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FICO vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between FICO and ^GSPC is 0.40, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


Performance

FICO vs. ^GSPC - Performance Comparison

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

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Key characteristics

Sharpe Ratio

FICO:

1.71

^GSPC:

0.64

Sortino Ratio

FICO:

2.41

^GSPC:

1.01

Omega Ratio

FICO:

1.32

^GSPC:

1.15

Calmar Ratio

FICO:

2.06

^GSPC:

0.65

Martin Ratio

FICO:

4.54

^GSPC:

2.49

Ulcer Index

FICO:

13.50%

^GSPC:

4.96%

Daily Std Dev

FICO:

33.17%

^GSPC:

19.65%

Max Drawdown

FICO:

-79.26%

^GSPC:

-56.78%

Current Drawdown

FICO:

-7.40%

^GSPC:

-2.94%

Returns By Period

In the year-to-date period, FICO achieves a 10.80% return, which is significantly higher than ^GSPC's 1.39% return. Over the past 10 years, FICO has outperformed ^GSPC with an annualized return of 37.95%, while ^GSPC has yielded a comparatively lower 10.86% annualized return.


FICO

YTD

10.80%

1M

15.58%

6M

-2.92%

1Y

56.30%

3Y*

77.36%

5Y*

41.89%

10Y*

37.95%

^GSPC

YTD

1.39%

1M

12.89%

6M

1.19%

1Y

12.45%

3Y*

15.19%

5Y*

14.95%

10Y*

10.86%

*Annualized

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Fair Isaac Corporation

S&P 500

Risk-Adjusted Performance

FICO vs. ^GSPC — Risk-Adjusted Performance Rank

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

FICO
The Risk-Adjusted Performance Rank of FICO is 9090
Overall Rank
The Sharpe Ratio Rank of FICO is 9494
Sharpe Ratio Rank
The Sortino Ratio Rank of FICO is 9090
Sortino Ratio Rank
The Omega Ratio Rank of FICO is 8989
Omega Ratio Rank
The Calmar Ratio Rank of FICO is 9393
Calmar Ratio Rank
The Martin Ratio Rank of FICO is 8585
Martin Ratio Rank

^GSPC
The Risk-Adjusted Performance Rank of ^GSPC is 6565
Overall Rank
The Sharpe Ratio Rank of ^GSPC is 6969
Sharpe Ratio Rank
The Sortino Ratio Rank of ^GSPC is 5858
Sortino Ratio Rank
The Omega Ratio Rank of ^GSPC is 6565
Omega Ratio Rank
The Calmar Ratio Rank of ^GSPC is 6464
Calmar Ratio Rank
The Martin Ratio Rank of ^GSPC is 7171
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

FICO vs. ^GSPC - Risk-Adjusted Performance Comparison

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


The current FICO Sharpe Ratio is 1.71, which is higher than the ^GSPC Sharpe Ratio of 0.64. The chart below compares the historical Sharpe Ratios of FICO and ^GSPC, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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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. For additional features, visit the drawdowns tool.


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Volatility

FICO vs. ^GSPC - Volatility Comparison

Fair Isaac Corporation (FICO) has a higher volatility of 7.96% compared to S&P 500 (^GSPC) at 5.42%. 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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