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RFAYX vs. ^GSPC
Performance
Return for Risk
Drawdowns
Volatility

Performance

RFAYX vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Russell Investments Investment Grade Bond Fund (RFAYX) and S&P 500 Index (^GSPC). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, RFAYX achieves a 0.60% return, which is significantly lower than ^GSPC's 9.16% return. Over the past 10 years, RFAYX has underperformed ^GSPC with an annualized return of 1.58%, while ^GSPC has yielded a comparatively higher 13.88% annualized return.


RFAYX

1D
0.22%
1M
0.96%
YTD
0.60%
6M
0.77%
1Y
4.79%
3Y*
4.10%
5Y*
-0.44%
10Y*
1.58%

^GSPC

1D
-0.37%
1M
-0.01%
YTD
9.16%
6M
8.64%
1Y
25.22%
3Y*
19.78%
5Y*
11.99%
10Y*
13.88%
*Multi-year figures are annualized to reflect compound growth (CAGR)

RFAYX vs. ^GSPC - Yearly Performance Comparison


2026 (YTD)202520242023202220212020201920182017
RFAYX
Russell Investments Investment Grade Bond Fund
0.60%7.47%1.57%4.85%-14.80%-1.09%9.10%9.03%-0.56%3.57%
^GSPC
S&P 500 Index
9.16%16.39%23.31%24.23%-19.44%26.89%16.26%28.88%-6.24%19.42%

Correlation

The correlation between RFAYX and ^GSPC is 0.34, which is low. Their price movements are largely independent, making them effective diversification partners.


Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.34

Correlation (3Y)
Calculated over the trailing 3-year period

0.22

Correlation (5Y)
Calculated over the trailing 5-year period

0.14

Correlation (10Y)
Calculated over the trailing 10-year period

-0.01

Correlation (All Time)
Calculated using the full available price history since Jan 2, 2001

-0.15

The correlation between RFAYX and ^GSPC shifts across timeframes, from -0.15 (all time) to 0.34 (1 year), reflecting how their relationship changes across market environments.

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Return for Risk

RFAYX vs. ^GSPC — Risk / Return Rank

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

RFAYX
RFAYX Risk / Return Rank: 2626
Overall Rank
RFAYX Sharpe Ratio Rank: 2727
Sharpe Ratio Rank
RFAYX Sortino Ratio Rank: 2929
Sortino Ratio Rank
RFAYX Omega Ratio Rank: 2525
Omega Ratio Rank
RFAYX Calmar Ratio Rank: 2727
Calmar Ratio Rank
RFAYX Martin Ratio Rank: 2222
Martin Ratio Rank

^GSPC
^GSPC Risk / Return Rank: 8080
Overall Rank
^GSPC Sharpe Ratio Rank: 7878
Sharpe Ratio Rank
^GSPC Sortino Ratio Rank: 7979
Sortino Ratio Rank
^GSPC Omega Ratio Rank: 8282
Omega Ratio Rank
^GSPC Calmar Ratio Rank: 7474
Calmar Ratio Rank
^GSPC Martin Ratio Rank: 8585
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.

RFAYX vs. ^GSPC - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Russell Investments Investment Grade Bond Fund (RFAYX) 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.


RFAYX^GSPCDifference
Sharpe ratioReturn per unit of total volatility

-0.65

Sortino ratioReturn per unit of downside risk

-0.68

Omega ratioGain probability vs. loss probability

1.24

1.37

-0.12

Calmar ratioReturn relative to maximum drawdown

1.81

2.78

-0.98

Martin ratioReturn relative to average drawdown

5.12

12.44

-7.32

RFAYX vs. ^GSPC - Sharpe Ratio Comparison

The current RFAYX Sharpe Ratio is 1.38, which is lower than the ^GSPC Sharpe Ratio of 2.03. The chart below compares the historical Sharpe Ratios of RFAYX and ^GSPC, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.


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Drawdowns

RFAYX vs. ^GSPC - Drawdown Comparison

The maximum RFAYX drawdown since its inception was -19.61%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for RFAYX and ^GSPC.


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Drawdown Indicators


RFAYX^GSPCDifference

Max Drawdown

Largest peak-to-trough decline

-19.61%

-56.78%

+37.17%

Max Drawdown (1Y)

Largest decline over 1 year

-2.73%

-9.10%

+6.37%

Max Drawdown (3Y)

Largest decline over 3 years

-6.32%

-18.90%

+12.58%

Max Drawdown (5Y)

Largest decline over 5 years

-19.61%

-25.43%

+5.82%

Max Drawdown (10Y)

Largest decline over 10 years

-19.61%

-33.92%

+14.31%

Current Drawdown

Current decline from peak

-3.78%

-1.80%

-1.98%

Average Drawdown

Average peak-to-trough decline

-2.98%

-10.71%

+7.73%

Ulcer Index

Depth and duration of drawdowns from previous peaks

0.96%

2.03%

-1.07%

Volatility

RFAYX vs. ^GSPC - Volatility Comparison

The current volatility for Russell Investments Investment Grade Bond Fund (RFAYX) is 1.11%, while S&P 500 Index (^GSPC) has a volatility of 4.67%. This indicates that RFAYX 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.


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Volatility by Period


RFAYX^GSPCDifference

Volatility (1M)

Calculated over the trailing 1-month period

1.11%

4.67%

-3.56%

Volatility (6M)

Calculated over the trailing 6-month period

2.60%

9.84%

-7.24%

Volatility (1Y)

Calculated over the trailing 1-year period

3.58%

12.50%

-8.92%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

5.90%

16.99%

-11.09%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

4.91%

18.11%

-13.20%

Frequently Asked Questions


RFAYX and ^GSPC have a correlation of 0.34, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

^GSPC has higher volatility (4.67%) compared to RFAYX (1.11%). In terms of maximum drawdown, RFAYX dropped -19.61% vs ^GSPC's -56.78%.

^GSPC currently has the higher Sharpe Ratio (2.03 vs 1.38), 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.

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