^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 13.47%/yr vs 26.32%/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 8.69% return, which is significantly higher than FICO's -30.35% return. Over the past 10 years, ^GSPC has underperformed FICO with an annualized return of 13.47%, while FICO has yielded a comparatively higher 26.32% annualized return.
^GSPC
- 1D
- 1.18%
- 1M
- -1.84%
- YTD
- 8.69%
- 6M
- 7.74%
- 1Y
- 20.53%
- 3Y*
- 18.69%
- 5Y*
- 11.60%
- 10Y*
- 13.47%
FICO
- 1D
- -0.45%
- 1M
- -5.84%
- YTD
- -30.35%
- 6M
- -33.54%
- 1Y
- -35.17%
- 3Y*
- 13.32%
- 5Y*
- 18.56%
- 10Y*
- 26.32%
^GSPC vs. FICO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^GSPC S&P 500 Index | 8.69% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 28.88% | -6.24% | 19.42% |
FICO Fair Isaac Corporation | -30.35% | -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 0.18, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.18 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.40 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.49 |
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 0.18 - 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 | +2.34 | ||
| Sortino ratioReturn per unit of downside risk | +3.08 | ||
| Omega ratioGain probability vs. loss probability | 1.30 | 0.89 | +0.41 |
| Calmar ratioReturn relative to maximum drawdown | 2.27 | -0.69 | +2.96 |
| Martin ratioReturn relative to average drawdown | 9.90 | -1.30 | +11.20 |
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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 | -2.23% | -50.57% | +48.34% |
Average DrawdownAverage peak-to-trough decline | -10.71% | -18.07% | +7.36% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.08% | 27.08% | -25.00% |
Volatility
^GSPC vs. FICO - Volatility Comparison
The current volatility for S&P 500 Index (^GSPC) is 4.94%, while Fair Isaac Corporation (FICO) has a volatility of 13.61%. 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 | 4.94% | 13.61% | -8.67% |
Volatility (6M)Calculated over the trailing 6-month period | 9.93% | 39.61% | -29.68% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.55% | 50.79% | -38.24% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.01% | 40.88% | -23.87% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.06% | 38.11% | -20.05% |
Frequently Asked Questions
^GSPC and FICO have a correlation of 0.18, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FICO has higher volatility (13.61%) compared to ^GSPC (4.94%). In terms of maximum drawdown, ^GSPC dropped -56.78% vs FICO's -79.26%.
^GSPC currently has the higher Sharpe Ratio (1.65 vs -0.70), 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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