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FSGEX vs. FZILX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FSGEX and FZILX is 0.78, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


Performance

FSGEX vs. FZILX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity Series Global ex U.S. Index Fund (FSGEX) and Fidelity ZERO International Index Fund (FZILX). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

FSGEX:

0.88

FZILX:

0.91

Sortino Ratio

FSGEX:

1.17

FZILX:

1.21

Omega Ratio

FSGEX:

1.16

FZILX:

1.17

Calmar Ratio

FSGEX:

0.94

FZILX:

0.97

Martin Ratio

FSGEX:

2.94

FZILX:

3.03

Ulcer Index

FSGEX:

4.27%

FZILX:

4.31%

Daily Std Dev

FSGEX:

15.97%

FZILX:

16.13%

Max Drawdown

FSGEX:

-34.74%

FZILX:

-34.37%

Current Drawdown

FSGEX:

-0.55%

FZILX:

-0.54%

Returns By Period

The year-to-date returns for both investments are quite close, with FSGEX having a 14.46% return and FZILX slightly higher at 14.83%.


FSGEX

YTD

14.46%

1M

4.57%

6M

11.62%

1Y

13.98%

3Y*

9.49%

5Y*

10.34%

10Y*

5.50%

FZILX

YTD

14.83%

1M

4.75%

6M

11.85%

1Y

14.53%

3Y*

9.88%

5Y*

10.58%

10Y*

N/A

*Annualized

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FSGEX vs. FZILX - Expense Ratio Comparison

FSGEX has a 0.01% expense ratio, which is higher than FZILX's 0.00% 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%.


Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

FSGEX vs. FZILX — Risk-Adjusted Performance Rank

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

FSGEX
The Risk-Adjusted Performance Rank of FSGEX is 6767
Overall Rank
The Sharpe Ratio Rank of FSGEX is 6464
Sharpe Ratio Rank
The Sortino Ratio Rank of FSGEX is 6565
Sortino Ratio Rank
The Omega Ratio Rank of FSGEX is 6464
Omega Ratio Rank
The Calmar Ratio Rank of FSGEX is 7777
Calmar Ratio Rank
The Martin Ratio Rank of FSGEX is 6565
Martin Ratio Rank

FZILX
The Risk-Adjusted Performance Rank of FZILX is 6969
Overall Rank
The Sharpe Ratio Rank of FZILX is 6666
Sharpe Ratio Rank
The Sortino Ratio Rank of FZILX is 6767
Sortino Ratio Rank
The Omega Ratio Rank of FZILX is 6767
Omega Ratio Rank
The Calmar Ratio Rank of FZILX is 7878
Calmar Ratio Rank
The Martin Ratio Rank of FZILX is 6666
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

FSGEX vs. FZILX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Series Global ex U.S. Index Fund (FSGEX) and Fidelity ZERO International Index Fund (FZILX). 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.


The current FSGEX Sharpe Ratio is 0.88, which is comparable to the FZILX Sharpe Ratio of 0.91. The chart below compares the historical Sharpe Ratios of FSGEX and FZILX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

FSGEX vs. FZILX - Dividend Comparison

FSGEX's dividend yield for the trailing twelve months is around 2.61%, which matches FZILX's 2.61% yield.


TTM20242023202220212020201920182017201620152014
FSGEX
Fidelity Series Global ex U.S. Index Fund
2.61%2.98%2.90%2.78%2.59%1.68%2.10%2.86%2.48%2.56%2.61%3.12%
FZILX
Fidelity ZERO International Index Fund
2.61%3.00%2.98%2.71%2.61%1.64%2.83%0.66%0.00%0.00%0.00%0.00%

Drawdowns

FSGEX vs. FZILX - Drawdown Comparison

The maximum FSGEX drawdown since its inception was -34.74%, roughly equal to the maximum FZILX drawdown of -34.37%. Use the drawdown chart below to compare losses from any high point for FSGEX and FZILX.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

FSGEX vs. FZILX - Volatility Comparison

Fidelity Series Global ex U.S. Index Fund (FSGEX) and Fidelity ZERO International Index Fund (FZILX) have volatilities of 2.73% and 2.79%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


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