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FullerThaler Behavioral Mid-Cap Equity Fund Institutional Shares FTHMX
Historical return decomposition and an investable replication portfolio, using data through 2026-10-09.
Fund and replication metrics
| Measure | FTHMX | Replication |
|---|---|---|
| Annualized growth | 3.1% | -3.2% |
| Annualized volatility | 9.3% | 7.5% |
| Sharpe ratio | 0.37 | -0.40 |
| Maximum drawdown | 2.4% | 2.1% |
| Replication fit (R²) | 0.95 · Tracking error 2.1% | |
Replication portfolio
The published portfolio below is the investable basket used to model FTHMX’s historical return behavior.
| Ticker | Building block | Weight |
|---|---|---|
| XLU | Sector · Utilities | 33.3% |
| MTUM | Factor · Momentum | 30.1% |
| VBK | Small-Cap · Growth | 28.6% |
| VOT | Mid-Cap · Growth | 7.9% |