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FMUEX vs. ^GSPC
Performance
Return for Risk
Drawdowns
Volatility

FMUEX vs. ^GSPC

Last updated Jun 3, 2026

FMUEX (RBB Free Market U.S. Equity Fund) is Mid Cap Value Equities fund managed by RBB Funds, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, FMUEX returned 11.49%/yr vs 13.75%/yr for ^GSPC. Their correlation of 0.88 suggests significant overlap in exposure.

Performance

FMUEX vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in RBB Free Market U.S. Equity Fund (FMUEX) and S&P 500 Index (^GSPC). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, FMUEX achieves a 16.57% return, which is significantly higher than ^GSPC's 11.16% return. Over the past 10 years, FMUEX has underperformed ^GSPC with an annualized return of 11.49%, while ^GSPC has yielded a comparatively higher 13.75% annualized return.

FMUEX

1D
0.26%
1M
3.66%
YTD
16.57%
6M
18.19%
1Y
36.56%
3Y*
17.51%
5Y*
9.32%
10Y*
11.49%

^GSPC

1D
0.13%
1M
5.25%
YTD
11.16%
6M
11.43%
1Y
28.20%
3Y*
21.12%
5Y*
12.66%
10Y*
13.75%
*Multi-year figures are annualized to reflect compound growth (CAGR)

FMUEX vs. ^GSPC - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
FMUEX
RBB Free Market U.S. Equity Fund		16.57%12.79%8.09%17.10%-10.47%31.75%5.65%22.44%-11.62%13.44%
^GSPC
S&P 500 Index		11.16%16.39%23.31%24.23%-19.44%26.89%16.26%28.88%-6.24%19.42%

Correlation

The correlation between FMUEX and ^GSPC is 0.79, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.79

Correlation (3Y)
Calculated over the trailing 3-year period

0.79

Correlation (5Y)
Calculated over the trailing 5-year period

0.84

Correlation (10Y)
Calculated over the trailing 10-year period

0.83

Correlation (All Time)
Calculated using the full available price history since Jan 3, 2008

0.88

The correlation between FMUEX and ^GSPC has been stable across timeframes, ranging from 0.79 to 0.88 - a consistent structural relationship.

Compare stocks, funds, or ETFs

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RBB Free Market U.S. Equity Fund

S&P 500 Index

Often compared with FMUEX:
FMUEX vs. SPYFMUEX vs. DOWFMUEX vs. VTIFMUEX vs. VOEFMUEX vs. FMFIXFMUEX vs. IMCVXFMUEX vs. NOIEX
Often compared with ^GSPC:
^GSPC vs. ^IBEX^GSPC vs. AVGO^GSPC vs. SCHD^GSPC vs. TSMU^GSPC vs. GC=F^GSPC vs. QQQ^GSPC vs. ACWI

Return for Risk

FMUEX vs. ^GSPC — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
FMUEX
FMUEX Risk / Return Rank: 8080
Overall Rank
FMUEX Sharpe Ratio Rank: 7979
Sharpe Ratio Rank
FMUEX Sortino Ratio Rank: 7575
Sortino Ratio Rank
FMUEX Omega Ratio Rank: 6767
Omega Ratio Rank
FMUEX Calmar Ratio Rank: 9191
Calmar Ratio Rank
FMUEX Martin Ratio Rank: 8888
Martin Ratio Rank
^GSPC
^GSPC Risk / Return Rank: 7979
Overall Rank
^GSPC Sharpe Ratio Rank: 7676
Sharpe Ratio Rank
^GSPC Sortino Ratio Rank: 7676
Sortino Ratio Rank
^GSPC Omega Ratio Rank: 7777
Omega Ratio Rank
^GSPC Calmar Ratio Rank: 7979
Calmar Ratio Rank
^GSPC Martin Ratio Rank: 8888
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

FMUEX vs. ^GSPC - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for RBB Free Market U.S. Equity Fund (FMUEX) 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.

FMUEX^GSPCDifference

Sharpe ratio

Return per unit of total volatility

2.57

2.39

+0.19

Sortino ratio

Return per unit of downside risk

3.63

3.25

+0.37

Omega ratio

Gain probability vs. loss probability

1.46

1.43

+0.02

Calmar ratio

Return relative to maximum drawdown

4.74

3.16

+1.58

Martin ratio

Return relative to average drawdown

17.15

14.61

+2.54

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FMUEX vs. ^GSPC - Sharpe Ratio Comparison

The current FMUEX Sharpe Ratio is 2.57, which is comparable to the ^GSPC Sharpe Ratio of 2.39. The chart below compares the historical Sharpe Ratios of FMUEX and ^GSPC, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Sharpe Ratios by Period

FMUEX^GSPCDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

2.57

2.39

+0.19

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.51

0.75

-0.24

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.58

0.76

-0.18

Sharpe Ratio (All Time)

Calculated using the full available price history

0.43

0.47

-0.04

Drawdowns

FMUEX vs. ^GSPC - Drawdown Comparison

The maximum FMUEX drawdown since its inception was -58.03%, roughly equal to the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for FMUEX and ^GSPC.

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Drawdown Indicators

FMUEX^GSPCDifference

Max Drawdown

Largest peak-to-trough decline

-58.03%

-56.78%

-1.25%

Max Drawdown (1Y)

Largest decline over 1 year

-7.61%

-9.10%

+1.49%

Max Drawdown (3Y)

Largest decline over 3 years

-25.49%

-18.90%

-6.59%

Max Drawdown (5Y)

Largest decline over 5 years

-25.49%

-25.43%

-0.06%

Max Drawdown (10Y)

Largest decline over 10 years

-42.31%

-33.92%

-8.39%

Current Drawdown

Current decline from peak

0.00%

0.00%

0.00%

Average Drawdown

Average peak-to-trough decline

-8.07%

-10.72%

+2.65%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.10%

1.97%

+0.13%

Volatility

FMUEX vs. ^GSPC - Volatility Comparison

RBB Free Market U.S. Equity Fund (FMUEX) has a higher volatility of 3.74% compared to S&P 500 Index (^GSPC) at 2.84%. This indicates that FMUEX'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

FMUEX^GSPCDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.74%

2.84%

+0.90%

Volatility (6M)

Calculated over the trailing 6-month period

9.85%

8.98%

+0.87%

Volatility (1Y)

Calculated over the trailing 1-year period

14.25%

11.87%

+2.38%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

18.39%

16.90%

+1.49%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

19.74%

18.07%

+1.67%

Frequently Asked Questions

FMUEX and ^GSPC have a correlation of 0.79, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

FMUEX has higher volatility (3.74%) compared to ^GSPC (2.84%). In terms of maximum drawdown, FMUEX dropped -58.03% vs ^GSPC's -56.78%.

FMUEX currently has the higher Sharpe Ratio (2.57 vs 2.39), 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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