OFVIX vs. SPY
Compare and contrast key facts about O'Shaughnessy Market Leaders Value Fund (OFVIX) and 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.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: OFVIX or SPY.
Key characteristics
| OFVIX | SPY | |
|---|---|---|
| YTD Return | 30.82% | 27.16% |
| 1Y Return | 45.39% | 37.73% |
| 3Y Return (Ann) | 13.37% | 10.28% |
| 5Y Return (Ann) | 14.57% | 15.97% |
| Sharpe Ratio | 3.60 | 3.25 |
| Sortino Ratio | 5.00 | 4.32 |
| Omega Ratio | 1.69 | 1.61 |
| Calmar Ratio | 8.28 | 4.74 |
| Martin Ratio | 23.91 | 21.51 |
| Ulcer Index | 1.99% | 1.85% |
| Daily Std Dev | 13.18% | 12.20% |
| Max Drawdown | -41.88% | -55.19% |
| Current Drawdown | 0.00% | 0.00% |
Correlation
The correlation between OFVIX and SPY is 0.82, 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.
Performance
OFVIX vs. SPY - Performance Comparison
In the year-to-date period, OFVIX achieves a 30.82% return, which is significantly higher than SPY's 27.16% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
OFVIX vs. SPY - Expense Ratio Comparison
OFVIX has a 0.56% expense ratio, which is higher than SPY's 0.09% expense ratio.
Risk-Adjusted Performance
OFVIX vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for O'Shaughnessy Market Leaders Value Fund (OFVIX) 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
OFVIX vs. SPY - Dividend Comparison
OFVIX's dividend yield for the trailing twelve months is around 1.70%, more than SPY's 1.17% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
OFVIX O'Shaughnessy Market Leaders Value Fund | 1.70% | 2.22% | 2.17% | 1.81% | 2.15% | 2.69% | 1.05% | 1.25% | 1.06% | 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
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. For additional features, visit the drawdowns tool.
Volatility
OFVIX vs. SPY - Volatility Comparison
O'Shaughnessy Market Leaders Value Fund (OFVIX) has a higher volatility of 4.60% compared to SPDR S&P 500 ETF (SPY) at 3.92%. This indicates that OFVIX'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.