QNZNX vs. FLCOX

Last updated Jun 26, 2026

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

Performance

QNZNX vs. FLCOX - Performance Comparison

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

Returns By Period

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

QNZNX

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

FLCOX

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

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

QNZNX vs. FLCOX - Yearly Performance Comparison

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

Correlation

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

Return for Risk

QNZNX vs. FLCOX — Risk / Return Rank

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

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

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

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.

QNZNX vs. FLCOX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Trend Total Return Fund (QNZNX) 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.

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

QNZNX vs. FLCOX - Sharpe Ratio Comparison

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

QNZNX vs. FLCOX - Drawdown Comparison

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

Drawdown Indicators

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

Volatility

QNZNX vs. FLCOX - Volatility Comparison

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

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

QNZNX vs. FLCOX - Expense Ratio Comparison

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

Dividends

QNZNX vs. FLCOX - Dividend Comparison

QNZNX's dividend yield for the trailing twelve months is around 0.77%, less than FLCOX's 1.31% 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 QNZNX and FLCOX in my portfolio?

QNZNX and FLCOX 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, QNZNX or FLCOX?

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

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.