WATFX vs. FSMOX

Last updated Jun 4, 2026

WATFX (Western Asset Core Bond Fund) and FSMOX (Fidelity SAI Investment Grade Securitized Fund) are both Intermediate Core Bond funds. Over the past 3 years, WATFX returned 3.69%/yr vs 4.20%/yr for FSMOX. With a 0.95 correlation, they move nearly in lockstep. WATFX charges 0.46%/yr vs 0.33%/yr for FSMOX.

Performance

WATFX vs. FSMOX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Western Asset Core Bond Fund (WATFX) 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, WATFX achieves a 0.02% return, which is significantly lower than FSMOX's 0.98% return.

WATFX

• 1D: 0.00%
• 1M: 0.50%
• YTD: 0.02%
• 6M: 0.02%
• 1Y: 5.58%
• 3Y*: 3.69%
• 5Y*: -0.89%
• 10Y*: 1.54%

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)

WATFX vs. FSMOX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
WATFX Western Asset Core Bond Fund	0.02%	8.01%	0.44%	2.78%
FSMOX Fidelity SAI Investment Grade Securitized Fund	0.98%	8.52%	1.45%	1.16%

Correlation

The correlation between WATFX and FSMOX is 0.95 - 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	0.95
Correlation (3Y) Calculated over the trailing 3-year period	0.95
Correlation (All Time) Calculated using the full available price history since May 18, 2023	0.95

The correlation between WATFX and FSMOX has been stable across timeframes, ranging from 0.95 to 0.95 - a consistent structural relationship.

Return for Risk

WATFX vs. FSMOX — Risk / Return Rank

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

WATFX

WATFX Risk / Return Rank: 23
WATFX Sharpe Ratio Rank: 23
WATFX Sortino Ratio Rank: 24
WATFX Omega Ratio Rank: 22
WATFX Calmar Ratio Rank: 25
WATFX Martin Ratio Rank: 21

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.

WATFX vs. FSMOX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Western Asset Core Bond Fund (WATFX) 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.

	WATFX	FSMOX	Difference
Sharpe ratio Return per unit of total volatility	1.36	1.79	-0.43
Sortino ratio Return per unit of downside risk	2.04	2.72	-0.68
Omega ratio Gain probability vs. loss probability	1.24	1.33	-0.08
Calmar ratio Return relative to maximum drawdown	1.84	2.54	-0.69
Martin ratio Return relative to average drawdown	5.47	8.25	-2.78
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

WATFX vs. FSMOX - Sharpe Ratio Comparison

The current WATFX Sharpe Ratio is 1.36, which is comparable to the FSMOX Sharpe Ratio of 1.79. The chart below compares the historical Sharpe Ratios of WATFX 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

	WATFX	FSMOX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.36	1.79	-0.43
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.13	—	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.28	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.56	0.64	-0.08

Drawdowns

WATFX vs. FSMOX - Drawdown Comparison

The maximum WATFX drawdown since its inception was -23.69%, which is greater than FSMOX's maximum drawdown of -8.65%. Use the drawdown chart below to compare losses from any high point for WATFX and FSMOX.

Drawdown Indicators

	WATFX	FSMOX	Difference
Max Drawdown Largest peak-to-trough decline	-23.69%	-8.65%	-15.04%
Max Drawdown (1Y) Largest decline over 1 year	-3.04%	-2.84%	-0.20%
Max Drawdown (3Y) Largest decline over 3 years	-8.35%	-8.47%	+0.12%
Max Drawdown (5Y) Largest decline over 5 years	-23.26%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-23.69%	—	—
Current Drawdown Current decline from peak	-7.35%	-1.16%	-6.19%
Average Drawdown Average peak-to-trough decline	-2.98%	-1.76%	-1.22%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.02%	0.87%	+0.15%

Volatility

WATFX vs. FSMOX - Volatility Comparison

Western Asset Core Bond Fund (WATFX) and Fidelity SAI Investment Grade Securitized Fund (FSMOX) have volatilities of 1.42% and 1.48%, 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

	WATFX	FSMOX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.42%	1.48%	-0.06%
Volatility (6M) Calculated over the trailing 6-month period	2.87%	2.87%	0.00%
Volatility (1Y) Calculated over the trailing 1-year period	4.13%	4.04%	+0.09%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	6.83%	6.21%	+0.62%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	5.53%	6.21%	-0.68%

WATFX vs. FSMOX - Expense Ratio Comparison

WATFX has a 0.46% expense ratio, which is higher than FSMOX's 0.33% expense ratio.

Dividends

WATFX vs. FSMOX - Dividend Comparison

WATFX's dividend yield for the trailing twelve months is around 3.93%, less 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%
WATFX Western Asset Core Bond Fund	3.93%	4.15%	4.48%	3.35%	2.39%	2.05%	3.90%	3.62%	2.92%	2.34%	2.51%	2.74%

Frequently Asked Questions

Can I hold both WATFX and FSMOX in my portfolio?

With a correlation of 0.95, WATFX and FSMOX 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, WATFX or FSMOX?

FSMOX has higher volatility (1.48%) compared to WATFX (1.42%). In terms of maximum drawdown, WATFX dropped -23.69% vs FSMOX's -8.65%.

Which has better risk-adjusted returns?

FSMOX currently has the higher Sharpe Ratio (1.79 vs 1.36), 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.