GIOTX vs. FAOSX
GIOTX (GMO International Developed Equity Allocation Fund) and FAOSX (Fidelity Advisor Overseas Fund Class Z) are both Foreign Large Cap Equities funds. Over the past 5 years, GIOTX returned 15.19%/yr vs 2.86%/yr for FAOSX. Their correlation of 0.84 means they have usually moved in the same direction. GIOTX charges 0.00%/yr vs 1.02%/yr for FAOSX.
Performance
GIOTX vs. FAOSX - Performance Comparison
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Returns By Period
GIOTX
- 1D
- -0.59%
- 1M
- 2.95%
- 6M
- 12.62%
- YTD
- 20.64%
- 1Y
- 40.94%
- 3Y*
- 26.35%
- 5Y*
- 15.19%
- 10Y*
- 12.13%
- ALL TIME*
- 6.50%
FAOSX
- 1D
- 0.00%
- 1M
- 0.00%
- 6M
- 0.00%
- YTD
- 0.00%
- 1Y
- -0.26%
- 3Y*
- 7.96%
- 5Y*
- 2.86%
- 10Y*
- —
- ALL TIME*
- 8.10%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
GIOTX vs. FAOSX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GIOTX GMO International Developed Equity Allocation Fund | 20.64% | 43.70% | 10.66% | 21.03% | -12.41% | 11.14% | 7.43% | 24.45% | -19.66% | 22.81% |
FAOSX Fidelity Advisor Overseas Fund Class Z | 0.00% | 15.36% | 5.06% | 20.52% | -24.31% | 19.42% | 15.17% | 27.96% | -14.73% | 26.25% |
Correlation
The correlation between GIOTX and FAOSX is 0.42, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.42 |
Correlation (3Y) Balances recent behavior with more history. | 0.74 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.80 |
Correlation (All Time) Calculated using the full available price history since Feb 1, 2017 | 0.84 |
Over the past year, the correlation between GIOTX and FAOSX has dropped to 0.42 - well below their long-term average of 0.84, suggesting their price drivers have been diverging.
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Return for Risk
GIOTX vs. FAOSX — Risk / Return Rank
GIOTX
FAOSX
GIOTX vs. FAOSX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO International Developed Equity Allocation Fund (GIOTX) and Fidelity Advisor Overseas Fund Class Z (FAOSX). 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.
| GIOTX | FAOSX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.87 | ||
| Sortino ratioReturn per unit of downside risk | +3.89 | ||
| Omega ratioGain probability vs. loss probability | 1.46 | 0.93 | +0.53 |
| Calmar ratioReturn relative to maximum drawdown | 3.89 | -0.32 | +4.21 |
| Martin ratioReturn relative to average drawdown | 15.11 | -0.48 | +15.59 |
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Drawdowns
GIOTX vs. FAOSX - Drawdown Comparison
The maximum GIOTX drawdown since its inception was -56.51%, which is greater than FAOSX's maximum drawdown of -36.24%. Use the drawdown chart below to compare losses from any high point for GIOTX and FAOSX.
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Drawdown Indicators
| GIOTX | FAOSX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.51% | -36.24% | -20.27% |
Max Drawdown (1Y)Largest decline over 1 year | -10.66% | -7.26% | -3.40% |
Max Drawdown (3Y)Largest decline over 3 years | -13.40% | -13.96% | +0.56% |
Max Drawdown (5Y)Largest decline over 5 years | -28.34% | -36.24% | +7.90% |
Max Drawdown (10Y)Largest decline over 10 years | -39.29% | — | — |
Current DrawdownCurrent decline from peak | -0.59% | -5.86% | +5.27% |
Average DrawdownAverage peak-to-trough decline | -14.13% | -7.90% | -6.23% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.74% | 4.48% | -1.74% |
Volatility
GIOTX vs. FAOSX - Volatility Comparison
GMO International Developed Equity Allocation Fund (GIOTX) has a higher volatility of 5.03% compared to Fidelity Advisor Overseas Fund Class Z (FAOSX) at 0.00%. This indicates that GIOTX's price experiences larger fluctuations and is considered to be riskier than FAOSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GIOTX | FAOSX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.03% | 0.00% | +5.03% |
Volatility (6M)Calculated over the trailing 6-month period | 13.48% | 0.00% | +13.48% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.21% | 7.68% | +8.53% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.55% | 16.65% | -1.10% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.18% | 16.56% | -0.38% |
GIOTX vs. FAOSX - Expense Ratio Comparison
GIOTX has a 0.00% expense ratio, which is lower than FAOSX's 1.02% expense ratio.
Dividends
GIOTX vs. FAOSX - Dividend Comparison
GIOTX's dividend yield for the trailing twelve months is around 8.44%, less than FAOSX's 8.67% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FAOSX Fidelity Advisor Overseas Fund Class Z | 8.67% | 8.67% | 1.80% | 1.12% | 0.85% | 2.07% | 0.00% | 1.70% | 5.30% | 3.93% | 0.00% | 0.00% |
GIOTX GMO International Developed Equity Allocation Fund | 8.44% | 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
GIOTX and FAOSX have a correlation of 0.42, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GIOTX has higher volatility (5.03%) compared to FAOSX (0.00%). In terms of maximum drawdown, GIOTX dropped -56.51% vs FAOSX's -36.24%.
GIOTX currently has the higher Sharpe Ratio (2.56 vs -0.30), 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.
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