FICO vs. ^GSPC
FICO (Fair Isaac Corporation) is a stock, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, FICO returned 26.62%/yr vs 13.61%/yr for ^GSPC. At a 0.44 correlation, their price movements are largely independent.
Performance
FICO vs. ^GSPC - Performance Comparison
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Returns By Period
In the year-to-date period, FICO achieves a -30.25% return, which is significantly lower than ^GSPC's 8.56% return. Over the past 10 years, FICO has outperformed ^GSPC with an annualized return of 26.62%, while ^GSPC has yielded a comparatively lower 13.61% annualized return.
FICO
- 1D
- -0.52%
- 1M
- 10.76%
- YTD
- -30.25%
- 6M
- -36.09%
- 1Y
- -33.92%
- 3Y*
- 13.73%
- 5Y*
- 18.49%
- 10Y*
- 26.62%
^GSPC
- 1D
- 0.50%
- 1M
- -0.17%
- YTD
- 8.56%
- 6M
- 8.85%
- 1Y
- 22.93%
- 3Y*
- 19.37%
- 5Y*
- 11.84%
- 10Y*
- 13.61%
FICO vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FICO Fair Isaac Corporation | -30.25% | -15.08% | 71.04% | 94.46% | 38.03% | -15.14% | 36.39% | 100.36% | 22.06% | 28.52% |
^GSPC S&P 500 Index | 8.56% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 28.88% | -6.24% | 19.42% |
Correlation
The correlation between FICO and ^GSPC is 0.21, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.21 |
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 25, 1992 | 0.44 |
Over the past year, the correlation between FICO and ^GSPC has dropped to 0.21 - well below their long-term average of 0.44, suggesting their price drivers have been diverging.
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Return for Risk
FICO vs. ^GSPC — Risk / Return Rank
FICO
^GSPC
FICO vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Fair Isaac Corporation (FICO) and S&P 500 Index (^GSPC). 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.
| FICO | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.53 | ||
| Sortino ratioReturn per unit of downside risk | -3.30 | ||
| Omega ratioGain probability vs. loss probability | 0.90 | 1.34 | -0.44 |
| Calmar ratioReturn relative to maximum drawdown | -0.65 | 2.53 | -3.18 |
| Martin ratioReturn relative to average drawdown | -1.24 | 11.37 | -12.61 |
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Drawdowns
FICO vs. ^GSPC - Drawdown Comparison
The maximum FICO drawdown since its inception was -79.26%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for FICO and ^GSPC.
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Drawdown Indicators
| FICO | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -79.26% | -56.78% | -22.48% |
Max Drawdown (1Y)Largest decline over 1 year | -52.12% | -9.10% | -43.02% |
Max Drawdown (3Y)Largest decline over 3 years | -61.28% | -18.90% | -42.38% |
Max Drawdown (5Y)Largest decline over 5 years | -61.28% | -25.43% | -35.85% |
Max Drawdown (10Y)Largest decline over 10 years | -61.28% | -33.92% | -27.36% |
Current DrawdownCurrent decline from peak | -50.50% | -2.34% | -48.16% |
Average DrawdownAverage peak-to-trough decline | -18.03% | -10.72% | -7.31% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 27.47% | 2.02% | +25.45% |
Volatility
FICO vs. ^GSPC - Volatility Comparison
Fair Isaac Corporation (FICO) has a higher volatility of 14.33% compared to S&P 500 Index (^GSPC) at 4.43%. This indicates that FICO's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FICO | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 14.33% | 4.43% | +9.90% |
Volatility (6M)Calculated over the trailing 6-month period | 39.21% | 9.70% | +29.51% |
Volatility (1Y)Calculated over the trailing 1-year period | 50.67% | 12.38% | +38.29% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 40.73% | 16.97% | +23.76% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 38.07% | 18.09% | +19.98% |
Frequently Asked Questions
FICO and ^GSPC have a correlation of 0.21, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FICO has higher volatility (14.33%) compared to ^GSPC (4.43%). In terms of maximum drawdown, FICO dropped -79.26% vs ^GSPC's -56.78%.
^GSPC currently has the higher Sharpe Ratio (1.86 vs -0.67), 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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