FEX vs. PRBLX
FEX (First Trust Large Cap Core AlphaDEX Fund) and PRBLX (Parnassus Core Equity Fund Investor Shares) are both Large Cap Blend Equities funds. FEX is passively managed, while PRBLX is actively managed. Over the past 10 years, FEX returned 12.74%/yr vs 13.60%/yr for PRBLX. Their correlation of 0.86 suggests significant overlap in exposure. FEX charges 0.57%/yr vs 0.81%/yr for PRBLX.
Performance
FEX vs. PRBLX - Performance Comparison
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Returns By Period
In the year-to-date period, FEX achieves a 15.08% return, which is significantly higher than PRBLX's 9.39% return. Over the past 10 years, FEX has underperformed PRBLX with an annualized return of 12.74%, while PRBLX has yielded a comparatively higher 13.60% annualized return.
FEX
- 1D
- 0.05%
- 1M
- -1.35%
- 6M
- 10.52%
- YTD
- 15.08%
- 1Y
- 24.50%
- 3Y*
- 17.96%
- 5Y*
- 11.34%
- 10Y*
- 12.74%
PRBLX
- 1D
- 0.61%
- 1M
- 2.02%
- 6M
- 6.66%
- YTD
- 9.39%
- 1Y
- 13.15%
- 3Y*
- 15.64%
- 5Y*
- 10.17%
- 10Y*
- 13.60%
FEX vs. PRBLX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FEX First Trust Large Cap Core AlphaDEX Fund | 15.08% | 15.05% | 17.07% | 14.31% | -11.86% | 26.83% | 14.28% | 26.93% | -9.89% | 21.41% |
PRBLX Parnassus Core Equity Fund Investor Shares | 9.39% | 11.67% | 18.58% | 24.97% | -18.64% | 27.59% | 21.21% | 30.68% | -0.30% | 16.63% |
Correlation
The correlation between FEX and PRBLX is 0.77, 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 | 0.77 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.81 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.85 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.87 |
Correlation (All Time) Calculated using the full available price history since May 10, 2007 | 0.86 |
The correlation between FEX and PRBLX has been stable across timeframes, ranging from 0.77 to 0.87 - a consistent structural relationship.
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Return for Risk
FEX vs. PRBLX — Risk / Return Rank
FEX
PRBLX
FEX vs. PRBLX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Large Cap Core AlphaDEX Fund (FEX) and Parnassus Core Equity Fund Investor Shares (PRBLX). 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.
| FEX | PRBLX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.78 | ||
| Sortino ratioReturn per unit of downside risk | +1.05 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 1.19 | +0.13 |
| Calmar ratioReturn relative to maximum drawdown | 3.95 | 1.16 | +2.78 |
| Martin ratioReturn relative to average drawdown | 13.68 | 4.50 | +9.18 |
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Drawdowns
FEX vs. PRBLX - Drawdown Comparison
The maximum FEX drawdown since its inception was -58.81%, which is greater than PRBLX's maximum drawdown of -42.20%. Use the drawdown chart below to compare losses from any high point for FEX and PRBLX.
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Drawdown Indicators
| FEX | PRBLX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -58.81% | -42.20% | -16.61% |
Max Drawdown (1Y)Largest decline over 1 year | -6.23% | -11.63% | +5.40% |
Max Drawdown (3Y)Largest decline over 3 years | -19.58% | -16.31% | -3.27% |
Max Drawdown (5Y)Largest decline over 5 years | -21.27% | -26.31% | +5.04% |
Max Drawdown (10Y)Largest decline over 10 years | -39.51% | -30.09% | -9.42% |
Current DrawdownCurrent decline from peak | -2.83% | -0.21% | -2.62% |
Average DrawdownAverage peak-to-trough decline | -7.85% | -4.03% | -3.82% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.80% | 2.99% | -1.19% |
Volatility
FEX vs. PRBLX - Volatility Comparison
The current volatility for First Trust Large Cap Core AlphaDEX Fund (FEX) is 3.70%, while Parnassus Core Equity Fund Investor Shares (PRBLX) has a volatility of 4.21%. This indicates that FEX experiences smaller price fluctuations and is considered to be less risky than PRBLX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FEX | PRBLX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.70% | 4.21% | -0.51% |
Volatility (6M)Calculated over the trailing 6-month period | 10.08% | 10.22% | -0.14% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.28% | 12.58% | +0.70% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.58% | 16.38% | +0.20% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.56% | 17.26% | +1.30% |
FEX vs. PRBLX - Expense Ratio Comparison
FEX has a 0.57% expense ratio, which is lower than PRBLX's 0.81% expense ratio.
Dividends
FEX vs. PRBLX - Dividend Comparison
FEX's dividend yield for the trailing twelve months is around 0.95%, less than PRBLX's 17.40% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FEX First Trust Large Cap Core AlphaDEX Fund | 0.95% | 1.10% | 1.18% | 1.38% | 1.61% | 0.80% | 1.21% | 1.32% | 1.34% | 1.07% | 1.29% | 1.33% |
PRBLX Parnassus Core Equity Fund Investor Shares | 17.40% | 19.08% | 10.00% | 6.01% | 10.13% | 7.77% | 5.87% | 8.02% | 9.64% | 7.16% | 3.80% | 9.62% |
Frequently Asked Questions
FEX and PRBLX have a correlation of 0.77, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
PRBLX has higher volatility (4.21%) compared to FEX (3.70%). In terms of maximum drawdown, FEX dropped -58.81% vs PRBLX's -42.20%.
FEX currently has the higher Sharpe Ratio (1.85 vs 1.08), 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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