FDS FactSet Rese...

Fundamental Data

Get detailed Fundamental insights of FactSet Research Systems Inc. and compare it to the S&P500.
YTD Return
FDS -6.03%
vs.
SPY +18.46%
1-Year Return
FDS +4.82%
vs.
SPY +27.00%
3-Year Return
FDS +1.85%
vs.
SPY +5.68%

Worst 10 Drawdowns of FDS

Started Recovered Drawdown Days
Feb 20, 2020 Jun 2, 2020 -33.73% 104
Dec 30, 2021 Sep 17, 2024 -28.67% 993
Oct 26, 2015 Aug 22, 2016 -22.50% 302
Jun 20, 2019 Feb 14, 2020 -22.44% 240
Nov 29, 2018 Feb 28, 2019 -19.88% 92
Aug 20, 2020 Aug 5, 2021 -18.44% 351
Sep 6, 2016 Feb 16, 2017 -16.44% 164
Feb 22, 2017 Oct 19, 2017 -15.09% 240
Mar 21, 2018 Jun 19, 2018 -13.72% 91
Aug 18, 2015 Oct 21, 2015 -11.46% 65

FDS vs. S&P500

Comparison of company stats against the S&P500 Index.

Time Period between January 5, 2015 - September 17, 2024

Annual Return (%)

FDS
S&P500
Metric FDS S&P500
Cumulative Return +218.86% +174.09%
Compound Annual Growth Rate (CAGR) +8.6% +7.44%
Sharpe 0.60 0.67
Sortino 0.84 0.94
Max Drawdown -33.73% -34.1%
Longest Drawdown Days 993 745
Volatility (ann.) 25.21% 17.83%
Correlation 64.8% -
R^2 0.42 -
Calmar 0.25 0.22
Skew 0.02 -0.55
Kurtosis 11.22 12.49
Expected Daily +0.05% +0.04%
Expected Monthly +1% +0.87%
Expected Yearly +12.29% +10.61%
Kelly Criterion 5.6% 2.3%
Risk of Ruin 0% 0%
Daily Value-at-Risk -2.55% -1.80%
Expected Shortfall (cVaR) -2.55% -1.80%
Max Consecutive Wins 10 10
Max Consecutive Losses 9 8
Gain/Pain Ratio 0.12 0.14
Gain/Pain (1M) 0.73 0.78
Payoff Ratio 0.88 0.88
Profit Factor 1.12 1.14
Outlier Win Ratio 3.15 4.42
Outlier Loss Ratio 3.33 5.04
MTD +6.02% -0.11%
3M +11.58% +3.74%
6M -5.82% +10.44%
Best Day +15.12% +9.06%
Worst Day -11.10% -10.94%
Best Month +14.59% +12.70%
Worst Month -14.65% -13.00%
Best Year +46.17% +28.79%
Worst Year -17.45% -19.48%
Avg. Drawdown -4.01% -1.83%
Avg. Drawdown Days 38 22
Recovery Factor 4.35 3.41
Ulcer Index 0.10 0.08
Avg. Up Month +5.29% +4.10%
Avg. Down Month -6.01% -4.28%
Win Days 55.94% 54.39%
Win Month 62.39% 66.67%
Win Quarter 66.67% 76.92%
Win Year 80.00% 70.00%