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

Performance

FTHNX vs. FSTEX - Performance Comparison

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

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

Returns By Period

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


FTHNX

YTD

26.39%

1M

7.85%

6M

15.20%

1Y

37.98%

5Y (annualized)

15.22%

10Y (annualized)

N/A

FSTEX

YTD

15.90%

1M

6.96%

6M

5.83%

1Y

15.77%

5Y (annualized)

15.29%

10Y (annualized)

-1.35%

Key characteristics


FTHNXFSTEX
Sharpe Ratio2.220.95
Sortino Ratio3.111.34
Omega Ratio1.391.17
Calmar Ratio4.660.36
Martin Ratio13.233.00
Ulcer Index2.87%5.27%
Daily Std Dev17.12%16.60%
Max Drawdown-37.78%-85.79%
Current Drawdown-0.99%-32.14%

Compare stocks, funds, or ETFs

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


FTHNX vs. FSTEX - Expense Ratio Comparison

FTHNX has a 1.03% expense ratio, which is lower than FSTEX's 1.36% 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 FTHNX and FSTEX 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

FTHNX vs. FSTEX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fuller & Thaler Behavioral Small-Cap Equity Fund (FTHNX) and Invesco Energy Fund (FSTEX). 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 FTHNX, currently valued at 2.22, compared to the broader market-1.000.001.002.003.004.005.002.220.95
The chart of Sortino ratio for FTHNX, currently valued at 3.11, compared to the broader market0.005.0010.003.111.34
The chart of Omega ratio for FTHNX, currently valued at 1.39, compared to the broader market1.002.003.004.001.391.17
The chart of Calmar ratio for FTHNX, currently valued at 4.66, compared to the broader market0.005.0010.0015.0020.004.661.28
The chart of Martin ratio for FTHNX, currently valued at 13.23, compared to the broader market0.0020.0040.0060.0080.00100.0013.233.00
FTHNX
FSTEX

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

Dividends

FTHNX vs. FSTEX - Dividend Comparison

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


TTM20232022202120202019201820172016201520142013
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%
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%

Drawdowns

FTHNX vs. FSTEX - Drawdown Comparison

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


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.99%
0
FTHNX
FSTEX

Volatility

FTHNX vs. FSTEX - Volatility Comparison

Fuller & Thaler Behavioral Small-Cap Equity Fund (FTHNX) has a higher volatility of 6.44% compared to Invesco Energy Fund (FSTEX) at 3.97%. This indicates that FTHNX's price experiences larger fluctuations and is considered to be riskier than FSTEX 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
6.44%
3.97%
FTHNX
FSTEX