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^SP500TR vs. BDX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


^SP500TRBDX
YTD Return19.30%-2.79%
1Y Return28.44%-10.06%
3Y Return (Ann)9.72%-1.24%
5Y Return (Ann)15.27%-0.23%
10Y Return (Ann)12.93%9.30%
Sharpe Ratio2.11-0.52
Daily Std Dev12.72%19.66%
Max Drawdown-55.25%-52.14%
Current Drawdown-0.35%-15.79%

Correlation

-0.50.00.51.00.5

The correlation between ^SP500TR and BDX is 0.46, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

^SP500TR vs. BDX - Performance Comparison

In the year-to-date period, ^SP500TR achieves a 19.30% return, which is significantly higher than BDX's -2.79% return. Over the past 10 years, ^SP500TR has outperformed BDX with an annualized return of 12.93%, while BDX has yielded a comparatively lower 9.30% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


4,000.00%4,500.00%5,000.00%5,500.00%6,000.00%6,500.00%AprilMayJuneJulyAugustSeptember
4,712.60%
6,416.95%
^SP500TR
BDX

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Risk-Adjusted Performance

^SP500TR vs. BDX - Risk-Adjusted Performance 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.


^SP500TR
Sharpe ratio
The chart of Sharpe ratio for ^SP500TR, currently valued at 2.11, compared to the broader market0.001.002.002.11
Sortino ratio
The chart of Sortino ratio for ^SP500TR, currently valued at 2.83, compared to the broader market-1.000.001.002.003.002.83
Omega ratio
The chart of Omega ratio for ^SP500TR, currently valued at 1.38, compared to the broader market0.901.001.101.201.301.401.501.38
Calmar ratio
The chart of Calmar ratio for ^SP500TR, currently valued at 2.32, compared to the broader market0.001.002.003.004.005.002.32
Martin ratio
The chart of Martin ratio for ^SP500TR, currently valued at 11.40, compared to the broader market0.005.0010.0015.0020.0011.40
BDX
Sharpe ratio
The chart of Sharpe ratio for BDX, currently valued at -0.51, compared to the broader market0.001.002.00-0.51
Sortino ratio
The chart of Sortino ratio for BDX, currently valued at -0.55, compared to the broader market-1.000.001.002.003.00-0.55
Omega ratio
The chart of Omega ratio for BDX, currently valued at 0.93, compared to the broader market0.901.001.101.201.301.401.500.93
Calmar ratio
The chart of Calmar ratio for BDX, currently valued at -0.49, compared to the broader market0.001.002.003.004.005.00-0.49
Martin ratio
The chart of Martin ratio for BDX, currently valued at -0.99, compared to the broader market0.005.0010.0015.0020.00-0.99

^SP500TR vs. BDX - Sharpe Ratio Comparison

The current ^SP500TR Sharpe Ratio is 2.11, which is higher than the BDX Sharpe Ratio of -0.52. The chart below compares the 12-month rolling Sharpe Ratio of ^SP500TR and BDX.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00AprilMayJuneJulyAugustSeptember
2.11
-0.51
^SP500TR
BDX

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 -52.14%. Use the drawdown chart below to compare losses from any high point for ^SP500TR and BDX. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%AprilMayJuneJulyAugustSeptember
-0.35%
-15.79%
^SP500TR
BDX

Volatility

^SP500TR vs. BDX - Volatility Comparison

The current volatility for S&P 500 Total Return (^SP500TR) is 4.09%, while Becton, Dickinson and Company (BDX) has a volatility of 4.42%. 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.


2.00%3.00%4.00%5.00%6.00%7.00%AprilMayJuneJulyAugustSeptember
4.09%
4.42%
^SP500TR
BDX