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OFVIX vs. SPY
Performance
Return for Risk
Dividends
Drawdowns
Volatility

OFVIX vs. SPY

Last updated Apr 1, 2026

Compare and contrast key facts about O'Shaughnessy Market Leaders Value Fund (OFVIX) and State Street SPDR S&P 500 ETF (SPY).

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

Performance

OFVIX vs. SPY - Performance Comparison

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

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OFVIX vs. SPY - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
OFVIX
O'Shaughnessy Market Leaders Value Fund		1.48%15.81%23.70%17.85%-6.13%30.49%1.76%35.06%-12.95%22.05%
SPY
State Street SPDR S&P 500 ETF		-4.37%17.72%24.89%26.18%-18.18%28.73%18.33%31.22%-4.57%20.78%

Returns By Period

In the year-to-date period, OFVIX achieves a 1.48% return, which is significantly higher than SPY's -4.37% return.

OFVIX

1D
0.00%
1M
-3.57%
YTD
1.48%
6M
5.17%
1Y
16.80%
3Y*
19.63%
5Y*
12.65%
10Y*
—

SPY

1D
2.91%
1M
-4.94%
YTD
-4.37%
6M
-1.82%
1Y
17.59%
3Y*
18.19%
5Y*
11.69%
10Y*
13.98%
*Multi-year figures are annualized to reflect compound growth (CAGR)

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O'Shaughnessy Market Leaders Value Fund

State Street SPDR S&P 500 ETF

Often compared with OFVIX:
OFVIX vs. OAKLXOFVIX vs. VVIAXOFVIX vs. MGKOFVIX vs. ^GSPCOFVIX vs. DFUVXOFVIX vs. ACIIXOFVIX vs. AVERX
Often compared with SPY:
SPY vs. QQQSPY vs. VOOSPY vs. BRK-BSPY vs. RSPSPY vs. VTISPY vs. SCHDSPY vs. GLD

OFVIX vs. SPY - Expense Ratio Comparison

OFVIX has a 0.56% expense ratio, which is higher than SPY's 0.09% expense ratio.

OFVIX
O'Shaughnessy Market Leaders Value Fund
SPY
State Street SPDR S&P 500 ETF

Return for Risk

OFVIX vs. SPY — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
OFVIX
OFVIX Risk / Return Rank: 5454
Overall Rank
OFVIX Sharpe Ratio Rank: 5454
Sharpe Ratio Rank
OFVIX Sortino Ratio Rank: 5454
Sortino Ratio Rank
OFVIX Omega Ratio Rank: 5757
Omega Ratio Rank
OFVIX Calmar Ratio Rank: 5050
Calmar Ratio Rank
OFVIX Martin Ratio Rank: 5656
Martin Ratio Rank
SPY
SPY Risk / Return Rank: 6464
Overall Rank
SPY Sharpe Ratio Rank: 5656
Sharpe Ratio Rank
SPY Sortino Ratio Rank: 6060
Sortino Ratio Rank
SPY Omega Ratio Rank: 6565
Omega Ratio Rank
SPY Calmar Ratio Rank: 6565
Calmar Ratio Rank
SPY Martin Ratio Rank: 7575
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.

OFVIX vs. SPY - Risk-Adjusted Trends Comparison

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

OFVIXSPYDifference

Sharpe ratio

Return per unit of total volatility

1.00

0.93

+0.08

Sortino ratio

Return per unit of downside risk

1.45

1.45

0.00

Omega ratio

Gain probability vs. loss probability

1.22

1.22

0.00

Calmar ratio

Return relative to maximum drawdown

1.21

1.53

-0.31

Martin ratio

Return relative to average drawdown

5.40

7.30

-1.89

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. SPY - Sharpe Ratio Comparison

The current OFVIX Sharpe Ratio is 1.00, which is comparable to the SPY Sharpe Ratio of 0.93. The chart below compares the historical Sharpe Ratios of OFVIX and SPY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

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Sharpe Ratios by Period

OFVIXSPYDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

1.00

0.93

+0.08

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.76

0.69

+0.07

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

—

0.78

—

Sharpe Ratio (All Time)

Calculated using the full available price history

0.64

0.56

+0.08

Correlation

The correlation between OFVIX and SPY is 0.81, 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.

Dividends

OFVIX vs. SPY - Dividend Comparison

OFVIX's dividend yield for the trailing twelve months is around 18.26%, more than SPY's 1.14% yield.

TTM20252024202320222021202020192018201720162015
OFVIX
O'Shaughnessy Market Leaders Value Fund		18.26%18.53%15.22%4.10%7.88%1.81%2.15%8.09%7.74%2.40%0.00%0.00%
SPY
State Street SPDR S&P 500 ETF		1.14%1.07%1.21%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%

Drawdowns

OFVIX vs. SPY - Drawdown Comparison

The maximum OFVIX drawdown since its inception was -41.88%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for OFVIX and SPY.

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Drawdown Indicators

OFVIXSPYDifference

Max Drawdown

Largest peak-to-trough decline

-41.88%

-55.19%

+13.31%

Max Drawdown (1Y)

Largest decline over 1 year

-13.24%

-12.05%

-1.19%

Max Drawdown (5Y)

Largest decline over 5 years

-20.79%

-24.50%

+3.71%

Max Drawdown (10Y)

Largest decline over 10 years

—

-33.72%

—

Current Drawdown

Current decline from peak

-5.37%

-6.24%

+0.87%

Average Drawdown

Average peak-to-trough decline

-5.36%

-9.09%

+3.73%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.98%

2.52%

+0.46%

Volatility

OFVIX vs. SPY - Volatility Comparison

The current volatility for O'Shaughnessy Market Leaders Value Fund (OFVIX) is 3.04%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 5.31%. This indicates that OFVIX 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.

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Volatility by Period

OFVIXSPYDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.04%

5.31%

-2.27%

Volatility (6M)

Calculated over the trailing 6-month period

9.25%

9.47%

-0.22%

Volatility (1Y)

Calculated over the trailing 1-year period

17.95%

19.05%

-1.10%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

16.72%

17.06%

-0.34%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

20.28%

17.92%

+2.36%