FLCOX vs. QNZNX

Last updated Jun 26, 2026

FLCOX (Fidelity Large Cap Value Index Fund) and QNZNX (AQR Trend Total Return Fund) are both mutual funds - FLCOX is a Large Cap Value Equities fund tracking the Russell 1000 Value Index, while QNZNX is a Systematic Trend fund actively managed by AQR Funds. FLCOX is passively managed, while QNZNX is actively managed. Over the past 3 years, FLCOX returned 18.65%/yr vs 28.61%/yr for QNZNX. A 0.50 correlation means they provide meaningful diversification when combined. FLCOX charges 0.04%/yr vs 1.52%/yr for QNZNX.

Performance

FLCOX vs. QNZNX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity Large Cap Value Index Fund (FLCOX) and AQR Trend Total Return Fund (QNZNX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FLCOX achieves a 15.46% return, which is significantly higher than QNZNX's 11.60% return.

FLCOX

• 1D: 0.04%
• 1M: 1.49%
• YTD: 15.46%
• 6M: 14.24%
• 1Y: 28.16%
• 3Y*: 18.65%
• 5Y*: 10.92%
• 10Y*: —

QNZNX

• 1D: -1.43%
• 1M: -4.08%
• YTD: 11.60%
• 6M: 11.33%
• 1Y: 30.59%
• 3Y*: 28.61%
• 5Y*: —
• 10Y*: —

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

FLCOX vs. QNZNX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
FLCOX Fidelity Large Cap Value Index Fund	15.46%	15.90%	14.38%	11.48%	-4.72%
QNZNX AQR Trend Total Return Fund	11.60%	22.88%	34.96%	22.73%	1.37%

Correlation

The correlation between FLCOX and QNZNX is 0.42, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.42
Correlation (3Y) Calculated over the trailing 3-year period	0.45
Correlation (All Time) Calculated using the full available price history since Mar 17, 2022	0.50

The correlation between FLCOX and QNZNX has been stable across timeframes, ranging from 0.42 to 0.50 - a consistent structural relationship.

Return for Risk

FLCOX vs. QNZNX — Risk / Return Rank

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

FLCOX

FLCOX Risk / Return Rank: 86
FLCOX Sharpe Ratio Rank: 86
FLCOX Sortino Ratio Rank: 84
FLCOX Omega Ratio Rank: 80
FLCOX Calmar Ratio Rank: 90
FLCOX Martin Ratio Rank: 93

QNZNX

QNZNX Risk / Return Rank: 91
QNZNX Sharpe Ratio Rank: 94
QNZNX Sortino Ratio Rank: 86
QNZNX Omega Ratio Rank: 85
QNZNX Calmar Ratio Rank: 96
QNZNX Martin Ratio Rank: 97

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.

FLCOX vs. QNZNX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Large Cap Value Index Fund (FLCOX) and AQR Trend Total Return Fund (QNZNX). 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.

	FLCOX	QNZNX	Difference
Sharpe ratio: Return per unit of total volatility	2.44	2.79	-0.34
Sortino ratio: Return per unit of downside risk	3.43	3.59	-0.16
Omega ratio: Gain probability vs. loss probability	1.44	1.49	-0.06
Calmar ratio: Return relative to maximum drawdown	4.05	5.33	-1.28
Martin ratio: Return relative to average drawdown	16.84	21.75	-4.90

FLCOX vs. QNZNX - Sharpe Ratio Comparison

The current FLCOX Sharpe Ratio is 2.44, which is comparable to the QNZNX Sharpe Ratio of 2.79. The chart below compares the historical Sharpe Ratios of FLCOX and QNZNX, 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

FLCOX vs. QNZNX - Drawdown Comparison

The maximum FLCOX drawdown since its inception was -38.28%, which is greater than QNZNX's maximum drawdown of -18.38%. Use the drawdown chart below to compare losses from any high point for FLCOX and QNZNX.

Drawdown Indicators

	FLCOX	QNZNX	Difference
Max Drawdown Largest peak-to-trough decline	-38.28%	-18.38%	-19.90%
Max Drawdown (1Y) Largest decline over 1 year	-6.80%	-5.89%	-0.91%
Max Drawdown (3Y) Largest decline over 3 years	-15.60%	-13.48%	-2.12%
Max Drawdown (5Y) Largest decline over 5 years	-19.00%	—	—
Current Drawdown Current decline from peak	-1.12%	-5.89%	+4.77%
Average Drawdown Average peak-to-trough decline	-4.43%	-2.78%	-1.65%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.63%	1.44%	+0.19%

Volatility

FLCOX vs. QNZNX - Volatility Comparison

Fidelity Large Cap Value Index Fund (FLCOX) and AQR Trend Total Return Fund (QNZNX) have volatilities of 4.14% and 4.07%, 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

	FLCOX	QNZNX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.14%	4.07%	+0.07%
Volatility (6M) Calculated over the trailing 6-month period	8.73%	7.85%	+0.88%
Volatility (1Y) Calculated over the trailing 1-year period	11.29%	11.27%	+0.02%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.87%	12.11%	+2.76%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.62%	12.11%	+5.51%

FLCOX vs. QNZNX - Expense Ratio Comparison

FLCOX has a 0.04% expense ratio, which is lower than QNZNX's 1.52% expense ratio.

Dividends

FLCOX vs. QNZNX - Dividend Comparison

FLCOX's dividend yield for the trailing twelve months is around 1.31%, more than QNZNX's 0.77% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017
FLCOX Fidelity Large Cap Value Index Fund	1.31%	1.51%	1.92%	1.99%	2.01%	1.55%	2.28%	3.82%	2.79%	0.60%
QNZNX AQR Trend Total Return Fund	0.77%	0.86%	16.46%	23.14%	2.04%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both FLCOX and QNZNX in my portfolio?

FLCOX and QNZNX have a correlation of 0.42, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FLCOX or QNZNX?

FLCOX has higher volatility (4.14%) compared to QNZNX (4.07%). In terms of maximum drawdown, FLCOX dropped -38.28% vs QNZNX's -18.38%.

Which has better risk-adjusted returns?

QNZNX currently has the higher Sharpe Ratio (2.79 vs 2.44), 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.