^GSPC vs. FICO

Last updated Jun 9, 2026

^GSPC (S&P 500 Index) is an index, while FICO (Fair Isaac Corporation) is a stock. Over the past 10 years, ^GSPC returned 13.45%/yr vs 26.67%/yr for FICO. At a 0.44 correlation, their price movements are largely independent.

Performance

^GSPC vs. FICO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 500 Index (^GSPC) and Fair Isaac Corporation (FICO). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ^GSPC achieves a 8.18% return, which is significantly higher than FICO's -28.59% return. Over the past 10 years, ^GSPC has underperformed FICO with an annualized return of 13.45%, while FICO has yielded a comparatively higher 26.67% annualized return.

^GSPC

• 1D: 0.30%
• 1M: 0.09%
• YTD: 8.18%
• 6M: 8.17%
• 1Y: 23.42%
• 3Y*: 19.88%
• 5Y*: 11.91%
• 10Y*: 13.45%

FICO

• 1D: 6.16%
• 1M: 7.22%
• YTD: -28.59%
• 6M: -31.42%
• 1Y: -31.98%
• 3Y*: 15.94%
• 5Y*: 19.71%
• 10Y*: 26.67%

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

^GSPC vs. FICO - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^GSPC S&P 500 Index	8.18%	16.39%	23.31%	24.23%	-19.44%	26.89%	16.26%	28.88%	-6.24%	19.42%
FICO Fair Isaac Corporation	-28.59%	-15.08%	71.04%	94.46%	38.03%	-15.14%	36.39%	100.36%	22.06%	28.52%

Correlation

The correlation between ^GSPC and FICO is 0.22, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.22
Correlation (3Y) Calculated over the trailing 3-year period	0.42
Correlation (5Y) Calculated over the trailing 5-year period	0.50
Correlation (10Y) Calculated over the trailing 10-year period	0.55
Correlation (All Time) Calculated using the full available price history since Feb 26, 1992	0.44

Over the past year, the correlation between ^GSPC and FICO has dropped to 0.22 - well below their long-term average of 0.44, suggesting their price drivers have been diverging.

Return for Risk

^GSPC vs. FICO — Risk / Return Rank

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

^GSPC

^GSPC Risk / Return Rank: 68
^GSPC Sharpe Ratio Rank: 63
^GSPC Sortino Ratio Rank: 65
^GSPC Omega Ratio Rank: 71
^GSPC Calmar Ratio Rank: 65
^GSPC Martin Ratio Rank: 79

FICO

FICO Risk / Return Rank: 17
FICO Sharpe Ratio Rank: 15
FICO Sortino Ratio Rank: 17
FICO Omega Ratio Rank: 16
FICO Calmar Ratio Rank: 19
FICO Martin Ratio Rank: 16

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.

^GSPC vs. FICO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 500 Index (^GSPC) and Fair Isaac Corporation (FICO). 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.

	^GSPC	FICO	Difference
Sharpe ratio: Return per unit of total volatility	1.94	-0.63	+2.57
Sortino ratio: Return per unit of downside risk	2.63	-0.69	+3.31
Omega ratio: Gain probability vs. loss probability	1.35	0.91	+0.44
Calmar ratio: Return relative to maximum drawdown	2.59	-0.62	+3.20
Martin ratio: Return relative to average drawdown	11.84	-1.18	+13.03
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^GSPC vs. FICO - Sharpe Ratio Comparison

The current ^GSPC Sharpe Ratio is 1.94, which is higher than the FICO Sharpe Ratio of -0.63. The chart below compares the historical Sharpe Ratios of ^GSPC and FICO, 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

	^GSPC	FICO	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.94	-0.63	+2.57
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.71	0.49	+0.22
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.75	0.70	+0.04
Sharpe Ratio (All Time) Calculated using the full available price history	0.47	0.49	-0.02

Drawdowns

^GSPC vs. FICO - Drawdown Comparison

The maximum ^GSPC drawdown since its inception was -56.78%, smaller than the maximum FICO drawdown of -79.26%. Use the drawdown chart below to compare losses from any high point for ^GSPC and FICO.

Drawdown Indicators

	^GSPC	FICO	Difference
Max Drawdown Largest peak-to-trough decline	-56.78%	-79.26%	+22.48%
Max Drawdown (1Y) Largest decline over 1 year	-9.10%	-52.12%	+43.02%
Max Drawdown (3Y) Largest decline over 3 years	-18.90%	-61.28%	+42.38%
Max Drawdown (5Y) Largest decline over 5 years	-25.43%	-61.28%	+35.85%
Max Drawdown (10Y) Largest decline over 10 years	-33.92%	-61.28%	+27.36%
Current Drawdown Current decline from peak	-2.68%	-49.32%	+46.64%
Average Drawdown Average peak-to-trough decline	-10.72%	-18.02%	+7.30%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.98%	27.06%	-25.08%

Volatility

^GSPC vs. FICO - Volatility Comparison

The current volatility for S&P 500 Index (^GSPC) is 3.80%, while Fair Isaac Corporation (FICO) has a volatility of 14.53%. This indicates that ^GSPC experiences smaller price fluctuations and is considered to be less risky than FICO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^GSPC	FICO	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.80%	14.53%	-10.73%
Volatility (6M) Calculated over the trailing 6-month period	9.41%	39.17%	-29.76%
Volatility (1Y) Calculated over the trailing 1-year period	12.17%	50.75%	-38.58%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.94%	40.72%	-23.78%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.09%	38.08%	-19.99%

Frequently Asked Questions

Can I hold both ^GSPC and FICO in my portfolio?

^GSPC and FICO have a correlation of 0.22, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ^GSPC or FICO?

FICO has higher volatility (14.53%) compared to ^GSPC (3.80%). In terms of maximum drawdown, ^GSPC dropped -56.78% vs FICO's -79.26%.

Which has better risk-adjusted returns?

^GSPC currently has the higher Sharpe Ratio (1.94 vs -0.63), 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.