In this article, we study a method to compare queueing systems and their fluid limits. For a certain class of queueing systems, it is shown that the expected workload (and certain functions of the workload) is higher in the queueing system than in the fluid approximation. This class is characterized by convexity of the value function in the state component(s) where external arrivals occur. The main example that we consider is a tandem of multiserver queues with general service times and Markov-modulated arrivals. The analysis is based on dynamic programming and the use of phase-type distributions. Numerical examples to illustrate the results are also given.