BF-B vs. FZROX

Last updated Jun 3, 2026

BF-B (Brown-Forman Corporation) is a stock, while FZROX (Fidelity ZERO Total Market Index Fund) is Large Cap Blend Equities fund managed by Fidelity. Over the past 5 years, BF-B returned -19.36%/yr vs 13.14%/yr for FZROX. At a 0.41 correlation, their price movements are largely independent.

Performance

BF-B vs. FZROX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Brown-Forman Corporation (BF-B) and Fidelity ZERO Total Market Index Fund (FZROX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, BF-B achieves a -3.41% return, which is significantly lower than FZROX's 11.76% return.

BF-B

• 1D: -0.87%
• 1M: -2.39%
• YTD: -3.41%
• 6M: -15.13%
• 1Y: -22.37%
• 3Y*: -25.30%
• 5Y*: -19.36%
• 10Y*: -2.65%

FZROX

• 1D: 0.27%
• 1M: 5.13%
• YTD: 11.76%
• 6M: 12.13%
• 1Y: 29.74%
• 3Y*: 22.40%
• 5Y*: 13.14%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

BF-B vs. FZROX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
BF-B Brown-Forman Corporation	-3.41%	-29.29%	-32.23%	-11.91%	-8.86%	-6.07%	18.67%	43.78%	-9.79%
FZROX Fidelity ZERO Total Market Index Fund	11.76%	17.23%	23.94%	26.20%	-19.21%	26.00%	20.51%	31.15%	-12.72%

Correlation

The correlation between BF-B and FZROX is 0.13, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.13
Correlation (3Y) Calculated over the trailing 3-year period	0.22
Correlation (5Y) Calculated over the trailing 5-year period	0.34
Correlation (All Time) Calculated using the full available price history since Aug 17, 2018	0.41

Over the past year, the correlation between BF-B and FZROX has dropped to 0.13 - well below their long-term average of 0.41, suggesting their price drivers have been diverging.

Return for Risk

BF-B vs. FZROX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

BF-B

BF-B Risk / Return Rank: 14
BF-B Sharpe Ratio Rank: 17
BF-B Sortino Ratio Rank: 19
BF-B Omega Ratio Rank: 18
BF-B Calmar Ratio Rank: 11
BF-B Martin Ratio Rank: 6

FZROX

FZROX Risk / Return Rank: 72
FZROX Sharpe Ratio Rank: 73
FZROX Sortino Ratio Rank: 65
FZROX Omega Ratio Rank: 65
FZROX Calmar Ratio Rank: 75
FZROX Martin Ratio Rank: 83

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

BF-B vs. FZROX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Brown-Forman Corporation (BF-B) and Fidelity ZERO Total Market Index Fund (FZROX). 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.

	BF-B	FZROX	Difference
Sharpe ratio Return per unit of total volatility	-0.53	2.49	-3.02
Sortino ratio Return per unit of downside risk	-0.52	3.38	-3.90
Omega ratio Gain probability vs. loss probability	0.93	1.45	-0.52
Calmar ratio Return relative to maximum drawdown	-0.78	3.40	-4.18
Martin ratio Return relative to average drawdown	-1.45	15.73	-17.18
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

BF-B vs. FZROX - Sharpe Ratio Comparison

The current BF-B Sharpe Ratio is -0.53, which is lower than the FZROX Sharpe Ratio of 2.49. The chart below compares the historical Sharpe Ratios of BF-B and FZROX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	BF-B	FZROX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.53	2.49	-3.02
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.65	0.76	-1.41
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	-0.09	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.48	0.73	-0.25

Drawdowns

BF-B vs. FZROX - Drawdown Comparison

The maximum BF-B drawdown since its inception was -68.96%, which is greater than FZROX's maximum drawdown of -34.96%. Use the drawdown chart below to compare losses from any high point for BF-B and FZROX.

Drawdown Indicators

	BF-B	FZROX	Difference
Max Drawdown Largest peak-to-trough decline	-68.96%	-34.96%	-34.00%
Max Drawdown (1Y) Largest decline over 1 year	-29.05%	-8.89%	-20.16%
Max Drawdown (3Y) Largest decline over 3 years	-65.65%	-19.38%	-46.27%
Max Drawdown (5Y) Largest decline over 5 years	-68.68%	-25.12%	-43.56%
Max Drawdown (10Y) Largest decline over 10 years	-68.96%	—	—
Current Drawdown Current decline from peak	-66.04%	0.00%	-66.04%
Average Drawdown Average peak-to-trough decline	-11.58%	-5.51%	-6.07%
Ulcer Index Depth and duration of drawdowns from previous peaks	15.61%	1.92%	+13.69%

Volatility

BF-B vs. FZROX - Volatility Comparison

Brown-Forman Corporation (BF-B) has a higher volatility of 10.45% compared to Fidelity ZERO Total Market Index Fund (FZROX) at 2.99%. This indicates that BF-B's price experiences larger fluctuations and is considered to be riskier than FZROX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	BF-B	FZROX	Difference
Volatility (1M) Calculated over the trailing 1-month period	10.45%	2.99%	+7.46%
Volatility (6M) Calculated over the trailing 6-month period	31.30%	9.23%	+22.07%
Volatility (1Y) Calculated over the trailing 1-year period	42.17%	12.25%	+29.92%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	29.88%	17.44%	+12.44%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	28.02%	20.14%	+7.88%

Dividends

BF-B vs. FZROX - Dividend Comparison

BF-B's dividend yield for the trailing twelve months is around 3.67%, more than FZROX's 0.92% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
BF-B Brown-Forman Corporation	3.67%	3.49%	2.32%	1.46%	1.17%	2.37%	0.88%	0.99%	3.10%	1.09%	1.54%	1.29%
FZROX Fidelity ZERO Total Market Index Fund	0.92%	1.02%	1.16%	1.36%	1.57%	1.25%	1.27%	1.51%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both BF-B and FZROX in my portfolio?

BF-B and FZROX have a correlation of 0.13, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, BF-B or FZROX?

BF-B has higher volatility (10.45%) compared to FZROX (2.99%). In terms of maximum drawdown, BF-B dropped -68.96% vs FZROX's -34.96%.

Which has better risk-adjusted returns?

FZROX currently has the higher Sharpe Ratio (2.49 vs -0.53), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.