USGDX vs. FSMOX

Last updated Jun 4, 2026

USGDX (Morgan Stanley U.S. Government Securities Trust) and FSMOX (Fidelity SAI Investment Grade Securitized Fund) are both Intermediate Core Bond funds. Over the past 3 years, USGDX returned 2.39%/yr vs 4.20%/yr for FSMOX. Their correlation of 0.93 suggests significant overlap in exposure. USGDX charges 0.52%/yr vs 0.33%/yr for FSMOX.

Performance

USGDX vs. FSMOX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Morgan Stanley U.S. Government Securities Trust (USGDX) and Fidelity SAI Investment Grade Securitized Fund (FSMOX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, USGDX achieves a -1.50% return, which is significantly lower than FSMOX's 0.98% return.

USGDX

• 1D: 0.15%
• 1M: 0.48%
• YTD: -1.50%
• 6M: -1.95%
• 1Y: 8.87%
• 3Y*: 2.39%
• 5Y*: -1.19%
• 10Y*: 0.72%

FSMOX

• 1D: 0.00%
• 1M: 0.49%
• YTD: 0.98%
• 6M: 1.11%
• 1Y: 7.15%
• 3Y*: 4.20%
• 5Y*: —
• 10Y*: —

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

USGDX vs. FSMOX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
USGDX Morgan Stanley U.S. Government Securities Trust	-1.50%	13.54%	-6.80%	2.07%
FSMOX Fidelity SAI Investment Grade Securitized Fund	0.98%	8.52%	1.45%	1.16%

Correlation

The correlation between USGDX and FSMOX is 0.89, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.89
Correlation (3Y) Calculated over the trailing 3-year period	0.93
Correlation (All Time) Calculated using the full available price history since May 18, 2023	0.93

The correlation between USGDX and FSMOX has been stable across timeframes, ranging from 0.89 to 0.93 - a consistent structural relationship.

Return for Risk

USGDX vs. FSMOX — Risk / Return Rank

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

USGDX

USGDX Risk / Return Rank: 13
USGDX Sharpe Ratio Rank: 13
USGDX Sortino Ratio Rank: 14
USGDX Omega Ratio Rank: 13
USGDX Calmar Ratio Rank: 12
USGDX Martin Ratio Rank: 12

FSMOX

FSMOX Risk / Return Rank: 40
FSMOX Sharpe Ratio Rank: 38
FSMOX Sortino Ratio Rank: 42
FSMOX Omega Ratio Rank: 37
FSMOX Calmar Ratio Rank: 45
FSMOX Martin Ratio Rank: 38

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.

USGDX vs. FSMOX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Morgan Stanley U.S. Government Securities Trust (USGDX) and Fidelity SAI Investment Grade Securitized Fund (FSMOX). 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.

	USGDX	FSMOX	Difference
Sharpe ratio: Return per unit of total volatility	1.01	1.79	-0.77
Sortino ratio: Return per unit of downside risk	1.53	2.72	-1.19
Omega ratio: Gain probability vs. loss probability	1.18	1.33	-0.15
Calmar ratio: Return relative to maximum drawdown	1.11	2.54	-1.43
Martin ratio: Return relative to average drawdown	3.52	8.25	-4.73
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

USGDX vs. FSMOX - Sharpe Ratio Comparison

The current USGDX Sharpe Ratio is 1.01, which is lower than the FSMOX Sharpe Ratio of 1.79. The chart below compares the historical Sharpe Ratios of USGDX and FSMOX, 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

	USGDX	FSMOX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.01	1.79	-0.77
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.10	—	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.08	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.49	0.64	-0.15

Drawdowns

USGDX vs. FSMOX - Drawdown Comparison

The maximum USGDX drawdown since its inception was -30.33%, which is greater than FSMOX's maximum drawdown of -8.65%. Use the drawdown chart below to compare losses from any high point for USGDX and FSMOX.

Drawdown Indicators

	USGDX	FSMOX	Difference
Max Drawdown Largest peak-to-trough decline	-30.33%	-8.65%	-21.68%
Max Drawdown (1Y) Largest decline over 1 year	-7.88%	-2.84%	-5.04%
Max Drawdown (3Y) Largest decline over 3 years	-18.70%	-8.47%	-10.23%
Max Drawdown (5Y) Largest decline over 5 years	-29.81%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-30.33%	—	—
Current Drawdown Current decline from peak	-8.00%	-1.16%	-6.84%
Average Drawdown Average peak-to-trough decline	-3.20%	-1.76%	-1.44%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.48%	0.87%	+1.61%

Volatility

USGDX vs. FSMOX - Volatility Comparison

Morgan Stanley U.S. Government Securities Trust (USGDX) has a higher volatility of 3.45% compared to Fidelity SAI Investment Grade Securitized Fund (FSMOX) at 1.48%. This indicates that USGDX's price experiences larger fluctuations and is considered to be riskier than FSMOX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	USGDX	FSMOX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.45%	1.48%	+1.97%
Volatility (6M) Calculated over the trailing 6-month period	5.88%	2.87%	+3.01%
Volatility (1Y) Calculated over the trailing 1-year period	8.67%	4.04%	+4.63%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.15%	6.21%	+5.94%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	8.89%	6.21%	+2.68%

USGDX vs. FSMOX - Expense Ratio Comparison

USGDX has a 0.52% expense ratio, which is higher than FSMOX's 0.33% expense ratio.

Dividends

USGDX vs. FSMOX - Dividend Comparison

USGDX's dividend yield for the trailing twelve months is around 5.01%, more than FSMOX's 4.46% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FSMOX Fidelity SAI Investment Grade Securitized Fund	4.46%	4.44%	5.07%	1.21%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
USGDX Morgan Stanley U.S. Government Securities Trust	5.01%	4.73%	5.20%	3.09%	2.51%	2.18%	2.79%	3.67%	3.13%	3.11%	3.13%	2.63%

Frequently Asked Questions

Can I hold both USGDX and FSMOX in my portfolio?

USGDX and FSMOX have a correlation of 0.89, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, USGDX or FSMOX?

USGDX has higher volatility (3.45%) compared to FSMOX (1.48%). In terms of maximum drawdown, USGDX dropped -30.33% vs FSMOX's -8.65%.

Which has better risk-adjusted returns?

FSMOX currently has the higher Sharpe Ratio (1.79 vs 1.01), 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.