FactSet (FDS): analysis and statistics
Return, volatility, Sharpe ratio and risk for FactSet, a component of the S&P 500 in the Financials sector. Data as of 2026-09-13.
| Last close price | $259.71 |
| Sector (GICS) | Financials |
| Annualized return (3.0 yr) | -14.57% |
| Total return over period | -37.45% |
| Annualized volatility | 32.68% |
| Period volatility | 56.41% |
| Sharpe ratio | -0.57 |
| Sortino ratio | -0.77 |
| Max drawdown | -61.13% |
| CVaR 95% (avg. loss, worst 5% of days) | -5.30% |
| Correlation with the S&P 500 | 0.23 |
| Period range | $188.17 – $484.11 |
| Trading days analyzed | 751 |
Over the last 3.0 years, FactSet (FDS) has posted an annualized return of -14.57% with annual volatility of 32.68%, a negative Sharpe ratio: over this period it did not beat the risk-free Treasury rate. Its worst stretch (max drawdown from a peak) was -61.13%. Its correlation with the S&P 500 is 0.23, which means it moves fairly independently of the index, useful for diversification.
These are historical, realized metrics, not projections: they describe how the stock behaved, not how it will behave going forward. To see how FDS would fit inside an optimized portfolio alongside other stocks, try the optimizer.
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Is it part of the S&P 500?
Yes, FactSet (FDS) is of the S&P 500.
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