FMILX vs. GTLOX

Last updated Jul 15, 2026

FMILX (Fidelity New Millennium Fund) and GTLOX (Glenmede Quantitative U.S. Large Cap Core Equity Portfolio) are both Large Cap Blend Equities funds. Over the past 10 years, FMILX returned 14.97%/yr vs 12.16%/yr for GTLOX. Their correlation of 0.92 suggests significant overlap in exposure. FMILX charges 0.76%/yr vs 0.85%/yr for GTLOX.

Performance

FMILX vs. GTLOX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity New Millennium Fund (FMILX) and Glenmede Quantitative U.S. Large Cap Core Equity Portfolio (GTLOX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FMILX achieves a 12.66% return, which is significantly lower than GTLOX's 20.50% return. Over the past 10 years, FMILX has outperformed GTLOX with an annualized return of 14.97%, while GTLOX has yielded a comparatively lower 12.16% annualized return.

FMILX

• 1D: -1.19%
• 1M: -0.08%
• 6M: 10.14%
• YTD: 12.66%
• 1Y: 17.34%
• 3Y*: 20.61%
• 5Y*: 15.89%
• 10Y*: 14.97%

GTLOX

• 1D: -0.75%
• 1M: -0.98%
• 6M: 16.88%
• YTD: 20.50%
• 1Y: 36.29%
• 3Y*: 18.19%
• 5Y*: 10.72%
• 10Y*: 12.16%

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

FMILX vs. GTLOX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FMILX Fidelity New Millennium Fund	12.66%	12.97%	28.83%	25.37%	-1.56%	23.92%	5.73%	26.17%	-6.31%	19.00%
GTLOX Glenmede Quantitative U.S. Large Cap Core Equity Portfolio	20.50%	14.39%	13.86%	16.66%	-15.37%	27.05%	7.41%	23.27%	-7.97%	24.78%

Correlation

The correlation between FMILX and GTLOX is 0.78, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.78
Correlation (3Y) Calculated over the trailing 3-year period	0.82
Correlation (5Y) Calculated over the trailing 5-year period	0.87
Correlation (10Y) Calculated over the trailing 10-year period	0.89
Correlation (All Time) Calculated using the full available price history since Jan 3, 2005	0.92

The correlation between FMILX and GTLOX shifts across timeframes, from 0.78 (1 year) to 0.92 (all time), reflecting how their relationship changes across market environments.

Return for Risk

FMILX vs. GTLOX — Risk / Return Rank

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

FMILX

FMILX Risk / Return Rank: 29
FMILX Sharpe Ratio Rank: 29
FMILX Sortino Ratio Rank: 26
FMILX Omega Ratio Rank: 30
FMILX Calmar Ratio Rank: 28
FMILX Martin Ratio Rank: 30

GTLOX

GTLOX Risk / Return Rank: 91
GTLOX Sharpe Ratio Rank: 92
GTLOX Sortino Ratio Rank: 87
GTLOX Omega Ratio Rank: 84
GTLOX Calmar Ratio Rank: 96
GTLOX Martin Ratio Rank: 97

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.

FMILX vs. GTLOX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity New Millennium Fund (FMILX) and Glenmede Quantitative U.S. Large Cap Core Equity Portfolio (GTLOX). 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.

	FMILX	GTLOX	Difference
Sharpe ratio: Return per unit of total volatility	1.15	2.52	-1.37
Sortino ratio: Return per unit of downside risk	1.60	3.41	-1.81
Omega ratio: Gain probability vs. loss probability	1.22	1.43	-0.21
Calmar ratio: Return relative to maximum drawdown	1.50	5.01	-3.50
Martin ratio: Return relative to average drawdown	5.31	20.68	-15.37

FMILX vs. GTLOX - Sharpe Ratio Comparison

The current FMILX Sharpe Ratio is 1.15, which is lower than the GTLOX Sharpe Ratio of 2.52. The chart below compares the historical Sharpe Ratios of FMILX and GTLOX, 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

FMILX vs. GTLOX - Drawdown Comparison

The maximum FMILX drawdown since its inception was -58.56%, which is greater than GTLOX's maximum drawdown of -54.09%. Use the drawdown chart below to compare losses from any high point for FMILX and GTLOX.

Drawdown Indicators

	FMILX	GTLOX	Difference
Max Drawdown Largest peak-to-trough decline	-58.56%	-54.09%	-4.47%
Max Drawdown (1Y) Largest decline over 1 year	-11.86%	-7.47%	-4.39%
Max Drawdown (3Y) Largest decline over 3 years	-20.48%	-32.85%	+12.37%
Max Drawdown (5Y) Largest decline over 5 years	-20.48%	-32.85%	+12.37%
Max Drawdown (10Y) Largest decline over 10 years	-38.92%	-38.15%	-0.77%
Current Drawdown Current decline from peak	-2.88%	-1.92%	-0.96%
Average Drawdown Average peak-to-trough decline	-12.42%	-8.29%	-4.13%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.35%	1.81%	+1.54%

Volatility

FMILX vs. GTLOX - Volatility Comparison

Fidelity New Millennium Fund (FMILX) has a higher volatility of 5.94% compared to Glenmede Quantitative U.S. Large Cap Core Equity Portfolio (GTLOX) at 5.06%. This indicates that FMILX's price experiences larger fluctuations and is considered to be riskier than GTLOX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FMILX	GTLOX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.94%	5.06%	+0.88%
Volatility (6M) Calculated over the trailing 6-month period	11.97%	11.72%	+0.25%
Volatility (1Y) Calculated over the trailing 1-year period	15.54%	14.85%	+0.69%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.05%	21.98%	-4.93%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.98%	20.91%	-2.93%

FMILX vs. GTLOX - Expense Ratio Comparison

FMILX has a 0.76% expense ratio, which is lower than GTLOX's 0.85% expense ratio.

Dividends

FMILX vs. GTLOX - Dividend Comparison

FMILX has not paid dividends to shareholders, while GTLOX's dividend yield for the trailing twelve months is around 14.79%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FMILX Fidelity New Millennium Fund	0.00%	0.00%	3.64%	3.87%	4.19%	8.25%	8.60%	4.72%	18.25%	7.84%	6.65%	11.99%
GTLOX Glenmede Quantitative U.S. Large Cap Core Equity Portfolio	14.79%	17.84%	25.96%	8.32%	23.58%	13.35%	9.06%	5.35%	10.53%	4.99%	1.08%	2.09%

Frequently Asked Questions

Can I hold both FMILX and GTLOX in my portfolio?

FMILX and GTLOX have a correlation of 0.78, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FMILX or GTLOX?

FMILX has higher volatility (5.94%) compared to GTLOX (5.06%). In terms of maximum drawdown, FMILX dropped -58.56% vs GTLOX's -54.09%.

Which has better risk-adjusted returns?

GTLOX currently has the higher Sharpe Ratio (2.52 vs 1.15), 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.