Corsi includes blocked shots; Fenwick does not.
Corsi is supposed to be correlated to puck possession. Fenwick is supposed to be correlated to scoring chances.
There's a lot of enthusiasm for these metric by fancy statisticians. There is some skepticism though.
See:
http://blog.philbirnbaum.com/
He's a fancy sabermetric guy who is very skeptical of Corsi and Fenwick. A new metric being derived is 'TANGO' which does not weigh all shots equally, but gives more weight to goals.
"A metric that EQUALLY weights all shots is not a good metric (I’m looking right at you Corsi and Fenwick). It first ignores our prior that says that shots-that-are-goals contains more information than non-goal-shots. Secondly, it’s not supported by empirical research."
He also has a 7 part series on CORSI and shooting percentage: Talks about how PDO doesn't regress to 100, how quality of shots/chances matter. You know, the handwavey stuff people bring up all the time.
http://blog.philbirnbaum.com/2014/11...nto-maple.html