FAOIX vs. GTMIX
FAOIX (Fidelity Advisor Overseas Fund Class I) and GTMIX (GMO Tax-Managed International Equities Fund) are both Foreign Large Cap Equities funds. Over the past 10 years, FAOIX returned 7.63%/yr vs 10.95%/yr for GTMIX. Their correlation of 0.88 means they have usually moved in the same direction. FAOIX charges 1.12%/yr vs 0.68%/yr for GTMIX.
Performance
FAOIX vs. GTMIX - Performance Comparison
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Returns By Period
Over the past 10 years, FAOIX has underperformed GTMIX with an annualized return of 7.63%, while GTMIX has yielded a comparatively higher 10.95% annualized return.
FAOIX
- 1D
- 0.00%
- 1M
- 0.00%
- 6M
- 0.00%
- YTD
- 0.00%
- 1Y
- -0.26%
- 3Y*
- 7.86%
- 5Y*
- 2.74%
- 10Y*
- 7.63%
- ALL TIME*
- 5.75%
GTMIX
- 1D
- 1.72%
- 1M
- 6.92%
- 6M
- 14.84%
- YTD
- 22.05%
- 1Y
- 45.05%
- 3Y*
- 22.18%
- 5Y*
- 13.23%
- 10Y*
- 10.95%
- ALL TIME*
- 7.41%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
FAOIX vs. GTMIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FAOIX Fidelity Advisor Overseas Fund Class I | 0.00% | 15.25% | 4.92% | 20.35% | -24.38% | 19.23% | 15.08% | 27.82% | -14.85% | 30.05% |
GTMIX GMO Tax-Managed International Equities Fund | 22.05% | 46.17% | 1.54% | 14.96% | -10.13% | 10.71% | 7.50% | 23.35% | -21.23% | 28.45% |
Correlation
The correlation between FAOIX and GTMIX is 0.41, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.41 |
Correlation (3Y) Balances recent behavior with more history. | 0.69 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.77 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.83 |
Correlation (All Time) Calculated using the full available price history since Jan 4, 1999 | 0.88 |
Over the past year, the correlation between FAOIX and GTMIX has dropped to 0.41 - well below their long-term average of 0.88, suggesting their price drivers have been diverging.
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Return for Risk
FAOIX vs. GTMIX — Risk / Return Rank
FAOIX
GTMIX
FAOIX vs. GTMIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Fidelity Advisor Overseas Fund Class I (FAOIX) and GMO Tax-Managed International Equities Fund (GTMIX). 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.
| FAOIX | GTMIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -3.79 | ||
| Sortino ratioReturn per unit of downside risk | -5.14 | ||
| Omega ratioGain probability vs. loss probability | 0.93 | 1.63 | -0.69 |
| Calmar ratioReturn relative to maximum drawdown | -0.32 | 5.60 | -5.92 |
| Martin ratioReturn relative to average drawdown | -0.49 | 22.17 | -22.66 |
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Drawdowns
FAOIX vs. GTMIX - Drawdown Comparison
The maximum FAOIX drawdown since its inception was -59.86%, roughly equal to the maximum GTMIX drawdown of -58.31%. Use the drawdown chart below to compare losses from any high point for FAOIX and GTMIX.
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Drawdown Indicators
| FAOIX | GTMIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -59.86% | -58.31% | -1.55% |
Max Drawdown (1Y)Largest decline over 1 year | -7.28% | -7.90% | +0.62% |
Max Drawdown (3Y)Largest decline over 3 years | -13.98% | -14.11% | +0.13% |
Max Drawdown (5Y)Largest decline over 5 years | -36.33% | -27.34% | -8.99% |
Max Drawdown (10Y)Largest decline over 10 years | -36.33% | -40.32% | +3.99% |
Current DrawdownCurrent decline from peak | -5.85% | 0.00% | -5.85% |
Average DrawdownAverage peak-to-trough decline | -14.17% | -12.61% | -1.56% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.48% | 1.99% | +2.49% |
Volatility
FAOIX vs. GTMIX - Volatility Comparison
The current volatility for Fidelity Advisor Overseas Fund Class I (FAOIX) is 0.00%, while GMO Tax-Managed International Equities Fund (GTMIX) has a volatility of 3.70%. This indicates that FAOIX experiences smaller price fluctuations and is considered to be less risky than GTMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FAOIX | GTMIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.00% | 3.70% | -3.70% |
Volatility (6M)Calculated over the trailing 6-month period | 0.00% | 10.11% | -10.11% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.69% | 12.77% | -5.08% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.67% | 14.89% | +1.78% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.29% | 15.76% | +0.53% |
FAOIX vs. GTMIX - Expense Ratio Comparison
FAOIX has a 1.12% expense ratio, which is higher than GTMIX's 0.68% expense ratio.
Dividends
FAOIX vs. GTMIX - Dividend Comparison
FAOIX's dividend yield for the trailing twelve months is around 8.49%, less than GTMIX's 20.69% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FAOIX Fidelity Advisor Overseas Fund Class I | 8.49% | 8.49% | 1.66% | 0.96% | 0.63% | 2.06% | 0.00% | 1.35% | 5.09% | 3.79% | 1.49% | 0.63% |
GTMIX GMO Tax-Managed International Equities Fund | 20.69% | 22.43% | 5.94% | 0.36% | 5.44% | 16.55% | 2.25% | 4.13% | 7.25% | 2.96% | 4.05% | 3.26% |
Frequently Asked Questions
FAOIX and GTMIX have a correlation of 0.41, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GTMIX has higher volatility (3.70%) compared to FAOIX (0.00%). In terms of maximum drawdown, FAOIX dropped -59.86% vs GTMIX's -58.31%.
GTMIX currently has the higher Sharpe Ratio (3.49 vs -0.31), 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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