 0.77, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.77
Correlation (3Y) Balances recent behavior with more history.	0.83
Correlation (5Y) Shows whether the relationship held over a longer period.	0.87
Correlation (All Time) Calculated using the full available price history since Jan 3, 2019	0.87

The correlation between FZAOX and FTMSX has been stable across timeframes, ranging from 0.77 to 0.87 - a consistent structural relationship.

Return for Risk

FZAOX vs. FTMSX — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

FZAOX

FZAOX Risk / Return Rank: 73
FZAOX Sharpe Ratio Rank: 66
FZAOX Sortino Ratio Rank: 69
FZAOX Omega Ratio Rank: 57
FZAOX Calmar Ratio Rank: 88
FZAOX Martin Ratio Rank: 86

FTMSX

FTMSX Risk / Return Rank: 44
FTMSX Sharpe Ratio Rank: 43
FTMSX Sortino Ratio Rank: 43
FTMSX Omega Ratio Rank: 38
FTMSX Calmar Ratio Rank: 49
FTMSX Martin Ratio Rank: 48

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

FZAOX vs. FTMSX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Advisor Small Cap Fund Class Z (FZAOX) and Fuller & Thaler Behavioral Micro-Cap Equity Fund (FTMSX). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	FZAOX	FTMSX	Difference
Sharpe ratio: Return per unit of total volatility	1.63	1.26	+0.37
Sortino ratio: Return per unit of downside risk	2.41	1.83	+0.58
Omega ratio: Gain probability vs. loss probability	1.28	1.22	+0.06
Calmar ratio: Return relative to maximum drawdown	3.21	1.87	+1.33
Martin ratio: Return relative to average drawdown	11.35	6.85	+4.49

FZAOX vs. FTMSX - Sharpe Ratio Comparison

The current FZAOX Sharpe Ratio is 1.63, which is comparable to the FTMSX Sharpe Ratio of 1.26. The chart below compares the historical Sharpe Ratios of FZAOX and FTMSX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

FZAOX vs. FTMSX - Drawdown Comparison

The maximum FZAOX drawdown since its inception was -40.41%, smaller than the maximum FTMSX drawdown of -53.12%. Use the drawdown chart below to compare losses from any high point for FZAOX and FTMSX.

Drawdown Indicators

	FZAOX	FTMSX	Difference
Max Drawdown Largest peak-to-trough decline	-40.41%	-53.12%	+12.71%
Max Drawdown (1Y) Largest decline over 1 year	-9.31%	-17.52%	+8.21%
Max Drawdown (3Y) Largest decline over 3 years	-34.21%	-35.01%	+0.80%
Max Drawdown (5Y) Largest decline over 5 years	-34.21%	-48.67%	+14.46%
Max Drawdown (10Y) Largest decline over 10 years	-40.41%	—	—
Current Drawdown Current decline from peak	-4.32%	-9.11%	+4.79%
Average Drawdown Average peak-to-trough decline	-8.28%	-21.97%	+13.69%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.64%	4.78%	-2.14%

Volatility

FZAOX vs. FTMSX - Volatility Comparison

The current volatility for Fidelity Advisor Small Cap Fund Class Z (FZAOX) is 4.42%, while Fuller & Thaler Behavioral Micro-Cap Equity Fund (FTMSX) has a volatility of 7.94%. This indicates that FZAOX experiences smaller price fluctuations and is considered to be less risky than FTMSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FZAOX	FTMSX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.42%	7.94%	-3.52%
Volatility (6M) Calculated over the trailing 6-month period	14.00%	18.97%	-4.97%
Volatility (1Y) Calculated over the trailing 1-year period	18.38%	26.16%	-7.78%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	22.07%	28.11%	-6.04%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.92%	30.47%	-8.55%

FZAOX vs. FTMSX - Expense Ratio Comparison

FZAOX has a 0.83% expense ratio, which is lower than FTMSX's 2.30% expense ratio.

Dividends

FZAOX vs. FTMSX - Dividend Comparison

FZAOX's dividend yield for the trailing twelve months is around 1.34%, while FTMSX has not paid dividends to shareholders.

Position	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%
FZAOX Fidelity Advisor Small Cap Fund Class Z	1.34%	1.61%	0.00%	1.16%	4.61%	9.90%	2.38%	3.53%	13.09%	12.80%	2.61%	7.78%

Frequently Asked Questions

Can I hold both FZAOX and FTMSX in my portfolio?

FZAOX and FTMSX have a correlation of 0.77, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FZAOX or FTMSX?

FTMSX has higher volatility (7.94%) compared to FZAOX (4.42%). In terms of maximum drawdown, FZAOX dropped -40.41% vs FTMSX's -53.12%.

Which has better risk-adjusted returns?

FZAOX currently has the higher Sharpe Ratio (1.63 vs 1.26), 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.