FSCO vs. SPY
Compare and contrast key facts about FS Credit Opportunities Corp. (FSCO) and SPDR S&P 500 ETF (SPY).
SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FSCO or SPY.
Key characteristics
| FSCO | SPY | |
|---|---|---|
| YTD Return | 26.45% | 27.04% |
| 1Y Return | 26.97% | 39.75% |
| Sharpe Ratio | 1.71 | 3.15 |
| Sortino Ratio | 2.43 | 4.19 |
| Omega Ratio | 1.31 | 1.59 |
| Calmar Ratio | 3.14 | 4.60 |
| Martin Ratio | 11.28 | 20.85 |
| Ulcer Index | 2.45% | 1.85% |
| Daily Std Dev | 16.18% | 12.29% |
| Max Drawdown | -25.11% | -55.19% |
| Current Drawdown | -2.40% | 0.00% |
Correlation
The correlation between FSCO and SPY is 0.28, 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
FSCO vs. SPY - Performance Comparison
The year-to-date returns for both investments are quite close, with FSCO having a 26.45% return and SPY slightly higher at 27.04%. 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
FSCO vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for FS Credit Opportunities Corp. (FSCO) and 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.
Dividends
FSCO vs. SPY - Dividend Comparison
FSCO's dividend yield for the trailing twelve months is around 10.88%, more than SPY's 1.17% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FSCO FS Credit Opportunities Corp. | 10.88% | 11.22% | 1.95% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPY SPDR S&P 500 ETF | 1.17% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
FSCO vs. SPY - Drawdown Comparison
The maximum FSCO drawdown since its inception was -25.11%, 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. For additional features, visit the drawdowns tool.
Volatility
FSCO vs. SPY - Volatility Comparison
The current volatility for FS Credit Opportunities Corp. (FSCO) is 2.65%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.95%. This indicates that FSCO experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.