FRA vs. ^GSPC
FRA (BlackRock Floating Rate Income Strategies Fund Inc) is Bank Loan fund managed by BlackRock, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, FRA returned 6.60%/yr vs 13.71%/yr for ^GSPC. At a 0.33 correlation, their price movements are largely independent.
Performance
FRA vs. ^GSPC - Performance Comparison
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Returns By Period
In the year-to-date period, FRA achieves a -1.25% return, which is significantly lower than ^GSPC's 7.60% return. Over the past 10 years, FRA has underperformed ^GSPC with an annualized return of 6.60%, while ^GSPC has yielded a comparatively higher 13.71% annualized return.
FRA
- 1D
- 0.37%
- 1M
- -0.32%
- YTD
- -1.25%
- 6M
- -0.58%
- 1Y
- -4.46%
- 3Y*
- 8.76%
- 5Y*
- 6.55%
- 10Y*
- 6.60%
^GSPC
- 1D
- -1.44%
- 1M
- -1.45%
- YTD
- 7.60%
- 6M
- 6.59%
- 1Y
- 22.24%
- 3Y*
- 19.20%
- 5Y*
- 11.54%
- 10Y*
- 13.71%
FRA vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FRA BlackRock Floating Rate Income Strategies Fund Inc | -1.25% | -3.75% | 21.56% | 25.46% | -10.59% | 17.81% | -2.38% | 20.82% | -8.27% | 0.76% |
^GSPC S&P 500 Index | 7.60% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 28.88% | -6.24% | 19.42% |
Correlation
The correlation between FRA and ^GSPC is 0.41, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.41 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.32 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.37 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.36 |
Correlation (All Time) Calculated using the full available price history since Oct 29, 2003 | 0.33 |
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Return for Risk
FRA vs. ^GSPC — Risk / Return Rank
FRA
^GSPC
FRA vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for BlackRock Floating Rate Income Strategies Fund Inc (FRA) 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.
| FRA | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.23 | ||
| Sortino ratioReturn per unit of downside risk | -3.02 | ||
| Omega ratioGain probability vs. loss probability | 0.93 | 1.32 | -0.39 |
| Calmar ratioReturn relative to maximum drawdown | -0.29 | 2.46 | -2.75 |
| Martin ratioReturn relative to average drawdown | -0.57 | 10.92 | -11.49 |
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Drawdowns
FRA vs. ^GSPC - Drawdown Comparison
The maximum FRA drawdown since its inception was -51.43%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for FRA and ^GSPC.
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Drawdown Indicators
| FRA | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -51.43% | -56.78% | +5.35% |
Max Drawdown (1Y)Largest decline over 1 year | -15.47% | -9.10% | -6.37% |
Max Drawdown (3Y)Largest decline over 3 years | -18.77% | -18.90% | +0.13% |
Max Drawdown (5Y)Largest decline over 5 years | -18.77% | -25.43% | +6.66% |
Max Drawdown (10Y)Largest decline over 10 years | -42.80% | -33.92% | -8.88% |
Current DrawdownCurrent decline from peak | -9.67% | -3.21% | -6.46% |
Average DrawdownAverage peak-to-trough decline | -7.22% | -10.71% | +3.49% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 7.83% | 2.04% | +5.79% |
Volatility
FRA vs. ^GSPC - Volatility Comparison
The current volatility for BlackRock Floating Rate Income Strategies Fund Inc (FRA) is 2.22%, while S&P 500 Index (^GSPC) has a volatility of 4.89%. This indicates that FRA experiences smaller price fluctuations and is considered to be less risky 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
| FRA | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.22% | 4.89% | -2.67% |
Volatility (6M)Calculated over the trailing 6-month period | 8.17% | 9.93% | -1.76% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.96% | 12.57% | -2.61% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.90% | 17.00% | -4.10% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.53% | 18.08% | -2.55% |
Frequently Asked Questions
FRA and ^GSPC have a correlation of 0.41, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^GSPC has higher volatility (4.89%) compared to FRA (2.22%). In terms of maximum drawdown, FRA dropped -51.43% vs ^GSPC's -56.78%.
^GSPC currently has the higher Sharpe Ratio (1.78 vs -0.45), 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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