HFRO vs. FRGAX

Last updated Jun 6, 2026

HFRO (Highland Funds I - Highland Opportunities and Income Fund) and FRGAX (Fidelity 70% Allocation Fund) are both Diversified Portfolio funds. Over the past 3 years, HFRO returned -1.69%/yr vs 16.26%/yr for FRGAX. At a 0.36 correlation, their price movements are largely independent. HFRO charges 0.02%/yr vs 0.02%/yr for FRGAX.

Performance

HFRO vs. FRGAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Highland Funds I - Highland Opportunities and Income Fund (HFRO) and Fidelity 70% Allocation Fund (FRGAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, HFRO achieves a 15.62% return, which is significantly higher than FRGAX's 9.05% return.

HFRO

• 1D: -0.45%
• 1M: 9.44%
• YTD: 15.62%
• 6M: 14.26%
• 1Y: 40.25%
• 3Y*: -1.69%
• 5Y*: -3.00%
• 10Y*: —

FRGAX

• 1D: 0.29%
• 1M: 1.72%
• YTD: 9.05%
• 6M: 9.30%
• 1Y: 22.09%
• 3Y*: 16.26%
• 5Y*: —
• 10Y*: —

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

HFRO vs. FRGAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
HFRO Highland Funds I - Highland Opportunities and Income Fund	15.62%	25.08%	-27.17%	-16.97%	-9.07%
FRGAX Fidelity 70% Allocation Fund	9.05%	17.10%	12.91%	17.57%	-1.63%

Correlation

The correlation between HFRO and FRGAX 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	0.34
Correlation (All Time) Calculated using the full available price history since Nov 23, 2022	0.36

Return for Risk

HFRO vs. FRGAX — Risk / Return Rank

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

HFRO

HFRO Risk / Return Rank: 43
HFRO Sharpe Ratio Rank: 47
HFRO Sortino Ratio Rank: 43
HFRO Omega Ratio Rank: 47
HFRO Calmar Ratio Rank: 48
HFRO Martin Ratio Rank: 28

FRGAX

FRGAX Risk / Return Rank: 73
FRGAX Sharpe Ratio Rank: 74
FRGAX Sortino Ratio Rank: 72
FRGAX Omega Ratio Rank: 70
FRGAX Calmar Ratio Rank: 71
FRGAX Martin Ratio Rank: 78

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.

HFRO vs. FRGAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Highland Funds I - Highland Opportunities and Income Fund (HFRO) and Fidelity 70% Allocation Fund (FRGAX). 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.

	HFRO	FRGAX	Difference
Sharpe ratio: Return per unit of total volatility	1.96	2.43	-0.47
Sortino ratio: Return per unit of downside risk	2.65	3.45	-0.79
Omega ratio: Gain probability vs. loss probability	1.36	1.45	-0.09
Calmar ratio: Return relative to maximum drawdown	2.57	3.12	-0.56
Martin ratio: Return relative to average drawdown	6.22	13.96	-7.74
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

HFRO vs. FRGAX - Sharpe Ratio Comparison

The current HFRO Sharpe Ratio is 1.96, which is comparable to the FRGAX Sharpe Ratio of 2.43. The chart below compares the historical Sharpe Ratios of HFRO and FRGAX, 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

	HFRO	FRGAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.96	2.43	-0.47
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.13	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	-0.07	1.53	-1.59

Drawdowns

HFRO vs. FRGAX - Drawdown Comparison

The maximum HFRO drawdown since its inception was -52.79%, which is greater than FRGAX's maximum drawdown of -11.77%. Use the drawdown chart below to compare losses from any high point for HFRO and FRGAX.

Drawdown Indicators

	HFRO	FRGAX	Difference
Max Drawdown Largest peak-to-trough decline	-52.79%	-11.77%	-41.02%
Max Drawdown (1Y) Largest decline over 1 year	-15.74%	-7.03%	-8.71%
Max Drawdown (3Y) Largest decline over 3 years	-43.68%	-11.77%	-31.91%
Max Drawdown (5Y) Largest decline over 5 years	-52.79%	—	—
Current Drawdown Current decline from peak	-22.37%	-0.29%	-22.08%
Average Drawdown Average peak-to-trough decline	-20.68%	-1.58%	-19.10%
Ulcer Index Depth and duration of drawdowns from previous peaks	6.49%	1.57%	+4.92%

Volatility

HFRO vs. FRGAX - Volatility Comparison

Highland Funds I - Highland Opportunities and Income Fund (HFRO) has a higher volatility of 6.32% compared to Fidelity 70% Allocation Fund (FRGAX) at 2.73%. This indicates that HFRO's price experiences larger fluctuations and is considered to be riskier than FRGAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	HFRO	FRGAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.32%	2.73%	+3.59%
Volatility (6M) Calculated over the trailing 6-month period	14.57%	7.20%	+7.37%
Volatility (1Y) Calculated over the trailing 1-year period	20.62%	9.05%	+11.57%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	23.78%	10.31%	+13.47%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.49%	10.31%	+12.18%

HFRO vs. FRGAX - Expense Ratio Comparison

HFRO has a 0.02% expense ratio, which is lower than FRGAX's 0.02% 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

HFRO vs. FRGAX - Dividend Comparison

HFRO's dividend yield for the trailing twelve months is around 6.90%, more than FRGAX's 1.84% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017
FRGAX Fidelity 70% Allocation Fund	1.84%	2.00%	2.01%	1.77%	1.71%	0.00%	0.00%	0.00%	0.00%	0.00%
HFRO Highland Funds I - Highland Opportunities and Income Fund	6.90%	7.73%	8.90%	12.02%	8.97%	8.41%	8.99%	7.43%	7.22%	0.99%

Frequently Asked Questions

Can I hold both HFRO and FRGAX in my portfolio?

HFRO and FRGAX 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, HFRO or FRGAX?

HFRO has higher volatility (6.32%) compared to FRGAX (2.73%). In terms of maximum drawdown, HFRO dropped -52.79% vs FRGAX's -11.77%.

Which has better risk-adjusted returns?

FRGAX currently has the higher Sharpe Ratio (2.43 vs 1.96), 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.