FDS vs. VOO
FDS (FactSet Research Systems Inc.) is a stock, while VOO (Vanguard S&P 500 ETF) is S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, FDS returned 6.28%/yr vs 14.96%/yr for VOO. Their 0.56 correlation means they have sometimes moved together and sometimes differently.
Performance
FDS vs. VOO - Performance Comparison
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Returns By Period
In the year-to-date period, FDS achieves a -1.19% return, which is significantly lower than VOO's 9.24% return. Over the past 10 years, FDS has underperformed VOO with an annualized return of 6.28%, while VOO has yielded a comparatively higher 14.96% annualized return.
FDS
- 1D
- 6.76%
- 1M
- 22.50%
- 6M
- 6.72%
- YTD
- -1.19%
- 1Y
- -30.29%
- 3Y*
- -12.34%
- 5Y*
- -3.05%
- 10Y*
- 6.28%
- ALL TIME*
- 15.72%
VOO
- 1D
- 0.24%
- 1M
- 1.60%
- 6M
- 7.10%
- YTD
- 9.24%
- 1Y
- 17.69%
- 3Y*
- 19.04%
- 5Y*
- 12.53%
- 10Y*
- 14.96%
- ALL TIME*
- 14.73%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $252.13M | $257.02M | $231.01M | |
| $3.35B | $3.87B | $5.41B |
FDS vs. VOO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FDS FactSet Research Systems Inc. | -1.19% | -38.88% | 1.62% | 19.99% | -16.75% | 47.49% | 25.13% | 35.51% | 5.02% | 19.44% |
VOO Vanguard S&P 500 ETF | 9.24% | 17.82% | 24.98% | 26.32% | -18.17% | 28.79% | 18.32% | 31.37% | -4.50% | 21.77% |
Correlation
The correlation between FDS and VOO is 0.02, meaning there was essentially no consistent relationship between their historical price movements. Each responded to its own set of market drivers.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.02 |
Correlation (3Y) Balances recent behavior with more history. | 0.26 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.43 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.50 |
Correlation (All Time) Calculated using the full available price history since Sep 9, 2010 | 0.56 |
Over the past year, the correlation between FDS and VOO has dropped to 0.02 - well below their long-term average of 0.56, suggesting their price drivers have been diverging.
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Return for Risk
FDS vs. VOO — Risk / Return Rank
FDS
VOO
FDS vs. VOO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for FactSet Research Systems Inc. (FDS) and Vanguard S&P 500 ETF (VOO). 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.
| FDS | VOO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.07 | ||
| Sortino ratioReturn per unit of downside risk | -2.74 | ||
| Omega ratioGain probability vs. loss probability | 0.90 | 1.25 | -0.35 |
| Calmar ratioReturn relative to maximum drawdown | -0.56 | 2.00 | -2.56 |
| Martin ratioReturn relative to average drawdown | -0.82 | 8.58 | -9.40 |
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Drawdowns
FDS vs. VOO - Drawdown Comparison
The maximum FDS drawdown since its inception was -61.13%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for FDS and VOO.
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Drawdown Indicators
| FDS | VOO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -61.13% | -33.99% | -27.14% |
Max Drawdown (1Y)Largest decline over 1 year | -53.94% | -8.90% | -45.04% |
Max Drawdown (3Y)Largest decline over 3 years | -61.13% | -18.69% | -42.44% |
Max Drawdown (5Y)Largest decline over 5 years | -61.13% | -24.52% | -36.61% |
Max Drawdown (10Y)Largest decline over 10 years | -61.13% | -33.99% | -27.14% |
Current DrawdownCurrent decline from peak | -41.36% | -2.19% | -39.17% |
Average DrawdownAverage peak-to-trough decline | -13.39% | -3.67% | -9.72% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 37.02% | 2.07% | +34.95% |
Volatility
FDS vs. VOO - Volatility Comparison
FactSet Research Systems Inc. (FDS) has a higher volatility of 15.72% compared to Vanguard S&P 500 ETF (VOO) at 3.17%. This indicates that FDS's price experiences larger fluctuations and is considered to be riskier than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FDS | VOO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 15.72% | 3.17% | +12.55% |
Volatility (6M)Calculated over the trailing 6-month period | 39.31% | 9.83% | +29.48% |
Volatility (1Y)Calculated over the trailing 1-year period | 45.95% | 12.61% | +33.34% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 29.26% | 16.91% | +12.35% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 28.36% | 18.01% | +10.35% |
Dividends
FDS vs. VOO - Dividend Comparison
FDS's dividend yield for the trailing twelve months is around 1.57%, more than VOO's 1.08% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FDS FactSet Research Systems Inc. | 1.57% | 1.50% | 0.85% | 0.80% | 0.87% | 0.66% | 0.91% | 1.04% | 1.24% | 1.13% | 1.19% | 1.05% |
VOO Vanguard S&P 500 ETF | 1.08% | 1.13% | 1.24% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% |
Frequently Asked Questions
FDS and VOO have a correlation of 0.02, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FDS has higher volatility (15.72%) compared to VOO (3.17%). In terms of maximum drawdown, FDS dropped -61.13% vs VOO's -33.99%.
VOO currently has the higher Sharpe Ratio (1.41 vs -0.66), 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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