PBEAX vs. FLCOX
PBEAX (PGIM Jennison Value Fund) and FLCOX (Fidelity Large Cap Value Index Fund) are both Large Cap Value Equities funds. Over the past 5 years, PBEAX returned 14.47%/yr vs 11.80%/yr for FLCOX. Their 0.96 correlation means they have historically moved very closely together. PBEAX charges 1.09%/yr vs 0.04%/yr for FLCOX.
Performance
PBEAX vs. FLCOX - Performance Comparison
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Returns By Period
In the year-to-date period, PBEAX achieves a 18.04% return, which is significantly lower than FLCOX's 20.58% return.
PBEAX
- 1D
- 0.40%
- 1M
- 0.90%
- 6M
- 12.65%
- YTD
- 18.04%
- 1Y
- 30.59%
- 3Y*
- 22.34%
- 5Y*
- 14.47%
- 10Y*
- 14.11%
- ALL TIME*
- 9.93%
FLCOX
- 1D
- 0.44%
- 1M
- 1.92%
- 6M
- 14.44%
- YTD
- 20.58%
- 1Y
- 32.82%
- 3Y*
- 17.99%
- 5Y*
- 11.80%
- 10Y*
- —
- ALL TIME*
- 11.04%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
PBEAX vs. FLCOX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
PBEAX PGIM Jennison Value Fund | 18.04% | 16.38% | 27.95% | 14.54% | -8.68% | 26.72% | 2.75% | 36.07% | -10.53% | 16.31% |
FLCOX Fidelity Large Cap Value Index Fund | 20.58% | 15.90% | 14.38% | 11.48% | -7.57% | 25.09% | 2.87% | 26.54% | -8.38% | 10.90% |
Correlation
The correlation between PBEAX and FLCOX is 0.91, meaning they have usually moved in the same direction, including during past declines.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.91 |
Correlation (3Y) Balances recent behavior with more history. | 0.93 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.96 |
Correlation (All Time) Calculated using the full available price history since Jan 3, 2017 | 0.96 |
The correlation between PBEAX and FLCOX has been stable across timeframes, ranging from 0.91 to 0.96 - a consistent structural relationship.
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Return for Risk
PBEAX vs. FLCOX — Risk / Return Rank
PBEAX
FLCOX
PBEAX vs. FLCOX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for PGIM Jennison Value Fund (PBEAX) and Fidelity Large Cap Value Index Fund (FLCOX). 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.
| PBEAX | FLCOX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.25 | ||
| Sortino ratioReturn per unit of downside risk | -0.39 | ||
| Omega ratioGain probability vs. loss probability | 1.45 | 1.49 | -0.05 |
| Calmar ratioReturn relative to maximum drawdown | 3.66 | 4.59 | -0.93 |
| Martin ratioReturn relative to average drawdown | 15.38 | 19.70 | -4.32 |
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Drawdowns
PBEAX vs. FLCOX - Drawdown Comparison
The maximum PBEAX drawdown since its inception was -58.23%, which is greater than FLCOX's maximum drawdown of -38.28%. Use the drawdown chart below to compare losses from any high point for PBEAX and FLCOX.
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Drawdown Indicators
| PBEAX | FLCOX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -58.23% | -38.28% | -19.95% |
Max Drawdown (1Y)Largest decline over 1 year | -7.99% | -6.80% | -1.19% |
Max Drawdown (3Y)Largest decline over 3 years | -16.29% | -15.60% | -0.69% |
Max Drawdown (5Y)Largest decline over 5 years | -20.02% | -19.00% | -1.02% |
Max Drawdown (10Y)Largest decline over 10 years | -38.31% | — | — |
Current DrawdownCurrent decline from peak | 0.00% | -0.12% | +0.12% |
Average DrawdownAverage peak-to-trough decline | -7.94% | -4.38% | -3.56% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.90% | 1.59% | +0.31% |
Volatility
PBEAX vs. FLCOX - Volatility Comparison
PGIM Jennison Value Fund (PBEAX) and Fidelity Large Cap Value Index Fund (FLCOX) have volatilities of 3.04% and 2.91%, 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.
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Volatility by Period
| PBEAX | FLCOX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.04% | 2.91% | +0.13% |
Volatility (6M)Calculated over the trailing 6-month period | 9.29% | 8.72% | +0.57% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.73% | 11.41% | +0.32% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.13% | 14.83% | +0.30% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.50% | 17.56% | -0.06% |
PBEAX vs. FLCOX - Expense Ratio Comparison
PBEAX has a 1.09% expense ratio, which is higher than FLCOX's 0.04% expense ratio.
Dividends
PBEAX vs. FLCOX - Dividend Comparison
PBEAX's dividend yield for the trailing twelve months is around 8.57%, more than FLCOX's 0.87% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FLCOX Fidelity Large Cap Value Index Fund | 0.87% | 1.51% | 1.92% | 1.99% | 2.01% | 1.55% | 2.28% | 3.82% | 2.79% | 0.60% | 0.00% | 0.00% |
PBEAX PGIM Jennison Value Fund | 8.57% | 10.12% | 14.05% | 7.33% | 8.28% | 6.93% | 4.01% | 16.61% | 10.18% | 6.90% | 4.26% | 8.10% |
Frequently Asked Questions
With a correlation of 0.91, PBEAX and FLCOX 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.
PBEAX has higher volatility (3.04%) compared to FLCOX (2.91%). In terms of maximum drawdown, PBEAX dropped -58.23% vs FLCOX's -38.28%.
FLCOX currently has the higher Sharpe Ratio (2.75 vs 2.50), 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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