BDX vs. ^SP500TR
Compare and contrast key facts about Becton, Dickinson and Company (BDX) and S&P 500 Total Return (^SP500TR).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: BDX or ^SP500TR.
Performance
BDX vs. ^SP500TR - Performance Comparison
Returns By Period
In the year-to-date period, BDX achieves a -6.54% return, which is significantly lower than ^SP500TR's 24.56% return. Over the past 10 years, BDX has underperformed ^SP500TR with an annualized return of 7.45%, while ^SP500TR has yielded a comparatively higher 13.16% annualized return.
BDX
-6.54%
-7.63%
-3.95%
-1.91%
0.16%
7.45%
^SP500TR
24.56%
0.19%
11.42%
31.86%
15.35%
13.16%
Key characteristics
| BDX | ^SP500TR | |
|---|---|---|
| Sharpe Ratio | -0.12 | 2.63 |
| Sortino Ratio | -0.04 | 3.52 |
| Omega Ratio | 1.00 | 1.49 |
| Calmar Ratio | -0.10 | 3.81 |
| Martin Ratio | -0.49 | 17.22 |
| Ulcer Index | 4.29% | 1.87% |
| Daily Std Dev | 18.21% | 12.25% |
| Max Drawdown | -51.17% | -55.25% |
| Current Drawdown | -19.04% | -2.14% |
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Correlation
The correlation between BDX and ^SP500TR 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.
Risk-Adjusted Performance
BDX vs. ^SP500TR - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Becton, Dickinson and Company (BDX) and S&P 500 Total Return (^SP500TR). 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.
Drawdowns
BDX vs. ^SP500TR - Drawdown Comparison
The maximum BDX drawdown since its inception was -51.17%, smaller than the maximum ^SP500TR drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for BDX and ^SP500TR. For additional features, visit the drawdowns tool.
Volatility
BDX vs. ^SP500TR - Volatility Comparison
Becton, Dickinson and Company (BDX) has a higher volatility of 7.30% compared to S&P 500 Total Return (^SP500TR) at 4.05%. This indicates that BDX's price experiences larger fluctuations and is considered to be riskier than ^SP500TR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.