PRCOX vs. FQAL

Last updated Jun 4, 2026

PRCOX (T. Rowe Price U.S. Equity Research Fund) and FQAL (Fidelity Quality Factor ETF) are both funds - PRCOX is a Large Cap Blend Equities fund managed by T. Rowe Price, while FQAL is a Large Cap Growth Equities fund tracking the Fidelity U.S. Quality Factor Index. Over the past 5 years, PRCOX returned 14.72%/yr vs 12.41%/yr for FQAL. With a 0.96 correlation, they move nearly in lockstep. PRCOX charges 0.42%/yr vs 0.29%/yr for FQAL.

Performance

PRCOX vs. FQAL - Performance Comparison

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

Returns By Period

In the year-to-date period, PRCOX achieves a 12.08% return, which is significantly higher than FQAL's 7.87% return.

PRCOX

• 1D: 0.28%
• 1M: 5.68%
• YTD: 12.08%
• 6M: 12.15%
• 1Y: 28.46%
• 3Y*: 23.19%
• 5Y*: 14.72%
• 10Y*: 16.17%

FQAL

• 1D: -0.51%
• 1M: 4.38%
• YTD: 7.87%
• 6M: 7.86%
• 1Y: 21.12%
• 3Y*: 20.04%
• 5Y*: 12.41%
• 10Y*: —

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

PRCOX vs. FQAL - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
PRCOX T. Rowe Price U.S. Equity Research Fund	12.08%	16.34%	26.41%	29.82%	-18.80%	28.06%	19.82%	33.04%	-4.73%	23.80%
FQAL Fidelity Quality Factor ETF	7.87%	16.93%	21.92%	24.20%	-19.70%	32.13%	16.17%	28.12%	-4.39%	23.03%

Correlation

The correlation between PRCOX and FQAL 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	0.94
Correlation (5Y) Calculated over the trailing 5-year period	0.96
Correlation (All Time) Calculated using the full available price history since Sep 16, 2016	0.96

The correlation between PRCOX and FQAL has been stable across timeframes, ranging from 0.93 to 0.96 - a consistent structural relationship.

Return for Risk

PRCOX vs. FQAL — Risk / Return Rank

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

PRCOX

PRCOX Risk / Return Rank: 69
PRCOX Sharpe Ratio Rank: 72
PRCOX Sortino Ratio Rank: 67
PRCOX Omega Ratio Rank: 63
PRCOX Calmar Ratio Rank: 67
PRCOX Martin Ratio Rank: 78

FQAL

FQAL Risk / Return Rank: 55
FQAL Sharpe Ratio Rank: 55
FQAL Sortino Ratio Rank: 56
FQAL Omega Ratio Rank: 54
FQAL Calmar Ratio Rank: 50
FQAL Martin Ratio Rank: 63

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.

PRCOX vs. FQAL - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price U.S. Equity Research Fund (PRCOX) and Fidelity Quality Factor ETF (FQAL). 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.

	PRCOX	FQAL	Difference
Sharpe ratio: Return per unit of total volatility	2.47	1.89	+0.57
Sortino ratio: Return per unit of downside risk	3.42	2.70	+0.71
Omega ratio: Gain probability vs. loss probability	1.44	1.34	+0.10
Calmar ratio: Return relative to maximum drawdown	3.16	2.52	+0.64
Martin ratio: Return relative to average drawdown	14.73	11.41	+3.32
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

PRCOX vs. FQAL - Sharpe Ratio Comparison

The current PRCOX Sharpe Ratio is 2.47, which is higher than the FQAL Sharpe Ratio of 1.89. The chart below compares the historical Sharpe Ratios of PRCOX and FQAL, 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

	PRCOX	FQAL	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.47	1.89	+0.57
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.85	0.77	+0.08
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.88	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.57	0.82	-0.25

Drawdowns

PRCOX vs. FQAL - Drawdown Comparison

The maximum PRCOX drawdown since its inception was -53.96%, which is greater than FQAL's maximum drawdown of -33.71%. Use the drawdown chart below to compare losses from any high point for PRCOX and FQAL.

Drawdown Indicators

	PRCOX	FQAL	Difference
Max Drawdown Largest peak-to-trough decline	-53.96%	-33.71%	-20.25%
Max Drawdown (1Y) Largest decline over 1 year	-9.32%	-8.43%	-0.89%
Max Drawdown (3Y) Largest decline over 3 years	-19.39%	-16.87%	-2.52%
Max Drawdown (5Y) Largest decline over 5 years	-24.94%	-25.50%	+0.56%
Max Drawdown (10Y) Largest decline over 10 years	-34.42%	—	—
Current Drawdown Current decline from peak	0.00%	-0.51%	+0.51%
Average Drawdown Average peak-to-trough decline	-9.18%	-4.59%	-4.59%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.99%	1.86%	+0.13%

Volatility

PRCOX vs. FQAL - Volatility Comparison

T. Rowe Price U.S. Equity Research Fund (PRCOX) has a higher volatility of 3.07% compared to Fidelity Quality Factor ETF (FQAL) at 2.33%. This indicates that PRCOX's price experiences larger fluctuations and is considered to be riskier than FQAL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PRCOX	FQAL	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.07%	2.33%	+0.74%
Volatility (6M) Calculated over the trailing 6-month period	9.39%	8.57%	+0.82%
Volatility (1Y) Calculated over the trailing 1-year period	11.93%	11.21%	+0.72%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.34%	16.18%	+1.16%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.35%	17.58%	+0.77%

PRCOX vs. FQAL - Expense Ratio Comparison

PRCOX has a 0.42% expense ratio, which is higher than FQAL's 0.29% expense ratio.

Dividends

PRCOX vs. FQAL - Dividend Comparison

PRCOX's dividend yield for the trailing twelve months is around 1.05%, less than FQAL's 1.12% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FQAL Fidelity Quality Factor ETF	1.12%	1.12%	1.20%	1.35%	1.52%	1.17%	1.46%	1.55%	1.73%	1.53%	0.43%	0.00%
PRCOX T. Rowe Price U.S. Equity Research Fund	1.05%	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 PRCOX and FQAL in my portfolio?

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

PRCOX has higher volatility (3.07%) compared to FQAL (2.33%). In terms of maximum drawdown, PRCOX dropped -53.96% vs FQAL's -33.71%.

Which has better risk-adjusted returns?

PRCOX currently has the higher Sharpe Ratio (2.47 vs 1.89), 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.