FTMS.US

10-Year Study

FTMS.US · Unknown · Unknown · Common Stock

Executive Summary: FTMS.US has compounded at 2.3% annually over the last 10 years, with a maximum drawdown of 50.0% and an annualized volatility of 162.7%.

1Y CAGR
+116.5%
3Y CAGR
+2.3%
5Y CAGR
+2.3%
10Y CAGR
+2.3%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
50.0%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.17
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.41
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
52.6%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +66.1%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2024 · -22.0%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
33%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20260.80.4-1.2—————————-0.1%
2025-11.7-7.0-4.1-1.112.12.99.30.0-3.474.10.30.366.1%
20240.02.51.3-2.417.9-6.5-2.1-6.2-2.3-12.8-1.8-9.1-22.0%
2023—————0.0-1.9-3.8-27.5-1.59.112.1-17.6%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 162.7%. The dominant macroeconomic risk driver is VTI.US, accounting for 30.2% of variance. Idiosyncratic stock-specific factors contribute 2.8%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2023-05-0110000
2023-06-0110000
2023-07-019806.218665161708
2023-08-019432.124792976454
2023-09-016839.378706886515
2023-10-016735.751585514944
2023-11-017347.150933665016
2023-12-018238.342019493432
2024-01-018238.342019493432
2024-02-018445.595748434884
2024-03-018559.586249885808
2024-04-018352.332520944356
2024-05-019844.559574843488
2024-06-019202.073169265492
2024-07-019008.06884449391
2024-08-018447.758853548125
2024-09-018253.804881342125
2024-10-017197.835024648609
2024-11-017068.532719045735
2024-12-016422.020677229676
2025-01-015667.756714077888
2025-02-015269.07383443316
2025-03-015053.569991761704
2025-04-014999.693774192995
2025-05-015603.105047474763
2025-06-015764.7331863792
2025-07-016303.49330685953
2025-08-016303.49330685953
2025-09-016087.989464188074
2025-10-0110600.213122474599
2025-11-0110632.215473631133
2025-12-0110666.588369317778
2026-01-0110747.186883341636
2026-02-0110790.28769298006
2026-03-0110658.937975606954
Annual Return Matrix
YearAnnual Return
2024-0.22047170874503685
20250.6609395866845946
2026-0.0007172296751253304
Total Factor Risk
1.6265660871969887
VTI.US Exposure
0.301627491983039
VEA.US Exposure
0.0364721687951052
VWO.US Exposure
-0.0028594031375985952
QQQ.US Exposure
-0.007002823171616713
VTV.US Exposure
0.014033949932307438
IJR.US Exposure
-0.0038502131315172566
QUAL.US Exposure
0.03596981288488006
SHV.US Exposure
0.26093925808506985
TLT.US Exposure
0.05702905490228817
LQD.US Exposure
0.10306643010968879
HYG.US Exposure
0.11043373989285059
GLD.US Exposure
0.003631215322744771
USO.US Exposure
-0.0009817247243171982
VNQ.US Exposure
-0.0007276024621219619
BTC-USD.CC Exposure
-0.001158124007052002
CPER.US Exposure
0.000026222700351495487
VIX.INDX Exposure
-0.003215090103767142
UUP.US Exposure
0.0008070129798866078
TIP.US Exposure
0.0676199947436491
Idiosyncratic Exposure
0.02813862840612983
Value Score
36
Growth Score
50
Profit Score
37.5
Health Score
26
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
162.7%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.00%
Market Cap$0
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.30
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$28
Avg Yield on Cost
0.28%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$28.020.28%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+1.3%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+26.3%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
1.3% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
1.00
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is FTMS.US a high-risk investment?

FTMS.US (FTMS.US) has an annualized volatility of 162.7% and experienced a maximum drawdown of 50.0% over the last 10 years. Its primary macro risk driver is VTI.US.

What is the 10-year return of FTMS.US?

Over the past 10 years, FTMS.US has generated a Compound Annual Growth Rate (CAGR) of 2.3%. It has had a positive return in 33% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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