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

Key characteristics


FSTEXSHSAX
YTD Return12.13%8.01%
1Y Return14.34%13.00%
3Y Return (Ann)17.81%-3.29%
5Y Return (Ann)13.86%2.85%
10Y Return (Ann)-1.77%3.45%
Sharpe Ratio0.771.07
Sortino Ratio1.131.41
Omega Ratio1.141.21
Calmar Ratio0.290.55
Martin Ratio2.484.81
Ulcer Index5.25%2.68%
Daily Std Dev16.78%11.99%
Max Drawdown-85.79%-39.26%
Current Drawdown-34.35%-11.81%

Correlation

-0.50.00.51.00.4

The correlation between FSTEX and SHSAX is 0.42, 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.

Performance

FSTEX vs. SHSAX - Performance Comparison

In the year-to-date period, FSTEX achieves a 12.13% return, which is significantly higher than SHSAX's 8.01% return. Over the past 10 years, FSTEX has underperformed SHSAX with an annualized return of -1.77%, while SHSAX has yielded a comparatively higher 3.45% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%JuneJulyAugustSeptemberOctoberNovember
0.48%
1.47%
FSTEX
SHSAX

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FSTEX vs. SHSAX - Expense Ratio Comparison

FSTEX has a 1.36% expense ratio, which is higher than SHSAX's 1.09% 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 SHSAX: current value at 1.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.09%

Risk-Adjusted Performance

FSTEX vs. SHSAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Energy Fund (FSTEX) and BlackRock Health Sciences Opportunities Portfolio (SHSAX). 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.


FSTEX
Sharpe ratio
The chart of Sharpe ratio for FSTEX, currently valued at 0.77, compared to the broader market0.002.004.000.77
Sortino ratio
The chart of Sortino ratio for FSTEX, currently valued at 1.13, compared to the broader market0.005.0010.001.13
Omega ratio
The chart of Omega ratio for FSTEX, currently valued at 1.14, compared to the broader market1.002.003.004.001.14
Calmar ratio
The chart of Calmar ratio for FSTEX, currently valued at 0.29, compared to the broader market0.005.0010.0015.0020.0025.000.29
Martin ratio
The chart of Martin ratio for FSTEX, currently valued at 2.48, compared to the broader market0.0020.0040.0060.0080.00100.002.48
SHSAX
Sharpe ratio
The chart of Sharpe ratio for SHSAX, currently valued at 1.07, compared to the broader market0.002.004.001.07
Sortino ratio
The chart of Sortino ratio for SHSAX, currently valued at 1.41, compared to the broader market0.005.0010.001.41
Omega ratio
The chart of Omega ratio for SHSAX, currently valued at 1.21, compared to the broader market1.002.003.004.001.21
Calmar ratio
The chart of Calmar ratio for SHSAX, currently valued at 0.55, compared to the broader market0.005.0010.0015.0020.0025.000.55
Martin ratio
The chart of Martin ratio for SHSAX, currently valued at 4.81, compared to the broader market0.0020.0040.0060.0080.00100.004.81

FSTEX vs. SHSAX - Sharpe Ratio Comparison

The current FSTEX Sharpe Ratio is 0.77, which is comparable to the SHSAX Sharpe Ratio of 1.07. The chart below compares the historical Sharpe Ratios of FSTEX and SHSAX, 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 Ratio0.000.501.001.50JuneJulyAugustSeptemberOctoberNovember
0.77
1.07
FSTEX
SHSAX

Dividends

FSTEX vs. SHSAX - Dividend Comparison

FSTEX's dividend yield for the trailing twelve months is around 1.89%, more than SHSAX's 0.24% yield.


TTM20232022202120202019201820172016201520142013
FSTEX
Invesco Energy Fund
1.89%2.11%0.89%1.79%2.21%1.53%3.05%2.22%1.10%0.64%0.39%0.44%
SHSAX
BlackRock Health Sciences Opportunities Portfolio
0.24%0.26%0.34%0.00%0.00%0.30%0.11%0.00%0.00%1.38%0.04%0.08%

Drawdowns

FSTEX vs. SHSAX - Drawdown Comparison

The maximum FSTEX drawdown since its inception was -85.79%, which is greater than SHSAX's maximum drawdown of -39.26%. Use the drawdown chart below to compare losses from any high point for FSTEX and SHSAX. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%JuneJulyAugustSeptemberOctoberNovember
-34.35%
-11.81%
FSTEX
SHSAX

Volatility

FSTEX vs. SHSAX - Volatility Comparison

Invesco Energy Fund (FSTEX) has a higher volatility of 4.96% compared to BlackRock Health Sciences Opportunities Portfolio (SHSAX) at 3.19%. This indicates that FSTEX's price experiences larger fluctuations and is considered to be riskier than SHSAX 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%7.00%JuneJulyAugustSeptemberOctoberNovember
4.96%
3.19%
FSTEX
SHSAX