HESGX vs. FLCPX

Last updated Jun 24, 2026

HESGX (Horizon ESG Defensive Core Fund) and FLCPX (Fidelity SAI U.S. Large Cap Index Fund) are both Large Cap Blend Equities funds. Over the past 5 years, HESGX returned 9.80%/yr vs 13.62%/yr for FLCPX. With a 0.97 correlation, they move nearly in lockstep. HESGX charges 1.02%/yr vs 0.02%/yr for FLCPX.

Performance

HESGX vs. FLCPX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Horizon ESG Defensive Core Fund (HESGX) and Fidelity SAI U.S. Large Cap Index Fund (FLCPX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, HESGX achieves a 6.11% return, which is significantly lower than FLCPX's 9.81% return.

HESGX

• 1D: -0.65%
• 1M: -1.38%
• YTD: 6.11%
• 6M: 5.15%
• 1Y: 22.25%
• 3Y*: 16.43%
• 5Y*: 9.80%
• 10Y*: —

FLCPX

• 1D: -0.37%
• 1M: 0.10%
• YTD: 9.81%
• 6M: 8.81%
• 1Y: 25.50%
• 3Y*: 21.42%
• 5Y*: 13.62%
• 10Y*: 15.80%

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

HESGX vs. FLCPX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
HESGX Horizon ESG Defensive Core Fund	6.11%	9.56%	22.41%	23.52%	-18.83%	27.45%	21.75%	-0.24%
FLCPX Fidelity SAI U.S. Large Cap Index Fund	9.81%	17.84%	25.08%	26.25%	-18.06%	28.61%	18.24%	-0.23%

Correlation

The correlation between HESGX and FLCPX is 0.99 - 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	0.99
Correlation (3Y) Calculated over the trailing 3-year period	0.96
Correlation (5Y) Calculated over the trailing 5-year period	0.97
Correlation (All Time) Calculated using the full available price history since Dec 27, 2019	0.97

The correlation between HESGX and FLCPX has been stable across timeframes, ranging from 0.96 to 0.99 - a consistent structural relationship.

Return for Risk

HESGX vs. FLCPX — Risk / Return Rank

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

HESGX

HESGX Risk / Return Rank: 49
HESGX Sharpe Ratio Rank: 48
HESGX Sortino Ratio Rank: 45
HESGX Omega Ratio Rank: 47
HESGX Calmar Ratio Rank: 47
HESGX Martin Ratio Rank: 57

FLCPX

FLCPX Risk / Return Rank: 66
FLCPX Sharpe Ratio Rank: 64
FLCPX Sortino Ratio Rank: 58
FLCPX Omega Ratio Rank: 59
FLCPX Calmar Ratio Rank: 68
FLCPX Martin Ratio Rank: 79

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.

HESGX vs. FLCPX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Horizon ESG Defensive Core Fund (HESGX) and Fidelity SAI U.S. Large Cap Index Fund (FLCPX). 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.

	HESGX	FLCPX	Difference
Sharpe ratio: Return per unit of total volatility	1.90	2.16	-0.26
Sortino ratio: Return per unit of downside risk	2.58	2.92	-0.34
Omega ratio: Gain probability vs. loss probability	1.34	1.39	-0.05
Calmar ratio: Return relative to maximum drawdown	2.50	3.03	-0.53
Martin ratio: Return relative to average drawdown	10.84	13.66	-2.82

HESGX vs. FLCPX - Sharpe Ratio Comparison

The current HESGX Sharpe Ratio is 1.90, which is comparable to the FLCPX Sharpe Ratio of 2.16. The chart below compares the historical Sharpe Ratios of HESGX and FLCPX, 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

HESGX vs. FLCPX - Drawdown Comparison

The maximum HESGX drawdown since its inception was -24.43%, smaller than the maximum FLCPX drawdown of -33.87%. Use the drawdown chart below to compare losses from any high point for HESGX and FLCPX.

Drawdown Indicators

	HESGX	FLCPX	Difference
Max Drawdown Largest peak-to-trough decline	-24.43%	-33.87%	+9.44%
Max Drawdown (1Y) Largest decline over 1 year	-9.42%	-8.89%	-0.53%
Max Drawdown (3Y) Largest decline over 3 years	-18.79%	-18.76%	-0.03%
Max Drawdown (5Y) Largest decline over 5 years	-22.08%	-24.40%	+2.32%
Max Drawdown (10Y) Largest decline over 10 years	—	-33.87%	—
Current Drawdown Current decline from peak	-2.96%	-1.71%	-1.25%
Average Drawdown Average peak-to-trough decline	-6.06%	-4.17%	-1.89%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.17%	1.97%	+0.20%

Volatility

HESGX vs. FLCPX - Volatility Comparison

Horizon ESG Defensive Core Fund (HESGX) and Fidelity SAI U.S. Large Cap Index Fund (FLCPX) have volatilities of 4.50% and 4.67%, 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

	HESGX	FLCPX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.50%	4.67%	-0.17%
Volatility (6M) Calculated over the trailing 6-month period	9.69%	9.90%	-0.21%
Volatility (1Y) Calculated over the trailing 1-year period	12.46%	12.51%	-0.05%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.65%	17.16%	-2.51%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.24%	18.21%	-1.97%

HESGX vs. FLCPX - Expense Ratio Comparison

HESGX has a 1.02% expense ratio, which is higher than FLCPX's 0.02% expense ratio.

Dividends

HESGX vs. FLCPX - Dividend Comparison

HESGX's dividend yield for the trailing twelve months is around 15.72%, more than FLCPX's 0.51% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
FLCPX Fidelity SAI U.S. Large Cap Index Fund	0.51%	0.56%	6.11%	7.05%	11.23%	10.38%	3.93%	1.74%	2.18%	1.57%	0.76%
HESGX Horizon ESG Defensive Core Fund	15.72%	16.68%	0.29%	0.61%	0.52%	2.51%	2.75%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both HESGX and FLCPX in my portfolio?

With a correlation of 0.99, HESGX and FLCPX 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, HESGX or FLCPX?

FLCPX has higher volatility (4.67%) compared to HESGX (4.50%). In terms of maximum drawdown, HESGX dropped -24.43% vs FLCPX's -33.87%.

Which has better risk-adjusted returns?

FLCPX currently has the higher Sharpe Ratio (2.16 vs 1.90), 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.