^SP500TR vs. BDX

Last updated Jun 5, 2026

^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 15.58%/yr vs 3.09%/yr for BDX. At a 0.45 correlation, their price movements are largely independent.

Performance

^SP500TR vs. BDX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 500 Total Return (^SP500TR) and Becton, Dickinson and Company (BDX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ^SP500TR achieves a 11.36% return, which is significantly higher than BDX's -0.29% return. Over the past 10 years, ^SP500TR has outperformed BDX with an annualized return of 15.58%, while BDX has yielded a comparatively lower 3.09% annualized return.

^SP500TR

• 1D: 0.42%
• 1M: 4.61%
• YTD: 11.36%
• 6M: 11.27%
• 1Y: 28.58%
• 3Y*: 22.72%
• 5Y*: 14.02%
• 10Y*: 15.58%

BDX

• 1D: 1.07%
• 1M: 4.42%
• YTD: -0.29%
• 6M: 0.31%
• 1Y: 15.06%
• 3Y*: -6.72%
• 5Y*: -2.30%
• 10Y*: 3.09%

*Multi-year figures are annualized to reflect compound growth (CAGR)

^SP500TR vs. BDX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^SP500TR S&P 500 Total Return	11.36%	17.88%	25.02%	26.29%	-18.11%	28.71%	18.40%	31.49%	-4.38%	21.83%
BDX Becton, Dickinson and Company	-0.29%	-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 0.33, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.33
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 5, 1988	0.45

The correlation between ^SP500TR and BDX shifts across timeframes, from 0.32 (3 years) to 0.45 (all time), reflecting how their relationship changes across market environments.

Return for Risk

^SP500TR vs. BDX — Risk / Return Rank

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

^SP500TR

^SP500TR Risk / Return Rank: 84
^SP500TR Sharpe Ratio Rank: 83
^SP500TR Sortino Ratio Rank: 85
^SP500TR Omega Ratio Rank: 83
^SP500TR Calmar Ratio Rank: 80
^SP500TR Martin Ratio Rank: 90

BDX

BDX Risk / Return Rank: 58
BDX Sharpe Ratio Rank: 62
BDX Sortino Ratio Rank: 59
BDX Omega Ratio Rank: 54
BDX Calmar Ratio Rank: 56
BDX Martin Ratio Rank: 58

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.

^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.

	^SP500TR	BDX	Difference
Sharpe ratio: Return per unit of total volatility	2.42	0.61	+1.81
Sortino ratio: Return per unit of downside risk	3.30	1.19	+2.11
Omega ratio: Gain probability vs. loss probability	1.44	1.13	+0.31
Calmar ratio: Return relative to maximum drawdown	3.23	0.67	+2.56
Martin ratio: Return relative to average drawdown	15.09	1.60	+13.50
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^SP500TR vs. BDX - Sharpe Ratio Comparison

The current ^SP500TR Sharpe Ratio is 2.42, which is higher than the BDX Sharpe Ratio of 0.61. The chart below compares the historical Sharpe Ratios of ^SP500TR and BDX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	^SP500TR	BDX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.42	0.61	+1.81
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.83	-0.10	+0.93
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.87	0.13	+0.73
Sharpe Ratio (All Time) Calculated using the full available price history	0.65	0.42	+0.22

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.

Drawdown Indicators

	^SP500TR	BDX	Difference
Max Drawdown Largest peak-to-trough decline	-55.25%	-51.17%	-4.08%
Max Drawdown (1Y) Largest decline over 1 year	-8.89%	-22.73%	+13.84%
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 Drawdown Current decline from peak	-0.32%	-28.57%	+28.25%
Average Drawdown Average peak-to-trough decline	-8.16%	-11.57%	+3.41%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.90%	9.45%	-7.55%

Volatility

^SP500TR vs. BDX - Volatility Comparison

The current volatility for S&P 500 Total Return (^SP500TR) is 2.87%, while Becton, Dickinson and Company (BDX) has a volatility of 10.01%. 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.

Volatility by Period

	^SP500TR	BDX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.87%	10.01%	-7.14%
Volatility (6M) Calculated over the trailing 6-month period	9.00%	18.31%	-9.31%
Volatility (1Y) Calculated over the trailing 1-year period	11.88%	25.00%	-13.12%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.90%	23.27%	-6.37%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.06%	23.57%	-5.51%

Frequently Asked Questions

Can I hold both ^SP500TR and BDX in my portfolio?

^SP500TR and BDX have a correlation of 0.33, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ^SP500TR or BDX?

BDX has higher volatility (10.01%) compared to ^SP500TR (2.87%). In terms of maximum drawdown, ^SP500TR dropped -55.25% vs BDX's -51.17%.

Which has better risk-adjusted returns?

^SP500TR currently has the higher Sharpe Ratio (2.42 vs 0.61), 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.