^GSPC vs. FICO
^GSPC (S&P 500 Index) is an index, while FICO (Fair Isaac Corporation) is a stock. Over the past 10 years, ^GSPC returned 13.09%/yr vs 26.66%/yr for FICO. At a 0.44 correlation, their price movements are largely independent.
Performance
^GSPC vs. FICO - Performance Comparison
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Returns By Period
In the year-to-date period, ^GSPC achieves a 8.73% return, which is significantly higher than FICO's -25.24% return. Over the past 10 years, ^GSPC has underperformed FICO with an annualized return of 13.09%, while FICO has yielded a comparatively higher 26.66% annualized return.
^GSPC
- 1D
- -0.19%
- 1M
- -0.76%
- 6M
- 7.25%
- YTD
- 8.73%
- 1Y
- 18.21%
- 3Y*
- 17.95%
- 5Y*
- 11.30%
- 10Y*
- 13.09%
- ALL TIME*
- 8.08%
FICO
- 1D
- 0.53%
- 1M
- 15.26%
- 6M
- -19.36%
- YTD
- -25.24%
- 1Y
- -18.02%
- 3Y*
- 14.38%
- 5Y*
- 18.50%
- 10Y*
- 26.66%
- ALL TIME*
- 20.55%
^GSPC vs. FICO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^GSPC S&P 500 Index | 8.73% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 28.88% | -6.24% | 19.42% |
FICO Fair Isaac Corporation | -25.24% | -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 0.16, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.16 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.39 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.48 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.54 |
Correlation (All Time) Calculated using the full available price history since Feb 25, 1992 | 0.44 |
Over the past year, the correlation between ^GSPC and FICO has dropped to 0.16 - well below their long-term average of 0.44, suggesting their price drivers have been diverging.
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Return for Risk
^GSPC vs. FICO — Risk / Return Rank
^GSPC
FICO
^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.
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.
| ^GSPC | FICO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.81 | ||
| Sortino ratioReturn per unit of downside risk | +2.23 | ||
| Omega ratioGain probability vs. loss probability | 1.26 | 0.97 | +0.29 |
| Calmar ratioReturn relative to maximum drawdown | 2.01 | -0.36 | +2.37 |
| Martin ratioReturn relative to average drawdown | 8.68 | -0.68 | +9.36 |
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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.
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Drawdown Indicators
| ^GSPC | FICO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.78% | -79.26% | +22.48% |
Max Drawdown (1Y)Largest decline over 1 year | -9.10% | -50.93% | +41.83% |
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 DrawdownCurrent decline from peak | -2.19% | -46.95% | +44.76% |
Average DrawdownAverage peak-to-trough decline | -10.70% | -18.12% | +7.42% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.10% | 26.42% | -24.32% |
Volatility
^GSPC vs. FICO - Volatility Comparison
The current volatility for S&P 500 Index (^GSPC) is 3.13%, while Fair Isaac Corporation (FICO) has a volatility of 11.12%. 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.
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Volatility by Period
| ^GSPC | FICO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.13% | 11.12% | -7.99% |
Volatility (6M)Calculated over the trailing 6-month period | 10.04% | 39.98% | -29.94% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.62% | 50.30% | -37.68% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.98% | 41.04% | -24.06% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.06% | 38.21% | -20.15% |
Frequently Asked Questions
^GSPC and FICO have a correlation of 0.16, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FICO has higher volatility (11.12%) compared to ^GSPC (3.13%). In terms of maximum drawdown, ^GSPC dropped -56.78% vs FICO's -79.26%.
^GSPC currently has the higher Sharpe Ratio (1.45 vs -0.36), 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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