MDT vs. ^GSPC
MDT (Medtronic plc) is a stock, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, MDT returned 2.48%/yr vs 13.65%/yr for ^GSPC. At a 0.46 correlation, their price movements are largely independent.
Performance
MDT vs. ^GSPC - Performance Comparison
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Returns By Period
In the year-to-date period, MDT achieves a -14.01% return, which is significantly lower than ^GSPC's 10.79% return. Over the past 10 years, MDT has underperformed ^GSPC with an annualized return of 2.48%, while ^GSPC has yielded a comparatively higher 13.65% annualized return.
MDT
- 1D
- 5.11%
- 1M
- 5.32%
- YTD
- -14.01%
- 6M
- -18.42%
- 1Y
- -1.25%
- 3Y*
- 2.56%
- 5Y*
- -5.08%
- 10Y*
- 2.48%
^GSPC
- 1D
- 0.41%
- 1M
- 4.48%
- YTD
- 10.79%
- 6M
- 10.60%
- 1Y
- 27.02%
- 3Y*
- 21.07%
- 5Y*
- 12.39%
- 10Y*
- 13.65%
MDT vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
MDT Medtronic plc | -14.01% | 24.05% | 0.28% | 9.58% | -22.55% | -9.79% | 5.70% | 27.34% | 15.18% | 15.90% |
^GSPC S&P 500 Index | 10.79% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 28.88% | -6.24% | 19.42% |
Correlation
The correlation between MDT and ^GSPC is 0.20, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.20 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.30 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.44 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.51 |
Correlation (All Time) Calculated using the full available price history since Jan 4, 1982 | 0.46 |
Over the past year, the correlation between MDT and ^GSPC has dropped to 0.20 - well below their long-term average of 0.46, suggesting their price drivers have been diverging.
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Return for Risk
MDT vs. ^GSPC — Risk / Return Rank
MDT
^GSPC
MDT vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Medtronic plc (MDT) and S&P 500 Index (^GSPC). 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.
| MDT | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.34 | ||
| Sortino ratioReturn per unit of downside risk | -3.06 | ||
| Omega ratioGain probability vs. loss probability | 1.01 | 1.41 | -0.41 |
| Calmar ratioReturn relative to maximum drawdown | -0.04 | 2.98 | -3.03 |
| Martin ratioReturn relative to average drawdown | -0.11 | 13.78 | -13.89 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| MDT | ^GSPC | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.06 | 2.28 | -2.34 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.23 | 0.74 | -0.97 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.11 | 0.76 | -0.65 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.47 | 0.47 | 0.00 |
Drawdowns
MDT vs. ^GSPC - Drawdown Comparison
The maximum MDT drawdown since its inception was -57.63%, roughly equal to the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for MDT and ^GSPC.
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Drawdown Indicators
| MDT | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -57.63% | -56.78% | -0.85% |
Max Drawdown (1Y)Largest decline over 1 year | -28.90% | -9.10% | -19.80% |
Max Drawdown (3Y)Largest decline over 3 years | -28.90% | -18.90% | -10.00% |
Max Drawdown (5Y)Largest decline over 5 years | -45.10% | -25.43% | -19.67% |
Max Drawdown (10Y)Largest decline over 10 years | -45.10% | -33.92% | -11.18% |
Current DrawdownCurrent decline from peak | -29.74% | -0.33% | -29.41% |
Average DrawdownAverage peak-to-trough decline | -16.54% | -10.72% | -5.82% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 11.00% | 1.97% | +9.03% |
Volatility
MDT vs. ^GSPC - Volatility Comparison
Medtronic plc (MDT) has a higher volatility of 9.94% compared to S&P 500 Index (^GSPC) at 2.88%. This indicates that MDT's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| MDT | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 9.94% | 2.88% | +7.06% |
Volatility (6M)Calculated over the trailing 6-month period | 16.16% | 9.00% | +7.16% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.94% | 11.89% | +9.05% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.93% | 16.90% | +5.03% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.23% | 18.06% | +5.17% |
Frequently Asked Questions
MDT and ^GSPC have a correlation of 0.20, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MDT has higher volatility (9.94%) compared to ^GSPC (2.88%). In terms of maximum drawdown, MDT dropped -57.63% vs ^GSPC's -56.78%.
^GSPC currently has the higher Sharpe Ratio (2.28 vs -0.06), 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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