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DFWIX vs. FAOSX
Performance
Return for Risk
Drawdowns
Volatility
Dividends

DFWIX vs. FAOSX

Last updated Jun 24, 2026

DFWIX (DFA World ex U.S. Core Equity Portfolio) and FAOSX (Fidelity Advisor Overseas Fund Class Z) are both Foreign Large Cap Equities funds. Over the past 5 years, DFWIX returned 11.88%/yr vs 3.89%/yr for FAOSX. Their correlation of 0.85 suggests significant overlap in exposure. DFWIX charges 0.31%/yr vs 1.02%/yr for FAOSX.

Performance

DFWIX vs. FAOSX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA World ex U.S. Core Equity Portfolio (DFWIX) and Fidelity Advisor Overseas Fund Class Z (FAOSX). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

DFWIX

1D
0.05%
1M
2.27%
YTD
15.19%
6M
15.05%
1Y
33.26%
3Y*
20.39%
5Y*
11.88%
10Y*
11.82%

FAOSX

1D
0.00%
1M
0.00%
YTD
0.00%
6M
0.00%
1Y
-0.55%
3Y*
8.01%
5Y*
3.89%
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

DFWIX vs. FAOSX - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
DFWIX
DFA World ex U.S. Core Equity Portfolio		15.19%33.45%4.34%16.74%-14.04%22.41%9.35%19.98%-17.00%24.60%
FAOSX
Fidelity Advisor Overseas Fund Class Z		0.00%15.36%5.06%20.52%-24.31%19.42%15.17%27.96%-14.73%26.25%

Correlation

The correlation between DFWIX and FAOSX is 0.48, which is low. Their price movements are largely independent, making them effective diversification partners.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.48

Correlation (3Y)
Calculated over the trailing 3-year period

0.75

Correlation (5Y)
Calculated over the trailing 5-year period

0.83

Correlation (All Time)
Calculated using the full available price history since Feb 1, 2017

0.85

Over the past year, the correlation between DFWIX and FAOSX has dropped to 0.48 - well below their long-term average of 0.85, suggesting their price drivers have been diverging.

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DFA World ex U.S. Core Equity Portfolio

Fidelity Advisor Overseas Fund Class Z

Often compared with DFWIX:
DFWIX vs. DFAXDFWIX vs. VXUSDFWIX vs. VFWSXDFWIX vs. HAWXDFWIX vs. FSPSXDFWIX vs. ACWXDFWIX vs. VTMNX
Often compared with FAOSX:
FAOSX vs. FAOIXFAOSX vs. FAERXFAOSX vs. HISIXFAOSX vs. BIGFXFAOSX vs. JOHIXFAOSX vs. BCIIXFAOSX vs. GSIMX

Return for Risk

DFWIX vs. FAOSX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
DFWIX
DFWIX Risk / Return Rank: 7575
Overall Rank
DFWIX Sharpe Ratio Rank: 8181
Sharpe Ratio Rank
DFWIX Sortino Ratio Rank: 7575
Sortino Ratio Rank
DFWIX Omega Ratio Rank: 7878
Omega Ratio Rank
DFWIX Calmar Ratio Rank: 7474
Calmar Ratio Rank
DFWIX Martin Ratio Rank: 6868
Martin Ratio Rank
FAOSX
FAOSX Risk / Return Rank: 33
Overall Rank
FAOSX Sharpe Ratio Rank: 33
Sharpe Ratio Rank
FAOSX Sortino Ratio Rank: 22
Sortino Ratio Rank
FAOSX Omega Ratio Rank: 22
Omega Ratio Rank
FAOSX Calmar Ratio Rank: 33
Calmar Ratio Rank
FAOSX Martin Ratio Rank: 33
Martin Ratio Rank
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.

DFWIX vs. FAOSX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA World ex U.S. Core Equity Portfolio (DFWIX) and Fidelity Advisor Overseas Fund Class Z (FAOSX). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

DFWIXFAOSXDifference
Sharpe ratioReturn per unit of total volatility
2.45
-0.05

+2.50

Sortino ratioReturn per unit of downside risk
3.32
-0.01

+3.32

Omega ratioGain probability vs. loss probability

1.46

1.00

+0.46

Calmar ratioReturn relative to maximum drawdown

3.18

-0.06

+3.24

Martin ratioReturn relative to average drawdown

12.35

-0.09

+12.44

DFWIX vs. FAOSX - Sharpe Ratio Comparison

The current DFWIX Sharpe Ratio is 2.45, which is higher than the FAOSX Sharpe Ratio of -0.05. The chart below compares the historical Sharpe Ratios of DFWIX and FAOSX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

DFWIX vs. FAOSX - Drawdown Comparison

The maximum DFWIX drawdown since its inception was -41.80%, which is greater than FAOSX's maximum drawdown of -36.24%. Use the drawdown chart below to compare losses from any high point for DFWIX and FAOSX.

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Drawdown Indicators

DFWIXFAOSXDifference

Max Drawdown

Largest peak-to-trough decline

-41.80%

-36.24%

-5.56%

Max Drawdown (1Y)

Largest decline over 1 year

-10.82%

-7.26%

-3.56%

Max Drawdown (3Y)

Largest decline over 3 years

-13.11%

-13.96%

+0.85%

Max Drawdown (5Y)

Largest decline over 5 years

-27.31%

-36.24%

+8.93%

Max Drawdown (10Y)

Largest decline over 10 years

-41.80%

—

—

Current Drawdown

Current decline from peak

-0.21%

-5.86%

+5.65%

Average Drawdown

Average peak-to-trough decline

-8.12%

-7.92%

-0.20%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.77%

4.13%

-1.36%

Volatility

DFWIX vs. FAOSX - Volatility Comparison

DFA World ex U.S. Core Equity Portfolio (DFWIX) has a higher volatility of 5.61% compared to Fidelity Advisor Overseas Fund Class Z (FAOSX) at 0.00%. This indicates that DFWIX's price experiences larger fluctuations and is considered to be riskier than FAOSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

DFWIXFAOSXDifference

Volatility (1M)

Calculated over the trailing 1-month period

5.61%

0.00%

+5.61%

Volatility (6M)

Calculated over the trailing 6-month period

12.19%

3.63%

+8.56%

Volatility (1Y)

Calculated over the trailing 1-year period

14.10%

8.76%

+5.34%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

15.28%

16.70%

-1.42%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

15.64%

16.64%

-1.00%

DFWIX vs. FAOSX - Expense Ratio Comparison

DFWIX has a 0.31% expense ratio, which is lower than FAOSX's 1.02% expense ratio.

Dividends

DFWIX vs. FAOSX - Dividend Comparison

DFWIX's dividend yield for the trailing twelve months is around 2.79%, less than FAOSX's 8.67% yield.

PositionTTM20252024202320222021202020192018201720162015
DFWIX
DFA World ex U.S. Core Equity Portfolio		2.79%3.00%3.32%3.36%3.11%10.71%1.81%2.36%3.50%2.36%2.59%2.31%
FAOSX
Fidelity Advisor Overseas Fund Class Z		8.67%8.67%1.80%1.12%0.85%2.07%0.00%1.70%5.30%3.93%0.00%0.00%

Frequently Asked Questions

DFWIX and FAOSX have a correlation of 0.48, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

DFWIX has higher volatility (5.61%) compared to FAOSX (0.00%). In terms of maximum drawdown, DFWIX dropped -41.80% vs FAOSX's -36.24%.

DFWIX currently has the higher Sharpe Ratio (2.45 vs -0.05), 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.

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