JFEAX vs. FAOSX
JFEAX (JPMorgan Developed International Value Fund Class A) and FAOSX (Fidelity Advisor Overseas Fund Class Z) are both Foreign Large Cap Equities funds. Over the past 5 years, JFEAX returned 16.57%/yr vs 2.86%/yr for FAOSX. Their 0.80 correlation means they have sometimes moved together and sometimes differently. JFEAX charges 1.00%/yr vs 1.02%/yr for FAOSX.
Performance
JFEAX vs. FAOSX - Performance Comparison
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Returns By Period
JFEAX
- 1D
- -0.56%
- 1M
- 4.68%
- 6M
- 8.47%
- YTD
- 16.41%
- 1Y
- 36.81%
- 3Y*
- 25.59%
- 5Y*
- 16.57%
- 10Y*
- 11.11%
- ALL TIME*
- 7.50%
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 |
JFEAX vs. FAOSX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
JFEAX JPMorgan Developed International Value Fund Class A | 16.41% | 48.02% | 9.57% | 18.69% | -5.60% | 16.26% | -4.33% | 15.17% | -18.87% | 18.09% |
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 JFEAX and FAOSX is 0.40, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.40 |
Correlation (3Y) Balances recent behavior with more history. | 0.72 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.77 |
Correlation (All Time) Calculated using the full available price history since Feb 1, 2017 | 0.80 |
Over the past year, the correlation between JFEAX and FAOSX has dropped to 0.40 - well below their long-term average of 0.80, suggesting their price drivers have been diverging.
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Return for Risk
JFEAX vs. FAOSX — Risk / Return Rank
JFEAX
FAOSX
JFEAX vs. FAOSX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan Developed International Value Fund Class A (JFEAX) 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.
| JFEAX | FAOSX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.96 | ||
| Sortino ratioReturn per unit of downside risk | +4.02 | ||
| Omega ratioGain probability vs. loss probability | 1.48 | 0.93 | +0.54 |
| Calmar ratioReturn relative to maximum drawdown | 3.38 | -0.32 | +3.70 |
| Martin ratioReturn relative to average drawdown | 12.35 | -0.48 | +12.83 |
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Drawdowns
JFEAX vs. FAOSX - Drawdown Comparison
The maximum JFEAX drawdown since its inception was -62.44%, which is greater than FAOSX's maximum drawdown of -36.24%. Use the drawdown chart below to compare losses from any high point for JFEAX and FAOSX.
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Drawdown Indicators
| JFEAX | FAOSX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -62.44% | -36.24% | -26.20% |
Max Drawdown (1Y)Largest decline over 1 year | -11.02% | -7.26% | -3.76% |
Max Drawdown (3Y)Largest decline over 3 years | -13.64% | -13.96% | +0.32% |
Max Drawdown (5Y)Largest decline over 5 years | -27.71% | -36.24% | +8.53% |
Max Drawdown (10Y)Largest decline over 10 years | -48.74% | — | — |
Current DrawdownCurrent decline from peak | -0.56% | -5.86% | +5.30% |
Average DrawdownAverage peak-to-trough decline | -14.80% | -7.90% | -6.90% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.02% | 4.48% | -1.46% |
Volatility
JFEAX vs. FAOSX - Volatility Comparison
JPMorgan Developed International Value Fund Class A (JFEAX) has a higher volatility of 3.98% compared to Fidelity Advisor Overseas Fund Class Z (FAOSX) at 0.00%. This indicates that JFEAX'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
| JFEAX | FAOSX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.98% | 0.00% | +3.98% |
Volatility (6M)Calculated over the trailing 6-month period | 11.69% | 0.00% | +11.69% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.04% | 7.68% | +6.36% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.10% | 16.65% | -0.55% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.55% | 16.56% | +0.99% |
JFEAX vs. FAOSX - Expense Ratio Comparison
JFEAX has a 1.00% expense ratio, which is lower than FAOSX's 1.02% expense ratio.
Dividends
JFEAX vs. FAOSX - Dividend Comparison
JFEAX's dividend yield for the trailing twelve months is around 2.37%, 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% |
JFEAX JPMorgan Developed International Value Fund Class A | 2.37% | 2.76% | 4.26% | 4.94% | 3.68% | 4.79% | 2.75% | 3.96% | 4.12% | 2.14% | 5.75% | 1.11% |
Frequently Asked Questions
JFEAX and FAOSX have a correlation of 0.40, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
JFEAX has higher volatility (3.98%) compared to FAOSX (0.00%). In terms of maximum drawdown, JFEAX dropped -62.44% vs FAOSX's -36.24%.
JFEAX currently has the higher Sharpe Ratio (2.66 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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