GIOTX vs. FHLFX

Last updated Jun 4, 2026

GIOTX (GMO International Developed Equity Allocation Fund) and FHLFX (Fidelity Series International Index Fund) are both Foreign Large Cap Equities funds. Over the past 5 years, GIOTX returned 14.01%/yr vs 8.85%/yr for FHLFX. With a 0.95 correlation, they move nearly in lockstep. GIOTX charges 0.00%/yr vs 0.01%/yr for FHLFX.

Performance

GIOTX vs. FHLFX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO International Developed Equity Allocation Fund (GIOTX) and Fidelity Series International Index Fund (FHLFX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GIOTX achieves a 18.85% return, which is significantly higher than FHLFX's 9.53% return.

GIOTX

• 1D: 0.93%
• 1M: 5.92%
• YTD: 18.85%
• 6M: 21.98%
• 1Y: 42.44%
• 3Y*: 28.42%
• 5Y*: 14.01%
• 10Y*: 11.95%

FHLFX

• 1D: 0.42%
• 1M: 4.09%
• YTD: 9.53%
• 6M: 12.09%
• 1Y: 22.51%
• 3Y*: 17.18%
• 5Y*: 8.85%
• 10Y*: —

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

GIOTX vs. FHLFX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
GIOTX GMO International Developed Equity Allocation Fund	18.85%	43.70%	10.66%	21.03%	-12.41%	11.14%	7.43%	24.45%	-13.17%
FHLFX Fidelity Series International Index Fund	9.53%	31.96%	3.67%	18.16%	-14.17%	11.23%	8.09%	21.66%	-10.70%

Correlation

The correlation between GIOTX and FHLFX is 0.95 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.95
Correlation (3Y) Calculated over the trailing 3-year period	0.94
Correlation (5Y) Calculated over the trailing 5-year period	0.95
Correlation (All Time) Calculated using the full available price history since Sep 5, 2018	0.95

The correlation between GIOTX and FHLFX has been stable across timeframes, ranging from 0.94 to 0.95 - a consistent structural relationship.

Return for Risk

GIOTX vs. FHLFX — Risk / Return Rank

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

GIOTX

GIOTX Risk / Return Rank: 81
GIOTX Sharpe Ratio Rank: 84
GIOTX Sortino Ratio Rank: 79
GIOTX Omega Ratio Rank: 76
GIOTX Calmar Ratio Rank: 83
GIOTX Martin Ratio Rank: 81

FHLFX

FHLFX Risk / Return Rank: 27
FHLFX Sharpe Ratio Rank: 26
FHLFX Sortino Ratio Rank: 26
FHLFX Omega Ratio Rank: 26
FHLFX Calmar Ratio Rank: 26
FHLFX Martin Ratio Rank: 31

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.

GIOTX vs. FHLFX - Risk-Adjusted Trends Comparison

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

	GIOTX	FHLFX	Difference
Sharpe ratio: Return per unit of total volatility	2.72	1.47	+1.25
Sortino ratio: Return per unit of downside risk	3.75	2.10	+1.65
Omega ratio: Gain probability vs. loss probability	1.49	1.27	+0.23
Calmar ratio: Return relative to maximum drawdown	3.88	1.91	+1.97
Martin ratio: Return relative to average drawdown	15.30	7.17	+8.13
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

GIOTX vs. FHLFX - Sharpe Ratio Comparison

The current GIOTX Sharpe Ratio is 2.72, which is higher than the FHLFX Sharpe Ratio of 1.47. The chart below compares the historical Sharpe Ratios of GIOTX and FHLFX, 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

	GIOTX	FHLFX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.72	1.47	+1.25
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.92	0.56	+0.36
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.73	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.34	0.53	-0.19

Drawdowns

GIOTX vs. FHLFX - Drawdown Comparison

The maximum GIOTX drawdown since its inception was -56.51%, which is greater than FHLFX's maximum drawdown of -33.58%. Use the drawdown chart below to compare losses from any high point for GIOTX and FHLFX.

Drawdown Indicators

	GIOTX	FHLFX	Difference
Max Drawdown Largest peak-to-trough decline	-56.51%	-33.58%	-22.93%
Max Drawdown (1Y) Largest decline over 1 year	-10.66%	-11.37%	+0.71%
Max Drawdown (3Y) Largest decline over 3 years	-13.40%	-13.62%	+0.22%
Max Drawdown (5Y) Largest decline over 5 years	-29.68%	-29.36%	-0.32%
Max Drawdown (10Y) Largest decline over 10 years	-39.29%	—	—
Current Drawdown Current decline from peak	0.00%	-0.42%	+0.42%
Average Drawdown Average peak-to-trough decline	-14.24%	-6.11%	-8.13%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.70%	3.03%	-0.33%

Volatility

GIOTX vs. FHLFX - Volatility Comparison

GMO International Developed Equity Allocation Fund (GIOTX) and Fidelity Series International Index Fund (FHLFX) have volatilities of 4.54% and 4.64%, 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.

Volatility by Period

	GIOTX	FHLFX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.54%	4.64%	-0.10%
Volatility (6M) Calculated over the trailing 6-month period	12.00%	12.08%	-0.08%
Volatility (1Y) Calculated over the trailing 1-year period	15.24%	14.83%	+0.41%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.39%	15.98%	-0.59%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.34%	17.64%	-1.30%

GIOTX vs. FHLFX - Expense Ratio Comparison

GIOTX has a 0.00% expense ratio, which is lower than FHLFX's 0.01% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

GIOTX vs. FHLFX - Dividend Comparison

GIOTX's dividend yield for the trailing twelve months is around 6.77%, more than FHLFX's 3.16% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FHLFX Fidelity Series International Index Fund	3.16%	3.46%	2.98%	2.86%	2.60%	2.47%	1.92%	1.95%	0.62%	0.00%	0.00%	0.00%
GIOTX GMO International Developed Equity Allocation Fund	6.77%	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 GIOTX and FHLFX in my portfolio?

With a correlation of 0.95, GIOTX and FHLFX 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, GIOTX or FHLFX?

FHLFX has higher volatility (4.64%) compared to GIOTX (4.54%). In terms of maximum drawdown, GIOTX dropped -56.51% vs FHLFX's -33.58%.

Which has better risk-adjusted returns?

GIOTX currently has the higher Sharpe Ratio (2.72 vs 1.47), 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.