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TSX/S&P500

Last updated Sep 21, 2023

Asset Allocation


SPXU 60%XIU.TO 40%EquityEquity
PositionCategory/SectorWeight
SPXU
ProShares UltraPro Short S&P500
Leveraged Equities, Leveraged60%
XIU.TO
iShares S&P/TSX 60 Index ETF
Large Cap Growth Equities40%

Performance

The chart shows the growth of an initial investment of $10,000 in TSX/S&P500, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly


-20.00%-10.00%0.00%10.00%20.00%AprilMayJuneJulyAugustSeptember
-12.09%
10.86%
TSX/S&P500
Benchmark (^GSPC)
Portfolio components

Returns

As of Sep 21, 2023, the TSX/S&P500 returned -17.85% Year-To-Date and -20.00% of annualized return in the last 10 years.


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark0.33%11.48%14.66%16.16%8.35%9.81%
TSX/S&P5001.30%-12.85%-17.85%-22.08%-18.89%-20.06%
XIU.TO
iShares S&P/TSX 60 Index ETF
3.99%6.70%6.09%7.21%6.89%5.25%
SPXU
ProShares UltraPro Short S&P500
-0.54%-25.53%-32.33%-40.02%-40.12%-38.31%

Asset Correlations Table

The table below shows the correlation coefficients between the assets in the portfolio.

SPXUXIU.TO
SPXU1.00-0.75
XIU.TO-0.751.00

Sharpe Ratio

The current TSX/S&P500 Sharpe ratio is -1.11. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

-1.000.001.002.003.004.00-1.11

The Sharpe ratio of TSX/S&P500 is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.00AprilMayJuneJulyAugustSeptember
-1.11
1.19
TSX/S&P500
Benchmark (^GSPC)
Portfolio components

Dividend yield

TSX/S&P500 granted a 3.98% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
TSX/S&P5003.98%1.48%1.02%1.74%2.61%2.35%1.28%1.28%1.59%1.36%1.41%1.45%
XIU.TO
iShares S&P/TSX 60 Index ETF
3.25%3.08%2.55%3.25%3.18%3.64%3.04%3.20%3.97%3.39%3.53%3.64%
SPXU
ProShares UltraPro Short S&P500
4.47%0.41%0.00%0.73%2.23%1.50%0.11%0.00%0.00%0.00%0.00%0.00%

Expense Ratio

The TSX/S&P500 has a high expense ratio of 0.63%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.93%
0.00%2.15%
0.18%
0.00%2.15%

Risk-Adjusted Performance

This table presents a comparison of risk-adjusted performance metrics for positions. 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.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
XIU.TO
iShares S&P/TSX 60 Index ETF
0.39
SPXU
ProShares UltraPro Short S&P500
-0.67

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%AprilMayJuneJulyAugustSeptember
-97.45%
-8.22%
TSX/S&P500
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the TSX/S&P500. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the TSX/S&P500 is 97.61%, recorded on Jul 28, 2023. The portfolio has not recovered from it yet.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-97.61%Jul 13, 20093599Jul 28, 2023
-1.54%Jun 29, 20091Jun 29, 20093Jul 2, 20094
-0.96%Jul 6, 20091Jul 6, 20091Jul 7, 20092
-0.62%Jul 8, 20091Jul 8, 20092Jul 10, 20093

Volatility Chart

The current TSX/S&P500 volatility is 5.07%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%AprilMayJuneJulyAugustSeptember
5.07%
3.47%
TSX/S&P500
Benchmark (^GSPC)
Portfolio components