FICO vs. ^GSPC
Compare and contrast key facts about Fair Isaac Corporation (FICO) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FICO or ^GSPC.
Key characteristics
| FICO | ^GSPC | |
|---|---|---|
| YTD Return | 75.17% | 22.47% |
| 1Y Return | 122.91% | 35.39% |
| 3Y Return (Ann) | 70.21% | 9.22% |
| 5Y Return (Ann) | 46.66% | 14.40% |
| 10Y Return (Ann) | 43.36% | 11.89% |
| Sharpe Ratio | 4.00 | 2.69 |
| Sortino Ratio | 4.02 | 3.58 |
| Omega Ratio | 1.60 | 1.49 |
| Calmar Ratio | 7.27 | 2.37 |
| Martin Ratio | 23.64 | 17.17 |
| Ulcer Index | 5.16% | 1.96% |
| Daily Std Dev | 30.48% | 12.50% |
| Max Drawdown | -79.26% | -56.78% |
| Current Drawdown | -1.45% | -0.31% |
Correlation
The correlation between FICO and ^GSPC is 0.40, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
FICO vs. ^GSPC - Performance Comparison
In the year-to-date period, FICO achieves a 75.17% return, which is significantly higher than ^GSPC's 22.47% return. Over the past 10 years, FICO has outperformed ^GSPC with an annualized return of 43.36%, while ^GSPC has yielded a comparatively lower 11.89% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
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.
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.
Volatility
FICO vs. ^GSPC - Volatility Comparison
Fair Isaac Corporation (FICO) has a higher volatility of 6.01% compared to S&P 500 (^GSPC) at 3.00%. 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.