FFNOX vs. VTMFX

Last updated Jun 25, 2026

FFNOX (Fidelity Multi-Asset Index Fund) and VTMFX (Vanguard Tax-Managed Balanced Fund Admiral Shares) are both Diversified Portfolio funds. FFNOX is actively managed, while VTMFX is passively managed. Over the past 10 years, FFNOX returned 11.42%/yr vs 8.63%/yr for VTMFX. With a 0.96 correlation, they move nearly in lockstep. FFNOX charges 0.11%/yr vs 0.05%/yr for VTMFX.

Performance

FFNOX vs. VTMFX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity Multi-Asset Index Fund (FFNOX) and Vanguard Tax-Managed Balanced Fund Admiral Shares (VTMFX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FFNOX achieves a 9.33% return, which is significantly higher than VTMFX's 4.50% return. Over the past 10 years, FFNOX has outperformed VTMFX with an annualized return of 11.42%, while VTMFX has yielded a comparatively lower 8.63% annualized return.

FFNOX

• 1D: -1.64%
• 1M: 0.21%
• YTD: 9.33%
• 6M: 8.52%
• 1Y: 21.47%
• 3Y*: 17.24%
• 5Y*: 8.91%
• 10Y*: 11.42%

VTMFX

• 1D: -0.70%
• 1M: 0.06%
• YTD: 4.50%
• 6M: 3.95%
• 1Y: 13.59%
• 3Y*: 11.82%
• 5Y*: 6.79%
• 10Y*: 8.63%

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

FFNOX vs. VTMFX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FFNOX Fidelity Multi-Asset Index Fund	9.33%	20.18%	13.05%	19.29%	-18.02%	17.05%	16.30%	25.09%	-6.58%	17.09%
VTMFX Vanguard Tax-Managed Balanced Fund Admiral Shares	4.50%	11.28%	12.17%	15.55%	-12.69%	13.10%	13.31%	18.01%	-1.40%	12.61%

Correlation

The correlation between FFNOX and VTMFX is 0.96 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.96
Correlation (3Y) Calculated over the trailing 3-year period	0.94
Correlation (5Y) Calculated over the trailing 5-year period	0.95
Correlation (10Y) Calculated over the trailing 10-year period	0.95
Correlation (All Time) Calculated using the full available price history since Jun 29, 1999	0.96

The correlation between FFNOX and VTMFX has been stable across timeframes, ranging from 0.94 to 0.96 - a consistent structural relationship.

Return for Risk

FFNOX vs. VTMFX — Risk / Return Rank

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

FFNOX

FFNOX Risk / Return Rank: 53
FFNOX Sharpe Ratio Rank: 51
FFNOX Sortino Ratio Rank: 48
FFNOX Omega Ratio Rank: 50
FFNOX Calmar Ratio Rank: 54
FFNOX Martin Ratio Rank: 62

VTMFX

VTMFX Risk / Return Rank: 64
VTMFX Sharpe Ratio Rank: 67
VTMFX Sortino Ratio Rank: 66
VTMFX Omega Ratio Rank: 67
VTMFX Calmar Ratio Rank: 53
VTMFX Martin Ratio Rank: 68

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.

FFNOX vs. VTMFX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Multi-Asset Index Fund (FFNOX) and Vanguard Tax-Managed Balanced Fund Admiral Shares (VTMFX). 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.

	FFNOX	VTMFX	Difference
Sharpe ratio: Return per unit of total volatility	1.93	2.20	-0.27
Sortino ratio: Return per unit of downside risk	2.68	3.10	-0.42
Omega ratio: Gain probability vs. loss probability	1.36	1.42	-0.06
Calmar ratio: Return relative to maximum drawdown	2.68	2.65	+0.03
Martin ratio: Return relative to average drawdown	11.41	12.34	-0.93

FFNOX vs. VTMFX - Sharpe Ratio Comparison

The current FFNOX Sharpe Ratio is 1.93, which is comparable to the VTMFX Sharpe Ratio of 2.20. The chart below compares the historical Sharpe Ratios of FFNOX and VTMFX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

FFNOX vs. VTMFX - Drawdown Comparison

The maximum FFNOX drawdown since its inception was -49.84%, which is greater than VTMFX's maximum drawdown of -28.49%. Use the drawdown chart below to compare losses from any high point for FFNOX and VTMFX.

Drawdown Indicators

	FFNOX	VTMFX	Difference
Max Drawdown Largest peak-to-trough decline	-49.84%	-28.49%	-21.35%
Max Drawdown (1Y) Largest decline over 1 year	-8.60%	-5.38%	-3.22%
Max Drawdown (3Y) Largest decline over 3 years	-14.10%	-10.61%	-3.49%
Max Drawdown (5Y) Largest decline over 5 years	-26.04%	-17.40%	-8.64%
Max Drawdown (10Y) Largest decline over 10 years	-29.93%	-21.87%	-8.06%
Current Drawdown Current decline from peak	-2.01%	-1.45%	-0.56%
Average Drawdown Average peak-to-trough decline	-8.68%	-3.54%	-5.14%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.01%	1.15%	+0.86%

Volatility

FFNOX vs. VTMFX - Volatility Comparison

Fidelity Multi-Asset Index Fund (FFNOX) has a higher volatility of 5.00% compared to Vanguard Tax-Managed Balanced Fund Admiral Shares (VTMFX) at 2.56%. This indicates that FFNOX's price experiences larger fluctuations and is considered to be riskier than VTMFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FFNOX	VTMFX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.00%	2.56%	+2.44%
Volatility (6M) Calculated over the trailing 6-month period	9.99%	5.22%	+4.77%
Volatility (1Y) Calculated over the trailing 1-year period	11.98%	6.49%	+5.49%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	13.90%	8.57%	+5.33%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.57%	9.14%	+5.43%

FFNOX vs. VTMFX - Expense Ratio Comparison

FFNOX has a 0.11% expense ratio, which is higher than VTMFX's 0.05% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

FFNOX vs. VTMFX - Dividend Comparison

FFNOX's dividend yield for the trailing twelve months is around 2.35%, more than VTMFX's 2.14% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FFNOX Fidelity Multi-Asset Index Fund	2.35%	3.68%	6.43%	3.18%	7.14%	5.71%	2.87%	2.96%	2.90%	0.64%	2.50%	0.70%
VTMFX Vanguard Tax-Managed Balanced Fund Admiral Shares	2.14%	2.14%	2.08%	1.94%	1.85%	1.38%	1.72%	2.05%	2.22%	2.00%	2.13%	2.06%

Frequently Asked Questions

Can I hold both FFNOX and VTMFX in my portfolio?

With a correlation of 0.96, FFNOX and VTMFX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, FFNOX or VTMFX?

FFNOX has higher volatility (5.00%) compared to VTMFX (2.56%). In terms of maximum drawdown, FFNOX dropped -49.84% vs VTMFX's -28.49%.

Which has better risk-adjusted returns?

VTMFX currently has the higher Sharpe Ratio (2.20 vs 1.93), 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.