OFVIX vs. ^GSPC

Last updated Apr 2, 2026

Compare and contrast key facts about O'Shaughnessy Market Leaders Value Fund (OFVIX) and S&P 500 Index (^GSPC).

OFVIX is managed by O'Shaughnessy Mutual Funds. It was launched on Feb 26, 2016.

Performance

OFVIX vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in O'Shaughnessy Market Leaders Value Fund (OFVIX) and S&P 500 Index (^GSPC). The values are adjusted to include any dividend payments, if applicable.

OFVIX vs. ^GSPC - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
OFVIX O'Shaughnessy Market Leaders Value Fund	3.01%	15.81%	23.70%	17.85%	-6.13%	30.49%	1.76%	35.06%	-12.95%	22.05%
^GSPC S&P 500 Index	-3.95%	16.39%	23.31%	24.23%	-19.44%	26.89%	16.26%	28.88%	-6.24%	18.42%

Returns By Period

In the year-to-date period, OFVIX achieves a 3.01% return, which is significantly higher than ^GSPC's -3.95% return.

OFVIX

• 1D: 1.51%
• 1M: -2.31%
• YTD: 3.01%
• 6M: 7.15%
• 1Y: 18.44%
• 3Y*: 20.23%
• 5Y*: 12.76%
• 10Y*: —

^GSPC

• 1D: 0.72%
• 1M: -4.45%
• YTD: -3.95%
• 6M: -2.02%
• 1Y: 16.73%
• 3Y*: 16.96%
• 5Y*: 10.34%
• 10Y*: 12.24%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Return for Risk

OFVIX vs. ^GSPC — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

OFVIX

OFVIX Risk / Return Rank: 56
OFVIX Sharpe Ratio Rank: 51
OFVIX Sortino Ratio Rank: 51
OFVIX Omega Ratio Rank: 53
OFVIX Calmar Ratio Rank: 58
OFVIX Martin Ratio Rank: 65

^GSPC

^GSPC Risk / Return Rank: 67
^GSPC Sharpe Ratio Rank: 63
^GSPC Sortino Ratio Rank: 64
^GSPC Omega Ratio Rank: 69
^GSPC Calmar Ratio Rank: 60
^GSPC Martin Ratio Rank: 77

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.

OFVIX vs. ^GSPC - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for O'Shaughnessy Market Leaders Value Fund (OFVIX) 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.

	OFVIX	^GSPC	Difference
Sharpe ratio Return per unit of total volatility	1.04	0.92	+0.12
Sortino ratio Return per unit of downside risk	1.50	1.41	+0.09
Omega ratio Gain probability vs. loss probability	1.23	1.21	+0.01
Calmar ratio Return relative to maximum drawdown	1.49	1.41	+0.07
Martin ratio Return relative to average drawdown	6.58	6.61	-0.03
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

OFVIX vs. ^GSPC - Sharpe Ratio Comparison

The current OFVIX Sharpe Ratio is 1.04, which is comparable to the ^GSPC Sharpe Ratio of 0.92. The chart below compares the historical Sharpe Ratios of OFVIX and ^GSPC, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	OFVIX	^GSPC	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.04	0.92	+0.12
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.77	0.61	+0.15
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.68	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.65	0.46	+0.19

Correlation

The correlation between OFVIX and ^GSPC is 0.80, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Drawdowns

OFVIX vs. ^GSPC - Drawdown Comparison

The maximum OFVIX drawdown since its inception was -41.88%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for OFVIX and ^GSPC.

Drawdown Indicators

	OFVIX	^GSPC	Difference
Max Drawdown Largest peak-to-trough decline	-41.88%	-56.78%	+14.90%
Max Drawdown (1Y) Largest decline over 1 year	-13.24%	-12.14%	-1.10%
Max Drawdown (5Y) Largest decline over 5 years	-20.79%	-25.43%	+4.64%
Max Drawdown (10Y) Largest decline over 10 years	—	-33.92%	—
Current Drawdown Current decline from peak	-3.94%	-5.78%	+1.84%
Average Drawdown Average peak-to-trough decline	-5.36%	-10.75%	+5.39%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.99%	2.60%	+0.39%

Volatility

OFVIX vs. ^GSPC - Volatility Comparison

The current volatility for O'Shaughnessy Market Leaders Value Fund (OFVIX) is 3.46%, while S&P 500 Index (^GSPC) has a volatility of 5.37%. This indicates that OFVIX 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.

Volatility by Period

	OFVIX	^GSPC	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.46%	5.37%	-1.91%
Volatility (6M) Calculated over the trailing 6-month period	9.37%	9.55%	-0.18%
Volatility (1Y) Calculated over the trailing 1-year period	17.97%	18.33%	-0.36%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.73%	16.90%	-0.17%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.29%	18.05%	+2.24%