FLCOX vs. VWNEX

Last updated Jun 4, 2026

FLCOX (Fidelity Large Cap Value Index Fund) and VWNEX (Vanguard Windsor Fund Admiral Shares) are both Large Cap Value Equities funds. Over the past 5 years, FLCOX returned 10.45%/yr vs 9.32%/yr for VWNEX. With a 0.96 correlation, they move nearly in lockstep. FLCOX charges 0.04%/yr vs 0.20%/yr for VWNEX.

Performance

FLCOX vs. VWNEX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity Large Cap Value Index Fund (FLCOX) and Vanguard Windsor Fund Admiral Shares (VWNEX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FLCOX achieves a 14.25% return, which is significantly higher than VWNEX's 7.41% return.

FLCOX

• 1D: 0.77%
• 1M: 4.28%
• YTD: 14.25%
• 6M: 14.85%
• 1Y: 28.31%
• 3Y*: 18.60%
• 5Y*: 10.45%
• 10Y*: —

VWNEX

• 1D: 0.16%
• 1M: 3.35%
• YTD: 7.41%
• 6M: 8.93%
• 1Y: 21.54%
• 3Y*: 14.32%
• 5Y*: 9.32%
• 10Y*: 11.87%

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

FLCOX vs. VWNEX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FLCOX Fidelity Large Cap Value Index Fund	14.25%	15.90%	14.38%	11.48%	-7.57%	25.09%	2.87%	26.54%	-8.38%	10.90%
VWNEX Vanguard Windsor Fund Admiral Shares	7.41%	13.40%	9.64%	15.11%	-3.05%	27.92%	7.45%	30.53%	-12.39%	16.99%

Correlation

The correlation between FLCOX and VWNEX is 0.91, 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	0.91
Correlation (3Y) Calculated over the trailing 3-year period	0.94
Correlation (5Y) Calculated over the trailing 5-year period	0.96
Correlation (All Time) Calculated using the full available price history since Jan 4, 2017	0.96

The correlation between FLCOX and VWNEX has been stable across timeframes, ranging from 0.91 to 0.96 - a consistent structural relationship.

Return for Risk

FLCOX vs. VWNEX — Risk / Return Rank

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

FLCOX

FLCOX Risk / Return Rank: 83
FLCOX Sharpe Ratio Rank: 84
FLCOX Sortino Ratio Rank: 81
FLCOX Omega Ratio Rank: 74
FLCOX Calmar Ratio Rank: 88
FLCOX Martin Ratio Rank: 90

VWNEX

VWNEX Risk / Return Rank: 45
VWNEX Sharpe Ratio Rank: 40
VWNEX Sortino Ratio Rank: 41
VWNEX Omega Ratio Rank: 39
VWNEX Calmar Ratio Rank: 56
VWNEX Martin Ratio Rank: 49

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. VWNEX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Large Cap Value Index Fund (FLCOX) and Vanguard Windsor Fund Admiral Shares (VWNEX). 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.

	FLCOX	VWNEX	Difference
Sharpe ratio: Return per unit of total volatility	2.70	1.85	+0.86
Sortino ratio: Return per unit of downside risk	3.82	2.68	+1.15
Omega ratio: Gain probability vs. loss probability	1.49	1.33	+0.16
Calmar ratio: Return relative to maximum drawdown	4.29	2.87	+1.42
Martin ratio: Return relative to average drawdown	18.04	10.17	+7.86
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FLCOX vs. VWNEX - Sharpe Ratio Comparison

The current FLCOX Sharpe Ratio is 2.70, which is higher than the VWNEX Sharpe Ratio of 1.85. The chart below compares the historical Sharpe Ratios of FLCOX and VWNEX, 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

	FLCOX	VWNEX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.70	1.85	+0.86
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.71	0.54	+0.17
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.61	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.60	0.42	+0.18

Drawdowns

FLCOX vs. VWNEX - Drawdown Comparison

The maximum FLCOX drawdown since its inception was -38.28%, smaller than the maximum VWNEX drawdown of -61.41%. Use the drawdown chart below to compare losses from any high point for FLCOX and VWNEX.

Drawdown Indicators

	FLCOX	VWNEX	Difference
Max Drawdown Largest peak-to-trough decline	-38.28%	-61.41%	+23.13%
Max Drawdown (1Y) Largest decline over 1 year	-6.80%	-7.89%	+1.09%
Max Drawdown (3Y) Largest decline over 3 years	-15.60%	-21.72%	+6.12%
Max Drawdown (5Y) Largest decline over 5 years	-19.00%	-21.72%	+2.72%
Max Drawdown (10Y) Largest decline over 10 years	—	-40.12%	—
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-4.45%	-9.85%	+5.40%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.62%	2.22%	-0.60%

Volatility

FLCOX vs. VWNEX - Volatility Comparison

Fidelity Large Cap Value Index Fund (FLCOX) and Vanguard Windsor Fund Admiral Shares (VWNEX) have volatilities of 3.06% and 2.92%, 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	VWNEX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.06%	2.92%	+0.14%
Volatility (6M) Calculated over the trailing 6-month period	8.14%	8.83%	-0.69%
Volatility (1Y) Calculated over the trailing 1-year period	10.80%	12.27%	-1.47%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.83%	17.32%	-2.49%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.64%	19.64%	-2.00%

FLCOX vs. VWNEX - Expense Ratio Comparison

FLCOX has a 0.04% expense ratio, which is lower than VWNEX's 0.20% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

FLCOX vs. VWNEX - Dividend Comparison

FLCOX's dividend yield for the trailing twelve months is around 1.32%, less than VWNEX's 7.35% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FLCOX Fidelity Large Cap Value Index Fund	1.32%	1.51%	1.92%	1.99%	2.01%	1.55%	2.28%	3.82%	2.79%	0.60%	0.00%	0.00%
VWNEX Vanguard Windsor Fund Admiral Shares	7.35%	7.90%	12.60%	8.34%	15.50%	11.57%	8.47%	10.36%	13.30%	3.56%	4.99%	8.62%

Frequently Asked Questions

Can I hold both FLCOX and VWNEX in my portfolio?

With a correlation of 0.91, FLCOX and VWNEX 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, FLCOX or VWNEX?

FLCOX has higher volatility (3.06%) compared to VWNEX (2.92%). In terms of maximum drawdown, FLCOX dropped -38.28% vs VWNEX's -61.41%.

Which has better risk-adjusted returns?

FLCOX currently has the higher Sharpe Ratio (2.70 vs 1.85), 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.