OFVIX vs. SPY

Last updated Jun 4, 2026

OFVIX (O'Shaughnessy Market Leaders Value Fund) and SPY (State Street SPDR S&P 500 ETF) are both funds - OFVIX is a Large Cap Value Equities fund managed by O'Shaughnessy Mutual Funds, while SPY is a S&P 500 fund tracking the S&P 500 Index. Over the past 5 years, OFVIX returned 12.44%/yr vs 13.83%/yr for SPY. Their correlation of 0.80 suggests significant overlap in exposure. OFVIX charges 0.56%/yr vs 0.09%/yr for SPY.

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.

Returns By Period

In the year-to-date period, OFVIX achieves a 8.72% return, which is significantly lower than SPY's 10.91% return.

OFVIX

• 1D: 0.59%
• 1M: 1.13%
• YTD: 8.72%
• 6M: 10.73%
• 1Y: 21.83%
• 3Y*: 22.01%
• 5Y*: 12.44%
• 10Y*: —

SPY

• 1D: -0.70%
• 1M: 5.05%
• YTD: 10.91%
• 6M: 10.91%
• 1Y: 27.98%
• 3Y*: 22.35%
• 5Y*: 13.83%
• 10Y*: 15.49%

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

OFVIX vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
OFVIX O'Shaughnessy Market Leaders Value Fund	8.72%	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	10.91%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	31.22%	-4.57%	20.78%

Correlation

The correlation between OFVIX and SPY is 0.61, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.61
Correlation (3Y) Calculated over the trailing 3-year period	0.68
Correlation (5Y) Calculated over the trailing 5-year period	0.77
Correlation (All Time) Calculated using the full available price history since Jan 4, 2017	0.80

The correlation between OFVIX and SPY shifts across timeframes, from 0.61 (1 year) to 0.80 (all time), reflecting how their relationship changes across market environments.

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: 53
OFVIX Sharpe Ratio Rank: 42
OFVIX Sortino Ratio Rank: 41
OFVIX Omega Ratio Rank: 40
OFVIX Calmar Ratio Rank: 80
OFVIX Martin Ratio Rank: 60

SPY

SPY Risk / Return Rank: 70
SPY Sharpe Ratio Rank: 71
SPY Sortino Ratio Rank: 69
SPY Omega Ratio Rank: 70
SPY Calmar Ratio Rank: 62
SPY Martin Ratio Rank: 75

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.

	OFVIX	SPY	Difference
Sharpe ratio: Return per unit of total volatility	1.90	2.38	-0.48
Sortino ratio: Return per unit of downside risk	2.69	3.24	-0.55
Omega ratio: Gain probability vs. loss probability	1.34	1.43	-0.10
Calmar ratio: Return relative to maximum drawdown	3.67	3.16	+0.51
Martin ratio: Return relative to average drawdown	11.88	14.72	-2.83
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 1.90, which is comparable to the SPY Sharpe Ratio of 2.38. The chart below compares the historical Sharpe Ratios of OFVIX and SPY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	OFVIX	SPY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.90	2.38	-0.48
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.75	0.82	-0.07
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.87	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.67	0.59	+0.08

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.

Drawdown Indicators

	OFVIX	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-41.88%	-55.19%	+13.31%
Max Drawdown (1Y) Largest decline over 1 year	-6.26%	-8.88%	+2.62%
Max Drawdown (3Y) Largest decline over 3 years	-19.04%	-18.76%	-0.28%
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	-0.05%	-0.70%	+0.65%
Average Drawdown Average peak-to-trough decline	-5.28%	-9.05%	+3.77%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.93%	1.91%	+0.02%

Volatility

OFVIX vs. SPY - Volatility Comparison

O'Shaughnessy Market Leaders Value Fund (OFVIX) and State Street SPDR S&P 500 ETF (SPY) have volatilities of 2.90% and 2.84%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	OFVIX	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.90%	2.84%	+0.06%
Volatility (6M) Calculated over the trailing 6-month period	8.24%	8.90%	-0.66%
Volatility (1Y) Calculated over the trailing 1-year period	12.12%	11.83%	+0.29%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.66%	17.05%	-0.39%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.15%	17.94%	+2.21%

OFVIX vs. SPY - Expense Ratio Comparison

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

Dividends

OFVIX vs. SPY - Dividend Comparison

OFVIX's dividend yield for the trailing twelve months is around 17.04%, more than SPY's 0.98% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
OFVIX O'Shaughnessy Market Leaders Value Fund	17.04%	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	0.98%	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

Can I hold both OFVIX and SPY in my portfolio?

OFVIX and SPY have a correlation of 0.61, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, OFVIX or SPY?

OFVIX has higher volatility (2.90%) compared to SPY (2.84%). In terms of maximum drawdown, OFVIX dropped -41.88% vs SPY's -55.19%.

Which has better risk-adjusted returns?

SPY currently has the higher Sharpe Ratio (2.38 vs 1.90), 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.