FSGEX vs. GIOTX

Last updated Aug 5, 2026

FSGEX (Fidelity Series Global ex U.S. Index Fund) and GIOTX (GMO International Developed Equity Allocation Fund) are both Foreign Large Cap Equities funds. Over the past 10 years, FSGEX returned 9.55%/yr vs 12.11%/yr for GIOTX. Their correlation of 0.94 means they have usually moved in the same direction. FSGEX charges 0.01%/yr vs 0.00%/yr for GIOTX.

Performance

FSGEX vs. GIOTX - 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 GMO International Developed Equity Allocation Fund (GIOTX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FSGEX achieves a 14.32% return, which is significantly lower than GIOTX's 21.04% return. Over the past 10 years, FSGEX has underperformed GIOTX with an annualized return of 9.55%, while GIOTX has yielded a comparatively higher 12.11% annualized return.

FSGEX

• 1D: 0.53%
• 1M: 0.92%
• 6M: 7.56%
• YTD: 14.32%
• 1Y: 28.32%
• 3Y*: 18.75%
• 5Y*: 9.06%
• 10Y*: 9.55%
• ALL TIME*: 6.79%

GIOTX

• 1D: 0.33%
• 1M: 3.29%
• 6M: 12.17%
• YTD: 21.04%
• 1Y: 39.62%
• 3Y*: 27.16%
• 5Y*: 15.06%
• 10Y*: 12.11%
• ALL TIME*: 6.51%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
FSGEX Fidelity Series Global ex U.S. Index Fund	$0.00	$0.00	$0.00
GIOTX GMO International Developed Equity Allocation Fund	$0.00	$0.00	$0.00

FSGEX vs. GIOTX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FSGEX Fidelity Series Global ex U.S. Index Fund	14.32%	32.99%	5.34%	15.56%	-15.75%	7.77%	10.75%	21.41%	-13.99%	27.47%
GIOTX GMO International Developed Equity Allocation Fund	21.04%	43.70%	10.66%	21.03%	-12.41%	11.14%	7.43%	24.45%	-19.66%	26.38%

Correlation

The correlation between FSGEX and GIOTX is 0.91, meaning they have usually moved in the same direction, including during past declines.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.91
Correlation (3Y) Balances recent behavior with more history.	0.91
Correlation (5Y) Shows whether the relationship held over a longer period.	0.92
Correlation (10Y) Provides a long-term view across more market conditions.	0.93
Correlation (All Time) Calculated using the full available price history since Oct 1, 2009	0.94

The correlation between FSGEX and GIOTX has been stable across timeframes, ranging from 0.91 to 0.94 - a consistent structural relationship.

Return for Risk

FSGEX vs. GIOTX — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

FSGEX

FSGEX Risk / Return Rank: 73
FSGEX Sharpe Ratio Rank: 74
FSGEX Sortino Ratio Rank: 69
FSGEX Omega Ratio Rank: 72
FSGEX Calmar Ratio Rank: 77
FSGEX Martin Ratio Rank: 74

GIOTX

GIOTX Risk / Return Rank: 92
GIOTX Sharpe Ratio Rank: 94
GIOTX Sortino Ratio Rank: 92
GIOTX Omega Ratio Rank: 90
GIOTX Calmar Ratio Rank: 92
GIOTX Martin Ratio Rank: 93

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

FSGEX vs. GIOTX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Series Global ex U.S. Index Fund (FSGEX) and GMO International Developed Equity Allocation Fund (GIOTX). 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.

	FSGEX	GIOTX	Difference
Sharpe ratio: Return per unit of total volatility	1.83	2.57	-0.74
Sortino ratio: Return per unit of downside risk	2.50	3.53	-1.03
Omega ratio: Gain probability vs. loss probability	1.34	1.46	-0.13
Calmar ratio: Return relative to maximum drawdown	2.67	3.90	-1.23
Martin ratio: Return relative to average drawdown	9.89	15.16	-5.27

FSGEX vs. GIOTX - Sharpe Ratio Comparison

The current FSGEX Sharpe Ratio is 1.83, which is comparable to the GIOTX Sharpe Ratio of 2.57. The chart below compares the historical Sharpe Ratios of FSGEX and GIOTX, 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

FSGEX vs. GIOTX - Drawdown Comparison

The maximum FSGEX drawdown since its inception was -34.74%, smaller than the maximum GIOTX drawdown of -56.51%. Use the drawdown chart below to compare losses from any high point for FSGEX and GIOTX.

Drawdown Indicators

	FSGEX	GIOTX	Difference
Max Drawdown Largest peak-to-trough decline	-34.74%	-56.51%	+21.77%
Max Drawdown (1Y) Largest decline over 1 year	-11.24%	-10.66%	-0.58%
Max Drawdown (3Y) Largest decline over 3 years	-13.34%	-13.40%	+0.06%
Max Drawdown (5Y) Largest decline over 5 years	-29.44%	-28.34%	-1.10%
Max Drawdown (10Y) Largest decline over 10 years	-34.74%	-39.29%	+4.55%
Current Drawdown Current decline from peak	-1.74%	-0.26%	-1.48%
Average Drawdown Average peak-to-trough decline	-8.38%	-14.13%	+5.75%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.03%	2.74%	+0.29%

Volatility

FSGEX vs. GIOTX - Volatility Comparison

Fidelity Series Global ex U.S. Index Fund (FSGEX) has a higher volatility of 5.24% compared to GMO International Developed Equity Allocation Fund (GIOTX) at 4.97%. This indicates that FSGEX's price experiences larger fluctuations and is considered to be riskier than GIOTX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FSGEX	GIOTX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.24%	4.97%	+0.27%
Volatility (6M) Calculated over the trailing 6-month period	14.47%	13.44%	+1.03%
Volatility (1Y) Calculated over the trailing 1-year period	16.40%	16.22%	+0.18%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.74%	15.55%	+0.19%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.13%	16.18%	-0.05%

FSGEX vs. GIOTX - Expense Ratio Comparison

FSGEX has a 0.01% expense ratio, which is higher than GIOTX'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%.

Dividends

FSGEX vs. GIOTX - Dividend Comparison

FSGEX's dividend yield for the trailing twelve months is around 2.64%, less than GIOTX's 8.42% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FSGEX Fidelity Series Global ex U.S. Index Fund	2.64%	3.02%	2.98%	2.90%	2.78%	2.59%	1.68%	2.10%	2.86%	2.48%	2.56%	2.61%
GIOTX GMO International Developed Equity Allocation Fund	8.42%	8.04%	5.07%	6.54%	4.45%	6.67%	4.48%	3.74%	3.90%	3.15%	4.04%	3.39%

Frequently Asked Questions

Can I hold both FSGEX and GIOTX in my portfolio?

With a correlation of 0.91, FSGEX and GIOTX 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, FSGEX or GIOTX?

FSGEX has higher volatility (5.24%) compared to GIOTX (4.97%). In terms of maximum drawdown, FSGEX dropped -34.74% vs GIOTX's -56.51%.

Which has better risk-adjusted returns?

GIOTX currently has the higher Sharpe Ratio (2.57 vs 1.83), 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.