SIEPX vs. FAOSX
SIEPX (Saratoga International Equity Portfolio) and FAOSX (Fidelity Advisor Overseas Fund Class Z) are both Foreign Large Cap Equities funds. Over the past 5 years, SIEPX returned 7.45%/yr vs 3.43%/yr for FAOSX. Their correlation of 0.82 suggests significant overlap in exposure. SIEPX charges 2.47%/yr vs 1.02%/yr for FAOSX.
Performance
SIEPX vs. FAOSX - Performance Comparison
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Returns By Period
SIEPX
- 1D
- -0.30%
- 1M
- -0.65%
- YTD
- 12.76%
- 6M
- 12.23%
- 1Y
- 23.37%
- 3Y*
- 19.19%
- 5Y*
- 7.45%
- 10Y*
- 7.71%
FAOSX
- 1D
- 0.00%
- 1M
- 0.00%
- YTD
- 0.00%
- 6M
- 0.00%
- 1Y
- -1.58%
- 3Y*
- 9.26%
- 5Y*
- 3.43%
- 10Y*
- —
SIEPX vs. FAOSX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SIEPX Saratoga International Equity Portfolio | 12.76% | 31.89% | 5.25% | 14.80% | -21.85% | 19.33% | 5.87% | 19.77% | -23.89% | 14.94% |
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 SIEPX and FAOSX is 0.51, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.51 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.76 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.81 |
Correlation (All Time) Calculated using the full available price history since Feb 1, 2017 | 0.82 |
Over the past year, the correlation between SIEPX and FAOSX has dropped to 0.51 - well below their long-term average of 0.82, suggesting their price drivers have been diverging.
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Return for Risk
SIEPX vs. FAOSX — Risk / Return Rank
SIEPX
FAOSX
SIEPX vs. FAOSX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Saratoga International Equity Portfolio (SIEPX) 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.
| SIEPX | FAOSX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.73 | ||
| Sortino ratioReturn per unit of downside risk | +2.37 | ||
| Omega ratioGain probability vs. loss probability | 1.28 | 0.95 | +0.32 |
| Calmar ratioReturn relative to maximum drawdown | 2.02 | -0.30 | +2.32 |
| Martin ratioReturn relative to average drawdown | 7.46 | -0.49 | +7.95 |
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Drawdowns
SIEPX vs. FAOSX - Drawdown Comparison
The maximum SIEPX drawdown since its inception was -62.81%, which is greater than FAOSX's maximum drawdown of -36.24%. Use the drawdown chart below to compare losses from any high point for SIEPX and FAOSX.
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Drawdown Indicators
| SIEPX | FAOSX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -62.81% | -36.24% | -26.57% |
Max Drawdown (1Y)Largest decline over 1 year | -11.41% | -7.26% | -4.15% |
Max Drawdown (3Y)Largest decline over 3 years | -15.63% | -13.96% | -1.67% |
Max Drawdown (5Y)Largest decline over 5 years | -35.31% | -36.24% | +0.93% |
Max Drawdown (10Y)Largest decline over 10 years | -46.47% | — | — |
Current DrawdownCurrent decline from peak | -2.61% | -5.86% | +3.25% |
Average DrawdownAverage peak-to-trough decline | -24.00% | -7.92% | -16.08% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.08% | 4.17% | -1.09% |
Volatility
SIEPX vs. FAOSX - Volatility Comparison
Saratoga International Equity Portfolio (SIEPX) has a higher volatility of 6.08% compared to Fidelity Advisor Overseas Fund Class Z (FAOSX) at 0.00%. This indicates that SIEPX'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
| SIEPX | FAOSX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.08% | 0.00% | +6.08% |
Volatility (6M)Calculated over the trailing 6-month period | 13.29% | 3.51% | +9.78% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.63% | 8.70% | +6.93% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.58% | 16.70% | -0.12% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.44% | 16.63% | +0.81% |
SIEPX vs. FAOSX - Expense Ratio Comparison
SIEPX has a 2.47% expense ratio, which is higher than FAOSX's 1.02% expense ratio.
Dividends
SIEPX vs. FAOSX - Dividend Comparison
SIEPX has not paid dividends to shareholders, while FAOSX's dividend yield for the trailing twelve months is around 8.67%.
| 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% |
SIEPX Saratoga International Equity Portfolio | 0.00% | 0.00% | 0.71% | 0.83% | 0.31% | 0.41% | 1.79% | 1.97% | 0.58% | 0.03% | 0.63% | 0.15% |
Frequently Asked Questions
SIEPX and FAOSX have a correlation of 0.51, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SIEPX has higher volatility (6.08%) compared to FAOSX (0.00%). In terms of maximum drawdown, SIEPX dropped -62.81% vs FAOSX's -36.24%.
SIEPX currently has the higher Sharpe Ratio (1.48 vs -0.25), 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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