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FSTEX vs. MMUFX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

FSTEX vs. MMUFX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Energy Fund (FSTEX) and MFS Utilities Fund (MMUFX). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
5.83%
12.48%
FSTEX
MMUFX

Returns By Period

In the year-to-date period, FSTEX achieves a 15.90% return, which is significantly lower than MMUFX's 19.11% return. Over the past 10 years, FSTEX has underperformed MMUFX with an annualized return of -1.35%, while MMUFX has yielded a comparatively higher 3.32% annualized return.


FSTEX

YTD

15.90%

1M

6.96%

6M

5.83%

1Y

15.77%

5Y (annualized)

15.29%

10Y (annualized)

-1.35%

MMUFX

YTD

19.11%

1M

-1.33%

6M

12.48%

1Y

19.52%

5Y (annualized)

3.09%

10Y (annualized)

3.32%

Key characteristics


FSTEXMMUFX
Sharpe Ratio0.951.30
Sortino Ratio1.341.80
Omega Ratio1.171.24
Calmar Ratio0.360.81
Martin Ratio3.003.50
Ulcer Index5.27%5.57%
Daily Std Dev16.60%14.98%
Max Drawdown-85.79%-55.42%
Current Drawdown-32.14%-2.27%

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FSTEX vs. MMUFX - Expense Ratio Comparison

FSTEX has a 1.36% expense ratio, which is higher than MMUFX's 0.99% 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 MMUFX: current value at 0.99% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.99%

Correlation

-0.50.00.51.00.5

The correlation between FSTEX and MMUFX is 0.53, 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. MMUFX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Energy Fund (FSTEX) and MFS Utilities Fund (MMUFX). 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-1.000.001.002.003.004.005.000.951.30
The chart of Sortino ratio for FSTEX, currently valued at 1.34, compared to the broader market0.005.0010.001.341.80
The chart of Omega ratio for FSTEX, currently valued at 1.17, compared to the broader market1.002.003.004.001.171.24
The chart of Calmar ratio for FSTEX, currently valued at 0.36, compared to the broader market0.005.0010.0015.0020.000.360.81
The chart of Martin ratio for FSTEX, currently valued at 3.00, compared to the broader market0.0020.0040.0060.0080.00100.003.003.50
FSTEX
MMUFX

The current FSTEX Sharpe Ratio is 0.95, which is comparable to the MMUFX Sharpe Ratio of 1.30. The chart below compares the historical Sharpe Ratios of FSTEX and MMUFX, 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
0.95
1.30
FSTEX
MMUFX

Dividends

FSTEX vs. MMUFX - Dividend Comparison

FSTEX's dividend yield for the trailing twelve months is around 1.82%, less than MMUFX's 1.86% 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%
MMUFX
MFS Utilities Fund
1.86%2.25%1.89%1.29%1.76%2.46%2.60%2.28%3.71%3.10%9.22%7.24%

Drawdowns

FSTEX vs. MMUFX - Drawdown Comparison

The maximum FSTEX drawdown since its inception was -85.79%, which is greater than MMUFX's maximum drawdown of -55.42%. Use the drawdown chart below to compare losses from any high point for FSTEX and MMUFX. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-32.14%
-2.27%
FSTEX
MMUFX

Volatility

FSTEX vs. MMUFX - Volatility Comparison

The current volatility for Invesco Energy Fund (FSTEX) is 3.97%, while MFS Utilities Fund (MMUFX) has a volatility of 4.80%. This indicates that FSTEX experiences smaller price fluctuations and is considered to be less risky than MMUFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.97%
4.80%
FSTEX
MMUFX