FQAL vs. PRCOX
Compare and contrast key facts about Fidelity Quality Factor ETF (FQAL) and T. Rowe Price U.S. Equity Research Fund (PRCOX).
FQAL is a passively managed fund by Fidelity that tracks the performance of the Fidelity U.S. Quality Factor Index. It was launched on Sep 12, 2016. PRCOX is managed by T. Rowe Price. It was launched on Nov 30, 1994.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FQAL or PRCOX.
Performance
FQAL vs. PRCOX - Performance Comparison
Returns By Period
In the year-to-date period, FQAL achieves a 24.35% return, which is significantly lower than PRCOX's 27.29% return.
FQAL
24.35%
1.33%
14.20%
30.15%
14.61%
N/A
PRCOX
27.29%
1.70%
13.12%
33.49%
15.55%
10.39%
Key characteristics
| FQAL | PRCOX | |
|---|---|---|
| Sharpe Ratio | 2.59 | 2.72 |
| Sortino Ratio | 3.54 | 3.61 |
| Omega Ratio | 1.48 | 1.50 |
| Calmar Ratio | 4.28 | 3.84 |
| Martin Ratio | 16.80 | 17.48 |
| Ulcer Index | 1.82% | 1.95% |
| Daily Std Dev | 11.81% | 12.55% |
| Max Drawdown | -33.71% | -58.69% |
| Current Drawdown | -0.84% | -0.87% |
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FQAL vs. PRCOX - Expense Ratio Comparison
FQAL has a 0.29% expense ratio, which is lower than PRCOX's 0.42% expense ratio.
Correlation
The correlation between FQAL and PRCOX is 0.96, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Risk-Adjusted Performance
FQAL vs. PRCOX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Fidelity Quality Factor ETF (FQAL) 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.
Dividends
FQAL vs. PRCOX - Dividend Comparison
FQAL's dividend yield for the trailing twelve months is around 1.07%, more than PRCOX's 0.92% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FQAL Fidelity Quality Factor ETF | 1.07% | 1.35% | 1.52% | 1.17% | 1.46% | 1.55% | 1.73% | 1.53% | 0.43% | 0.00% | 0.00% | 0.00% |
PRCOX T. Rowe Price U.S. Equity Research Fund | 0.92% | 1.17% | 0.88% | 0.69% | 0.87% | 0.55% | 1.23% | 1.07% | 1.24% | 1.64% | 1.12% | 0.92% |
Drawdowns
FQAL vs. PRCOX - Drawdown Comparison
The maximum FQAL drawdown since its inception was -33.71%, smaller than the maximum PRCOX drawdown of -58.69%. Use the drawdown chart below to compare losses from any high point for FQAL and PRCOX. For additional features, visit the drawdowns tool.
Volatility
FQAL vs. PRCOX - Volatility Comparison
The current volatility for Fidelity Quality Factor ETF (FQAL) is 3.74%, while T. Rowe Price U.S. Equity Research Fund (PRCOX) has a volatility of 4.02%. This indicates that FQAL experiences smaller price fluctuations and is considered to be less risky than PRCOX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.