^SP500TR vs. BDX
^SP500TR (S&P 500 Total Return) is an index, while BDX (Becton, Dickinson and Company) is a stock. Over the past 10 years, ^SP500TR returned 15.63%/yr vs 3.77%/yr for BDX. At a 0.45 correlation, their price movements are largely independent.
Performance
^SP500TR vs. BDX - Performance Comparison
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Returns By Period
In the year-to-date period, ^SP500TR achieves a 8.06% return, which is significantly higher than BDX's 3.57% return. Over the past 10 years, ^SP500TR has outperformed BDX with an annualized return of 15.63%, while BDX has yielded a comparatively lower 3.77% annualized return.
^SP500TR
- 1D
- -0.04%
- 1M
- -2.10%
- YTD
- 8.06%
- 6M
- 6.76%
- 1Y
- 21.21%
- 3Y*
- 20.49%
- 5Y*
- 13.05%
- 10Y*
- 15.63%
BDX
- 1D
- 3.00%
- 1M
- 6.64%
- YTD
- 3.57%
- 6M
- 2.38%
- 1Y
- 19.55%
- 3Y*
- -6.60%
- 5Y*
- -1.66%
- 10Y*
- 3.77%
^SP500TR vs. BDX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^SP500TR S&P 500 Total Return | 8.06% | 17.88% | 25.02% | 26.29% | -18.11% | 28.71% | 18.40% | 31.49% | -4.38% | 21.83% |
BDX Becton, Dickinson and Company | 3.57% | -12.61% | -5.38% | -2.67% | 5.08% | 1.88% | -6.75% | 22.20% | 6.61% | 31.24% |
Correlation
The correlation between ^SP500TR and BDX is 0.27, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.27 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.32 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.37 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.43 |
Correlation (All Time) Calculated using the full available price history since Jan 4, 1988 | 0.45 |
The correlation between ^SP500TR and BDX shifts across timeframes, from 0.27 (1 year) to 0.45 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
^SP500TR vs. BDX — Risk / Return Rank
^SP500TR
BDX
^SP500TR vs. BDX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 500 Total Return (^SP500TR) and Becton, Dickinson and Company (BDX). 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.
| ^SP500TR | BDX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.95 | ||
| Sortino ratioReturn per unit of downside risk | +0.93 | ||
| Omega ratioGain probability vs. loss probability | 1.31 | 1.15 | +0.16 |
| Calmar ratioReturn relative to maximum drawdown | 2.40 | 0.85 | +1.55 |
| Martin ratioReturn relative to average drawdown | 10.60 | 1.86 | +8.74 |
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Drawdowns
^SP500TR vs. BDX - Drawdown Comparison
The maximum ^SP500TR drawdown since its inception was -55.25%, which is greater than BDX's maximum drawdown of -51.17%. Use the drawdown chart below to compare losses from any high point for ^SP500TR and BDX.
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Drawdown Indicators
| ^SP500TR | BDX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -55.25% | -51.17% | -4.08% |
Max Drawdown (1Y)Largest decline over 1 year | -8.89% | -23.08% | +14.19% |
Max Drawdown (3Y)Largest decline over 3 years | -18.75% | -40.06% | +21.31% |
Max Drawdown (5Y)Largest decline over 5 years | -24.49% | -40.06% | +15.57% |
Max Drawdown (10Y)Largest decline over 10 years | -33.79% | -40.06% | +6.27% |
Current DrawdownCurrent decline from peak | -3.27% | -25.81% | +22.54% |
Average DrawdownAverage peak-to-trough decline | -8.16% | -11.60% | +3.44% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.01% | 10.52% | -8.51% |
Volatility
^SP500TR vs. BDX - Volatility Comparison
The current volatility for S&P 500 Total Return (^SP500TR) is 4.82%, while Becton, Dickinson and Company (BDX) has a volatility of 8.25%. This indicates that ^SP500TR experiences smaller price fluctuations and is considered to be less risky than BDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^SP500TR | BDX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.82% | 8.25% | -3.43% |
Volatility (6M)Calculated over the trailing 6-month period | 9.87% | 18.88% | -9.01% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.50% | 25.86% | -13.36% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.99% | 23.49% | -6.50% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.07% | 23.64% | -5.57% |
Frequently Asked Questions
^SP500TR and BDX have a correlation of 0.27, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BDX has higher volatility (8.25%) compared to ^SP500TR (4.82%). In terms of maximum drawdown, ^SP500TR dropped -55.25% vs BDX's -51.17%.
^SP500TR currently has the higher Sharpe Ratio (1.71 vs 0.76), 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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