FITLX vs. PRCOX

Last updated Jun 24, 2026

FITLX (Fidelity U.S. Sustainability Index Fund) and PRCOX (T. Rowe Price U.S. Equity Research Fund) are both Large Cap Blend Equities funds. FITLX is passively managed, while PRCOX is actively managed. Over the past 5 years, FITLX returned 13.51%/yr vs 14.15%/yr for PRCOX. With a 0.97 correlation, they move nearly in lockstep. FITLX charges 0.11%/yr vs 0.42%/yr for PRCOX.

Performance

FITLX vs. PRCOX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity U.S. Sustainability Index Fund (FITLX) and T. Rowe Price U.S. Equity Research Fund (PRCOX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FITLX achieves a 8.80% return, which is significantly lower than PRCOX's 10.53% return.

FITLX

• 1D: -0.54%
• 1M: -0.09%
• YTD: 8.80%
• 6M: 7.56%
• 1Y: 26.05%
• 3Y*: 21.42%
• 5Y*: 13.51%
• 10Y*: —

PRCOX

• 1D: -0.34%
• 1M: 0.43%
• YTD: 10.53%
• 6M: 9.44%
• 1Y: 25.75%
• 3Y*: 22.04%
• 5Y*: 14.15%
• 10Y*: 16.42%

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

FITLX vs. PRCOX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FITLX Fidelity U.S. Sustainability Index Fund	8.80%	18.77%	23.59%	29.04%	-20.28%	31.55%	18.69%	31.54%	-3.32%	13.07%
PRCOX T. Rowe Price U.S. Equity Research Fund	10.53%	16.34%	26.41%	29.82%	-18.80%	28.06%	19.82%	33.04%	-4.73%	13.20%

Correlation

The correlation between FITLX and PRCOX is 0.93, 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	0.93
Correlation (3Y) Calculated over the trailing 3-year period	0.95
Correlation (5Y) Calculated over the trailing 5-year period	0.97
Correlation (All Time) Calculated using the full available price history since May 9, 2017	0.97

The correlation between FITLX and PRCOX has been stable across timeframes, ranging from 0.93 to 0.97 - a consistent structural relationship.

Return for Risk

FITLX vs. PRCOX — Risk / Return Rank

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

FITLX

FITLX Risk / Return Rank: 53
FITLX Sharpe Ratio Rank: 58
FITLX Sortino Ratio Rank: 54
FITLX Omega Ratio Rank: 54
FITLX Calmar Ratio Rank: 46
FITLX Martin Ratio Rank: 56

PRCOX

PRCOX Risk / Return Rank: 64
PRCOX Sharpe Ratio Rank: 64
PRCOX Sortino Ratio Rank: 59
PRCOX Omega Ratio Rank: 58
PRCOX Calmar Ratio Rank: 63
PRCOX Martin Ratio Rank: 75

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.

FITLX vs. PRCOX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity U.S. Sustainability Index Fund (FITLX) and T. Rowe Price U.S. Equity Research Fund (PRCOX). 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.

	FITLX	PRCOX	Difference
Sharpe ratio: Return per unit of total volatility	2.07	2.15	-0.08
Sortino ratio: Return per unit of downside risk	2.84	2.95	-0.11
Omega ratio: Gain probability vs. loss probability	1.37	1.39	-0.01
Calmar ratio: Return relative to maximum drawdown	2.48	2.92	-0.44
Martin ratio: Return relative to average drawdown	10.60	13.20	-2.60

FITLX vs. PRCOX - Sharpe Ratio Comparison

The current FITLX Sharpe Ratio is 2.07, which is comparable to the PRCOX Sharpe Ratio of 2.15. The chart below compares the historical Sharpe Ratios of FITLX and PRCOX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

FITLX vs. PRCOX - Drawdown Comparison

The maximum FITLX drawdown since its inception was -34.35%, smaller than the maximum PRCOX drawdown of -53.96%. Use the drawdown chart below to compare losses from any high point for FITLX and PRCOX.

Drawdown Indicators

	FITLX	PRCOX	Difference
Max Drawdown Largest peak-to-trough decline	-34.35%	-53.96%	+19.61%
Max Drawdown (1Y) Largest decline over 1 year	-11.15%	-9.32%	-1.83%
Max Drawdown (3Y) Largest decline over 3 years	-19.99%	-19.39%	-0.60%
Max Drawdown (5Y) Largest decline over 5 years	-26.91%	-24.94%	-1.97%
Max Drawdown (10Y) Largest decline over 10 years	—	-34.42%	—
Current Drawdown Current decline from peak	-1.95%	-1.38%	-0.57%
Average Drawdown Average peak-to-trough decline	-5.05%	-9.17%	+4.12%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.60%	2.05%	+0.55%

Volatility

FITLX vs. PRCOX - Volatility Comparison

Fidelity U.S. Sustainability Index Fund (FITLX) and T. Rowe Price U.S. Equity Research Fund (PRCOX) have volatilities of 5.00% and 4.93%, 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

	FITLX	PRCOX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.00%	4.93%	+0.07%
Volatility (6M) Calculated over the trailing 6-month period	10.67%	10.32%	+0.35%
Volatility (1Y) Calculated over the trailing 1-year period	13.38%	12.67%	+0.71%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.68%	17.45%	+0.23%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	19.11%	18.41%	+0.70%

FITLX vs. PRCOX - Expense Ratio Comparison

FITLX has a 0.11% expense ratio, which is lower than PRCOX's 0.42% expense ratio.

Dividends

FITLX vs. PRCOX - Dividend Comparison

FITLX's dividend yield for the trailing twelve months is around 1.02%, less than PRCOX's 1.06% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FITLX Fidelity U.S. Sustainability Index Fund	1.02%	1.11%	1.29%	1.12%	1.49%	0.99%	1.01%	1.41%	1.58%	0.76%	0.00%	0.00%
PRCOX T. Rowe Price U.S. Equity Research Fund	1.06%	1.17%	0.64%	1.17%	1.28%	3.71%	1.04%	1.39%	5.60%	7.02%	7.28%	8.76%

Frequently Asked Questions

Can I hold both FITLX and PRCOX in my portfolio?

With a correlation of 0.93, FITLX and PRCOX 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, FITLX or PRCOX?

FITLX has higher volatility (5.00%) compared to PRCOX (4.93%). In terms of maximum drawdown, FITLX dropped -34.35% vs PRCOX's -53.96%.

Which has better risk-adjusted returns?

PRCOX currently has the higher Sharpe Ratio (2.15 vs 2.07), 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.