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

Performance

MMUFX vs. FSTEX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in MFS Utilities Fund (MMUFX) 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
12.48%
5.83%
MMUFX
FSTEX

Returns By Period

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


MMUFX

YTD

19.11%

1M

-1.33%

6M

12.48%

1Y

19.52%

5Y (annualized)

3.09%

10Y (annualized)

3.32%

FSTEX

YTD

15.90%

1M

6.96%

6M

5.83%

1Y

15.77%

5Y (annualized)

15.29%

10Y (annualized)

-1.35%

Key characteristics


MMUFXFSTEX
Sharpe Ratio1.300.95
Sortino Ratio1.801.34
Omega Ratio1.241.17
Calmar Ratio0.810.36
Martin Ratio3.503.00
Ulcer Index5.57%5.27%
Daily Std Dev14.98%16.60%
Max Drawdown-55.42%-85.79%
Current Drawdown-2.27%-32.14%

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MMUFX vs. FSTEX - Expense Ratio Comparison

MMUFX has a 0.99% 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 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 MMUFX and FSTEX 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

MMUFX vs. FSTEX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for MFS Utilities Fund (MMUFX) 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 MMUFX, currently valued at 1.30, compared to the broader market-1.000.001.002.003.004.005.001.300.95
The chart of Sortino ratio for MMUFX, currently valued at 1.80, compared to the broader market0.005.0010.001.801.34
The chart of Omega ratio for MMUFX, currently valued at 1.24, compared to the broader market1.002.003.004.001.241.17
The chart of Calmar ratio for MMUFX, currently valued at 0.81, compared to the broader market0.005.0010.0015.0020.000.810.36
The chart of Martin ratio for MMUFX, currently valued at 3.50, compared to the broader market0.0020.0040.0060.0080.00100.003.503.00
MMUFX
FSTEX

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

Dividends

MMUFX vs. FSTEX - Dividend Comparison

MMUFX's dividend yield for the trailing twelve months is around 1.86%, more than FSTEX's 1.82% yield.


TTM20232022202120202019201820172016201520142013
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%
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

MMUFX vs. FSTEX - Drawdown Comparison

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


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

Volatility

MMUFX vs. FSTEX - Volatility Comparison

MFS Utilities Fund (MMUFX) has a higher volatility of 4.80% compared to Invesco Energy Fund (FSTEX) at 3.97%. This indicates that MMUFX'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.


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