FSCO vs. SPY
FSCO (FS Credit Opportunities Corp.) is a stock, while SPY (State Street SPDR S&P 500 ETF) is S&P 500 fund tracking the S&P 500 Index. Over the past 3 years, FSCO returned 12.30%/yr vs 20.99%/yr for SPY. At a 0.29 correlation, their price movements are largely independent.
Performance
FSCO vs. SPY - Performance Comparison
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Returns By Period
In the year-to-date period, FSCO achieves a -17.04% return, which is significantly lower than SPY's 11.30% return.
FSCO
- 1D
- 0.62%
- 1M
- 2.69%
- 6M
- -18.59%
- YTD
- -17.04%
- 1Y
- -23.17%
- 3Y*
- 12.30%
- 5Y*
- —
- 10Y*
- —
SPY
- 1D
- 0.43%
- 1M
- 2.04%
- 6M
- 9.35%
- YTD
- 11.30%
- 1Y
- 22.40%
- 3Y*
- 20.99%
- 5Y*
- 13.15%
- 10Y*
- 15.22%
FSCO vs. SPY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
FSCO FS Credit Opportunities Corp. | -17.04% | 3.68% | 34.88% | 36.98% | -3.98% |
SPY State Street SPDR S&P 500 ETF | 11.30% | 17.72% | 24.89% | 26.18% | -3.59% |
Correlation
The correlation between FSCO and SPY is 0.31, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.31 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.27 |
Correlation (All Time) Calculated using the full available price history since Nov 14, 2022 | 0.29 |
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Return for Risk
FSCO vs. SPY — Risk / Return Rank
FSCO
SPY
FSCO vs. SPY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for FS Credit Opportunities Corp. (FSCO) and State Street SPDR S&P 500 ETF (SPY). 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.
| FSCO | SPY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.61 | ||
| Sortino ratioReturn per unit of downside risk | -3.48 | ||
| Omega ratioGain probability vs. loss probability | 0.86 | 1.32 | -0.46 |
| Calmar ratioReturn relative to maximum drawdown | -0.66 | 2.48 | -3.14 |
| Martin ratioReturn relative to average drawdown | -1.22 | 10.83 | -12.05 |
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Drawdowns
FSCO vs. SPY - Drawdown Comparison
The maximum FSCO drawdown since its inception was -35.53%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for FSCO and SPY.
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Drawdown Indicators
| FSCO | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -35.53% | -55.19% | +19.66% |
Max Drawdown (1Y)Largest decline over 1 year | -35.53% | -8.88% | -26.65% |
Max Drawdown (3Y)Largest decline over 3 years | -35.53% | -18.76% | -16.77% |
Max Drawdown (5Y)Largest decline over 5 years | — | -24.50% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.72% | — |
Current DrawdownCurrent decline from peak | -27.57% | -0.35% | -27.22% |
Average DrawdownAverage peak-to-trough decline | -8.41% | -9.03% | +0.62% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 19.09% | 2.03% | +17.06% |
Volatility
FSCO vs. SPY - Volatility Comparison
FS Credit Opportunities Corp. (FSCO) has a higher volatility of 5.24% compared to State Street SPDR S&P 500 ETF (SPY) at 4.52%. This indicates that FSCO's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FSCO | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.24% | 4.52% | +0.72% |
Volatility (6M)Calculated over the trailing 6-month period | 22.67% | 9.98% | +12.69% |
Volatility (1Y)Calculated over the trailing 1-year period | 27.55% | 12.55% | +15.00% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 28.04% | 17.16% | +10.88% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 28.04% | 17.92% | +10.12% |
Dividends
FSCO vs. SPY - Dividend Comparison
FSCO's dividend yield for the trailing twelve months is around 15.89%, more than SPY's 1.00% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FSCO FS Credit Opportunities Corp. | 15.89% | 12.65% | 10.47% | 11.26% | 1.95% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPY State Street SPDR S&P 500 ETF | 1.00% | 1.07% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% |
Frequently Asked Questions
FSCO and SPY have a correlation of 0.31, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FSCO has higher volatility (5.24%) compared to SPY (4.52%). In terms of maximum drawdown, FSCO dropped -35.53% vs SPY's -55.19%.
SPY currently has the higher Sharpe Ratio (1.76 vs -0.85), 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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