FUQIX vs. GQEFX

Last updated Aug 4, 2026

FUQIX (Fidelity SAI U.S. Quality Index Fund) and GQEFX (GMO Quality Fund Class IV) are both Quality Factor funds. Over the past 5 years, FUQIX returned 12.57%/yr vs 12.73%/yr for GQEFX. Their correlation of 0.91 means they have usually moved in the same direction. FUQIX charges 0.10%/yr vs 0.47%/yr for GQEFX.

Performance

FUQIX vs. GQEFX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity SAI U.S. Quality Index Fund (FUQIX) and GMO Quality Fund Class IV (GQEFX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FUQIX achieves a 9.27% return, which is significantly higher than GQEFX's 7.42% return.

FUQIX

• 1D: -0.08%
• 1M: -0.23%
• 6M: 8.95%
• YTD: 9.27%
• 1Y: 18.87%
• 3Y*: 19.04%
• 5Y*: 12.57%
• 10Y*: 15.95%
• ALL TIME*: 15.46%

GQEFX

• 1D: 0.82%
• 1M: 0.72%
• 6M: 4.91%
• YTD: 7.42%
• 1Y: 22.67%
• 3Y*: 16.19%
• 5Y*: 12.73%
• 10Y*: —
• ALL TIME*: 15.63%

*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)
FUQIX Fidelity SAI U.S. Quality Index Fund	$0.00	$0.00	$0.00
GQEFX GMO Quality Fund Class IV	$0.00	$0.00	$0.00

FUQIX vs. GQEFX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FUQIX Fidelity SAI U.S. Quality Index Fund	9.27%	16.76%	24.32%	29.63%	-18.09%	28.28%	20.67%	34.66%	-3.39%	12.88%
GQEFX GMO Quality Fund Class IV	7.42%	19.64%	17.54%	28.95%	-15.30%	31.76%	18.39%	31.87%	0.54%	10.45%

Correlation

The correlation between FUQIX and GQEFX is 0.89, 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.	0.89
Correlation (3Y) Balances recent behavior with more history.	0.87
Correlation (5Y) Shows whether the relationship held over a longer period.	0.91
Correlation (All Time) Calculated using the full available price history since Jun 12, 2017	0.91

The correlation between FUQIX and GQEFX has been stable across timeframes, ranging from 0.87 to 0.91 - a consistent structural relationship.

Return for Risk

FUQIX vs. GQEFX — Risk / Return Rank

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

FUQIX

FUQIX Risk / Return Rank: 36
FUQIX Sharpe Ratio Rank: 40
FUQIX Sortino Ratio Rank: 39
FUQIX Omega Ratio Rank: 37
FUQIX Calmar Ratio Rank: 29
FUQIX Martin Ratio Rank: 35

GQEFX

GQEFX Risk / Return Rank: 52
GQEFX Sharpe Ratio Rank: 65
GQEFX Sortino Ratio Rank: 62
GQEFX Omega Ratio Rank: 55
GQEFX Calmar Ratio Rank: 37
GQEFX Martin Ratio Rank: 42

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.

FUQIX vs. GQEFX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity SAI U.S. Quality Index Fund (FUQIX) and GMO Quality Fund Class IV (GQEFX). 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.

	FUQIX	GQEFX	Difference
Sharpe ratio: Return per unit of total volatility	1.30	1.66	-0.37
Sortino ratio: Return per unit of downside risk	1.86	2.34	-0.48
Omega ratio: Gain probability vs. loss probability	1.23	1.29	-0.06
Calmar ratio: Return relative to maximum drawdown	1.40	1.67	-0.27
Martin ratio: Return relative to average drawdown	5.57	6.61	-1.04

FUQIX vs. GQEFX - Sharpe Ratio Comparison

The current FUQIX Sharpe Ratio is 1.30, which is comparable to the GQEFX Sharpe Ratio of 1.66. The chart below compares the historical Sharpe Ratios of FUQIX and GQEFX, 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

FUQIX vs. GQEFX - Drawdown Comparison

The maximum FUQIX drawdown since its inception was -31.19%, roughly equal to the maximum GQEFX drawdown of -30.42%. Use the drawdown chart below to compare losses from any high point for FUQIX and GQEFX.

Drawdown Indicators

	FUQIX	GQEFX	Difference
Max Drawdown Largest peak-to-trough decline	-31.19%	-30.42%	-0.77%
Max Drawdown (1Y) Largest decline over 1 year	-12.31%	-12.74%	+0.43%
Max Drawdown (3Y) Largest decline over 3 years	-17.86%	-15.55%	-2.31%
Max Drawdown (5Y) Largest decline over 5 years	-24.96%	-24.22%	-0.74%
Max Drawdown (10Y) Largest decline over 10 years	-31.19%	—	—
Current Drawdown Current decline from peak	-1.17%	0.00%	-1.17%
Average Drawdown Average peak-to-trough decline	-4.21%	-4.11%	-0.10%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.08%	3.22%	-0.14%

Volatility

FUQIX vs. GQEFX - Volatility Comparison

The current volatility for Fidelity SAI U.S. Quality Index Fund (FUQIX) is 2.99%, while GMO Quality Fund Class IV (GQEFX) has a volatility of 3.21%. This indicates that FUQIX experiences smaller price fluctuations and is considered to be less risky than GQEFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FUQIX	GQEFX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.99%	3.21%	-0.22%
Volatility (6M) Calculated over the trailing 6-month period	10.44%	10.18%	+0.26%
Volatility (1Y) Calculated over the trailing 1-year period	13.29%	12.82%	+0.47%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.18%	15.94%	+1.24%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.25%	17.69%	+0.56%

FUQIX vs. GQEFX - Expense Ratio Comparison

FUQIX has a 0.10% expense ratio, which is lower than GQEFX's 0.47% expense ratio.

Dividends

FUQIX vs. GQEFX - Dividend Comparison

FUQIX's dividend yield for the trailing twelve months is around 3.32%, less than GQEFX's 11.16% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FUQIX Fidelity SAI U.S. Quality Index Fund	3.32%	3.63%	12.80%	2.38%	1.42%	8.55%	9.46%	13.68%	2.41%	3.79%	1.57%	0.29%
GQEFX GMO Quality Fund Class IV	11.16%	11.15%	3.70%	3.43%	11.84%	10.23%	13.62%	8.09%	21.69%	7.08%	0.00%	0.00%

Frequently Asked Questions

Can I hold both FUQIX and GQEFX in my portfolio?

FUQIX and GQEFX have a correlation of 0.89, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FUQIX or GQEFX?

GQEFX has higher volatility (3.21%) compared to FUQIX (2.99%). In terms of maximum drawdown, FUQIX dropped -31.19% vs GQEFX's -30.42%.

Which has better risk-adjusted returns?

GQEFX currently has the higher Sharpe Ratio (1.66 vs 1.30), 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.