FUMIX vs. MRFOX

Last updated Jun 4, 2026

FUMIX (Fidelity SAI U.S. Momentum Index Fund) and MRFOX (Marshfield Concentrated Opportunity Fund) are both Large Cap Growth Equities funds. Over the past 5 years, FUMIX returned 17.10%/yr vs 10.92%/yr for MRFOX. A 0.67 correlation means they provide meaningful diversification when combined. FUMIX charges 0.11%/yr vs 1.05%/yr for MRFOX.

Performance

FUMIX vs. MRFOX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity SAI U.S. Momentum Index Fund (FUMIX) and Marshfield Concentrated Opportunity Fund (MRFOX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FUMIX achieves a 26.12% return, which is significantly higher than MRFOX's -0.99% return.

FUMIX

• 1D: 1.48%
• 1M: 12.10%
• YTD: 26.12%
• 6M: 26.26%
• 1Y: 33.30%
• 3Y*: 32.20%
• 5Y*: 17.10%
• 10Y*: —

MRFOX

• 1D: -0.41%
• 1M: -1.68%
• YTD: -0.99%
• 6M: -1.78%
• 1Y: 4.44%
• 3Y*: 13.82%
• 5Y*: 10.92%
• 10Y*: 15.41%

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

FUMIX vs. MRFOX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FUMIX Fidelity SAI U.S. Momentum Index Fund	26.12%	17.01%	33.39%	14.67%	-15.79%	22.56%	29.92%	24.16%	-1.41%	22.71%
MRFOX Marshfield Concentrated Opportunity Fund	-0.99%	10.05%	17.10%	17.68%	5.06%	17.71%	15.19%	36.26%	1.89%	19.14%

Correlation

The correlation between FUMIX and MRFOX is 0.31, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.31
Correlation (3Y) Calculated over the trailing 3-year period	0.50
Correlation (5Y) Calculated over the trailing 5-year period	0.63
Correlation (All Time) Calculated using the full available price history since Feb 10, 2017	0.67

Over the past year, the correlation between FUMIX and MRFOX has dropped to 0.31 - well below their long-term average of 0.67, suggesting their price drivers have been diverging.

Return for Risk

FUMIX vs. MRFOX — Risk / Return Rank

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

FUMIX

FUMIX Risk / Return Rank: 55
FUMIX Sharpe Ratio Rank: 46
FUMIX Sortino Ratio Rank: 44
FUMIX Omega Ratio Rank: 45
FUMIX Calmar Ratio Rank: 65
FUMIX Martin Ratio Rank: 74

MRFOX

MRFOX Risk / Return Rank: 6
MRFOX Sharpe Ratio Rank: 6
MRFOX Sortino Ratio Rank: 6
MRFOX Omega Ratio Rank: 5
MRFOX Calmar Ratio Rank: 7
MRFOX Martin Ratio Rank: 7

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.

FUMIX vs. MRFOX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity SAI U.S. Momentum Index Fund (FUMIX) and Marshfield Concentrated Opportunity Fund (MRFOX). 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.

	FUMIX	MRFOX	Difference
Sharpe ratio: Return per unit of total volatility	1.99	0.48	+1.51
Sortino ratio: Return per unit of downside risk	2.79	0.76	+2.03
Omega ratio: Gain probability vs. loss probability	1.36	1.09	+0.27
Calmar ratio: Return relative to maximum drawdown	3.10	0.66	+2.44
Martin ratio: Return relative to average drawdown	14.10	1.90	+12.20
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FUMIX vs. MRFOX - Sharpe Ratio Comparison

The current FUMIX Sharpe Ratio is 1.99, which is higher than the MRFOX Sharpe Ratio of 0.48. The chart below compares the historical Sharpe Ratios of FUMIX and MRFOX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	FUMIX	MRFOX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.99	0.48	+1.51
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.81	0.91	-0.10
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	1.09	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.81	1.06	-0.25

Drawdowns

FUMIX vs. MRFOX - Drawdown Comparison

The maximum FUMIX drawdown since its inception was -33.36%, which is greater than MRFOX's maximum drawdown of -29.10%. Use the drawdown chart below to compare losses from any high point for FUMIX and MRFOX.

Drawdown Indicators

	FUMIX	MRFOX	Difference
Max Drawdown Largest peak-to-trough decline	-33.36%	-29.10%	-4.26%
Max Drawdown (1Y) Largest decline over 1 year	-10.99%	-7.03%	-3.96%
Max Drawdown (3Y) Largest decline over 3 years	-19.90%	-7.91%	-11.99%
Max Drawdown (5Y) Largest decline over 5 years	-27.66%	-12.98%	-14.68%
Max Drawdown (10Y) Largest decline over 10 years	—	-29.10%	—
Current Drawdown Current decline from peak	0.00%	-3.39%	+3.39%
Average Drawdown Average peak-to-trough decline	-6.32%	-2.37%	-3.95%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.41%	2.44%	-0.03%

Volatility

FUMIX vs. MRFOX - Volatility Comparison

Fidelity SAI U.S. Momentum Index Fund (FUMIX) has a higher volatility of 6.51% compared to Marshfield Concentrated Opportunity Fund (MRFOX) at 2.49%. This indicates that FUMIX's price experiences larger fluctuations and is considered to be riskier than MRFOX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FUMIX	MRFOX	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.51%	2.49%	+4.02%
Volatility (6M) Calculated over the trailing 6-month period	14.70%	6.94%	+7.76%
Volatility (1Y) Calculated over the trailing 1-year period	17.12%	9.77%	+7.35%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.17%	12.06%	+9.11%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.77%	14.26%	+7.51%

FUMIX vs. MRFOX - Expense Ratio Comparison

FUMIX has a 0.11% expense ratio, which is lower than MRFOX's 1.05% expense ratio.

Dividends

FUMIX vs. MRFOX - Dividend Comparison

FUMIX's dividend yield for the trailing twelve months is around 2.20%, more than MRFOX's 1.64% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
FUMIX Fidelity SAI U.S. Momentum Index Fund	2.20%	2.77%	5.89%	18.09%	2.10%	20.67%	8.68%	2.09%	3.84%	0.88%	0.00%
MRFOX Marshfield Concentrated Opportunity Fund	1.64%	1.62%	4.59%	0.46%	0.35%	6.78%	2.68%	1.39%	1.94%	2.06%	0.60%

Frequently Asked Questions

Can I hold both FUMIX and MRFOX in my portfolio?

FUMIX and MRFOX have a correlation of 0.31, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FUMIX or MRFOX?

FUMIX has higher volatility (6.51%) compared to MRFOX (2.49%). In terms of maximum drawdown, FUMIX dropped -33.36% vs MRFOX's -29.10%.

Which has better risk-adjusted returns?

FUMIX currently has the higher Sharpe Ratio (1.99 vs 0.48), 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.