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

Performance

FSTEX vs. FTHNX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Energy Fund (FSTEX) and Fuller & Thaler Behavioral Small-Cap Equity Fund (FTHNX). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
5.84%
15.20%
FSTEX
FTHNX

Returns By Period

In the year-to-date period, FSTEX achieves a 15.90% return, which is significantly lower than FTHNX's 26.39% return.


FSTEX

YTD

15.90%

1M

6.96%

6M

5.83%

1Y

15.77%

5Y (annualized)

15.29%

10Y (annualized)

-1.35%

FTHNX

YTD

26.39%

1M

7.85%

6M

15.20%

1Y

37.98%

5Y (annualized)

15.22%

10Y (annualized)

N/A

Key characteristics


FSTEXFTHNX
Sharpe Ratio0.952.22
Sortino Ratio1.343.11
Omega Ratio1.171.39
Calmar Ratio0.364.66
Martin Ratio3.0013.23
Ulcer Index5.27%2.87%
Daily Std Dev16.60%17.12%
Max Drawdown-85.79%-37.78%
Current Drawdown-32.14%-0.99%

Compare stocks, funds, or ETFs

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


FSTEX vs. FTHNX - Expense Ratio Comparison

FSTEX has a 1.36% expense ratio, which is higher than FTHNX's 1.03% expense ratio.


FSTEX
Invesco Energy Fund
Expense ratio chart for FSTEX: current value at 1.36% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.36%
Expense ratio chart for FTHNX: current value at 1.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.03%

Correlation

-0.50.00.51.00.6

The correlation between FSTEX and FTHNX is 0.55, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Risk-Adjusted Performance

FSTEX vs. FTHNX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Energy Fund (FSTEX) and Fuller & Thaler Behavioral Small-Cap Equity Fund (FTHNX). 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.


Sharpe ratio
The chart of Sharpe ratio for FSTEX, currently valued at 0.95, compared to the broader market-1.000.001.002.003.004.005.000.952.22
The chart of Sortino ratio for FSTEX, currently valued at 1.34, compared to the broader market0.005.0010.001.343.11
The chart of Omega ratio for FSTEX, currently valued at 1.17, compared to the broader market1.002.003.004.001.171.39
The chart of Calmar ratio for FSTEX, currently valued at 1.28, compared to the broader market0.005.0010.0015.0020.001.284.66
The chart of Martin ratio for FSTEX, currently valued at 3.00, compared to the broader market0.0020.0040.0060.0080.00100.003.0013.23
FSTEX
FTHNX

The current FSTEX Sharpe Ratio is 0.95, which is lower than the FTHNX Sharpe Ratio of 2.22. The chart below compares the historical Sharpe Ratios of FSTEX and FTHNX, 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 Ratio-0.500.000.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
0.95
2.22
FSTEX
FTHNX

Dividends

FSTEX vs. FTHNX - Dividend Comparison

FSTEX's dividend yield for the trailing twelve months is around 1.82%, more than FTHNX's 0.60% yield.


TTM20232022202120202019201820172016201520142013
FSTEX
Invesco Energy Fund
1.82%2.11%0.89%1.79%2.21%1.53%3.05%2.22%1.10%0.64%0.39%0.44%
FTHNX
Fuller & Thaler Behavioral Small-Cap Equity Fund
0.60%0.76%0.45%0.15%0.11%0.11%0.21%0.09%0.36%1.65%0.00%0.00%

Drawdowns

FSTEX vs. FTHNX - Drawdown Comparison

The maximum FSTEX drawdown since its inception was -85.79%, which is greater than FTHNX's maximum drawdown of -37.78%. Use the drawdown chart below to compare losses from any high point for FSTEX and FTHNX. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-0.99%
FSTEX
FTHNX

Volatility

FSTEX vs. FTHNX - Volatility Comparison

The current volatility for Invesco Energy Fund (FSTEX) is 3.97%, while Fuller & Thaler Behavioral Small-Cap Equity Fund (FTHNX) has a volatility of 6.44%. This indicates that FSTEX experiences smaller price fluctuations and is considered to be less risky than FTHNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
3.97%
6.44%
FSTEX
FTHNX