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CHD vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


CHDSPY
YTD Return10.77%11.73%
1Y Return12.11%27.88%
3Y Return (Ann)8.00%9.68%
5Y Return (Ann)8.12%15.61%
10Y Return (Ann)13.22%12.67%
Sharpe Ratio0.742.69
Daily Std Dev17.11%11.40%
Max Drawdown-51.52%-55.19%
Current Drawdown-3.20%-0.36%

Correlation

-0.50.00.51.00.3

The correlation between CHD and SPY is 0.34, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

CHD vs. SPY - Performance Comparison

In the year-to-date period, CHD achieves a 10.77% return, which is significantly lower than SPY's 11.73% return. Both investments have delivered pretty close results over the past 10 years, with CHD having a 13.22% annualized return and SPY not far behind at 12.67%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


2,000.00%3,000.00%4,000.00%5,000.00%6,000.00%7,000.00%December2024FebruaryMarchAprilMay
6,871.42%
2,037.62%
CHD
SPY

Compare stocks, funds, or ETFs

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Church & Dwight Co., Inc.

SPDR S&P 500 ETF

Risk-Adjusted Performance

CHD vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Church & Dwight Co., Inc. (CHD) and SPDR S&P 500 ETF (SPY). 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.


CHD
Sharpe ratio
The chart of Sharpe ratio for CHD, currently valued at 0.74, compared to the broader market-2.00-1.000.001.002.003.004.000.74
Sortino ratio
The chart of Sortino ratio for CHD, currently valued at 1.03, compared to the broader market-4.00-2.000.002.004.006.001.03
Omega ratio
The chart of Omega ratio for CHD, currently valued at 1.14, compared to the broader market0.501.001.502.001.14
Calmar ratio
The chart of Calmar ratio for CHD, currently valued at 0.80, compared to the broader market0.002.004.006.000.80
Martin ratio
The chart of Martin ratio for CHD, currently valued at 2.46, compared to the broader market-10.000.0010.0020.0030.002.46
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 2.60, compared to the broader market-2.00-1.000.001.002.003.004.002.60
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 3.66, compared to the broader market-4.00-2.000.002.004.006.003.66
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.46, compared to the broader market0.501.001.502.001.46
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 2.53, compared to the broader market0.002.004.006.002.53
Martin ratio
The chart of Martin ratio for SPY, currently valued at 10.21, compared to the broader market-10.000.0010.0020.0030.0010.21

CHD vs. SPY - Sharpe Ratio Comparison

The current CHD Sharpe Ratio is 0.74, which is lower than the SPY Sharpe Ratio of 2.69. The chart below compares the 12-month rolling Sharpe Ratio of CHD and SPY.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00December2024FebruaryMarchAprilMay
0.74
2.60
CHD
SPY

Dividends

CHD vs. SPY - Dividend Comparison

CHD's dividend yield for the trailing twelve months is around 1.07%, less than SPY's 1.27% yield.


TTM20232022202120202019201820172016201520142013
CHD
Church & Dwight Co., Inc.
1.07%1.15%1.30%0.99%1.10%1.29%1.32%1.51%1.61%1.58%1.57%1.69%
SPY
SPDR S&P 500 ETF
1.27%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

CHD vs. SPY - Drawdown Comparison

The maximum CHD drawdown since its inception was -51.52%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for CHD and SPY. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%December2024FebruaryMarchAprilMay
-3.20%
-0.36%
CHD
SPY

Volatility

CHD vs. SPY - Volatility Comparison

Church & Dwight Co., Inc. (CHD) has a higher volatility of 3.60% compared to SPDR S&P 500 ETF (SPY) at 3.02%. This indicates that CHD's price experiences larger fluctuations and is considered to be riskier than SPY 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%8.00%December2024FebruaryMarchAprilMay
3.60%
3.02%
CHD
SPY