Canadian Income

Performance

Risk-Adjusted Performance

Dividends

Drawdowns

Volatility

Diversification

Canadian Income

Currency in USD · Last updated May 25, 2025

Asset Allocation

Position	Category/Sector	Target Weight
ALA.TO AltaGas Ltd.	Utilities	8.11%
ARX.TO ARC Resources Ltd.	Energy	8.11%
BIP-UN.TO Brookfield Infrastructure Partners L.P	Utilities	8.11%
BMO.TO Bank of Montreal	Financial Services	6%
BN.TO Brookfield Corporation	Financial Services	8.11%
BNS.TO The Bank of Nova Scotia	Financial Services	8.11%
CM.TO Canadian Imperial Bank of Commerce	Financial Services	8.11%
CPX.TO Capital Power Corporation	Utilities	8.11%
EIF.TO Exchange Income Corporation	Industrials	8.11%
NA.TO National Bank of Canada	Financial Services	7%
PPL.TO Pembina Pipeline Corporation	Energy	8.11%
RY.TO Royal Bank of Canada	Financial Services	8%
TD.TO The Toronto-Dominion Bank	Financial Services	6%

Benchmark

S&P 500

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Performance

Performance Chart

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The earliest data available for this chart is Sep 10, 2009, corresponding to the inception date of BIP-UN.TO

Returns By Period

As of May 25, 2025, the Canadian Income returned 7.82% Year-To-Date and 11.25% of annualized return in the last 10 years.

	YTD	1M	6M	1Y	5Y*	10Y*
^GSPC S&P 500	-1.34%	5.80%	-2.79%	9.39%	14.45%	10.68%
Canadian Income	7.82%	8.13%	3.87%	27.24%	23.41%	11.25%
Portfolio components:
RY.TO Royal Bank of Canada	8.21%	8.85%	4.33%	26.01%	21.51%	11.48%
NA.TO National Bank of Canada	4.13%	9.85%	-2.93%	16.19%	25.21%	13.71%
TD.TO The Toronto-Dominion Bank	30.48%	8.64%	23.62%	25.91%	16.41%	8.64%
BMO.TO Bank of Montreal	9.50%	9.99%	11.93%	14.08%	23.82%	10.09%
CM.TO Canadian Imperial Bank of Commerce	8.99%	12.73%	6.43%	46.91%	22.59%	7.92%
PPL.TO Pembina Pipeline Corporation	2.71%	-2.40%	-10.10%	9.58%	18.11%	8.75%
EIF.TO Exchange Income Corporation	2.76%	14.24%	5.32%	29.99%	26.04%	15.55%
BIP-UN.TO Brookfield Infrastructure Partners L.P	3.93%	12.42%	-3.87%	13.89%	8.09%	7.99%
ARX.TO ARC Resources Ltd.	19.95%	12.33%	14.41%	21.25%	43.72%	5.96%
ALA.TO AltaGas Ltd.	19.51%	-4.31%	11.44%	28.67%	25.18%	4.01%
BNS.TO The Bank of Nova Scotia	0.12%	7.35%	-4.82%	16.11%	15.02%	5.97%
CPX.TO Capital Power Corporation	-9.63%	9.00%	-7.42%	49.71%	23.07%	14.38%
BN.TO Brookfield Corporation	-0.53%	7.69%	-1.84%	28.03%	18.92%	11.88%

*Annualized

Monthly Returns

The table below presents the monthly returns of Canadian Income, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2025	-1.33%	-0.60%	-0.98%	4.64%	6.09%								7.82%
2024	-1.22%	1.66%	5.05%	-5.21%	5.08%	-2.33%	6.92%	5.86%	4.70%	-0.22%	5.98%	-3.88%	23.62%
2023	7.89%	-5.99%	-1.10%	2.69%	-3.45%	5.81%	3.68%	-5.56%	-3.01%	-7.03%	10.54%	9.51%	12.47%
2022	3.91%	1.35%	3.74%	-5.13%	5.74%	-10.50%	6.96%	-3.45%	-10.47%	4.61%	6.65%	-6.51%	-5.38%
2021	1.16%	6.42%	7.86%	5.12%	7.50%	1.19%	0.14%	-0.06%	1.48%	5.66%	-6.46%	6.88%	42.44%
2020	0.18%	-6.82%	-29.12%	15.86%	-0.70%	3.18%	4.00%	10.67%	-5.21%	-0.11%	17.60%	2.11%	2.79%
2019	13.20%	5.58%	-1.84%	2.49%	-3.79%	4.50%	0.62%	-2.62%	6.68%	-0.20%	4.34%	2.97%	35.52%
2018	-0.58%	-6.59%	-0.74%	0.84%	1.26%	-0.11%	4.90%	-1.48%	1.35%	-9.46%	-1.78%	-9.21%	-20.48%
2017	2.84%	0.06%	0.67%	-4.38%	0.05%	4.53%	2.44%	1.31%	3.71%	-1.33%	1.26%	2.91%	14.65%
2016	-0.33%	1.65%	12.29%	6.01%	-1.39%	1.45%	3.49%	1.81%	1.49%	-0.44%	2.74%	3.41%	36.48%
2015	-12.54%	7.63%	-4.26%	8.38%	-5.02%	-3.26%	-4.72%	-2.37%	-4.46%	6.69%	-3.05%	-6.05%	-22.49%
2014	-5.53%	4.19%	3.43%	2.06%	3.53%	4.65%	-2.23%	5.30%	-6.74%	0.12%	0.87%	-3.31%	5.56%

Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Expense Ratio

Canadian Income has an expense ratio of 0.00%, meaning no management fees are charged. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

The portfolio doesn't include any funds that charge management fees.

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 91, Canadian Income is among the top 9% of portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

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.

Portfolio components

	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
RY.TO Royal Bank of Canada	1.45	1.99	1.26	1.73	4.91
NA.TO National Bank of Canada	0.85	1.25	1.19	0.73	1.98
TD.TO The Toronto-Dominion Bank	1.53	1.87	1.27	0.87	3.39
BMO.TO Bank of Montreal	0.67	0.97	1.16	0.60	2.00
CM.TO Canadian Imperial Bank of Commerce	2.38	3.34	1.44	2.47	7.53
PPL.TO Pembina Pipeline Corporation	0.51	0.72	1.11	0.55	1.14
EIF.TO Exchange Income Corporation	1.40	1.92	1.24	1.45	4.17
BIP-UN.TO Brookfield Infrastructure Partners L.P	0.56	0.88	1.11	0.15	1.48
ARX.TO ARC Resources Ltd.	0.63	1.02	1.12	0.98	2.51
ALA.TO AltaGas Ltd.	1.52	1.90	1.27	1.26	5.28
BNS.TO The Bank of Nova Scotia	1.00	1.38	1.18	0.59	2.18
CPX.TO Capital Power Corporation	1.51	1.84	1.29	1.44	3.36
BN.TO Brookfield Corporation	0.85	1.31	1.18	1.06	3.47

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Canadian Income Sharpe ratios as of May 25, 2025 (values are recalculated daily):

1-Year: 1.72
5-Year: 1.21
10-Year: 0.50
All Time: 0.55

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.49 to 1.03, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of Canadian Income compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

Dividend yield

Canadian Income provided a 4.23% dividend yield over the last twelve months.

	TTM	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015	2014
Portfolio	4.23%	4.25%	5.10%	4.57%	4.02%	4.82%	3.58%	4.94%	3.55%	3.31%	4.38%	3.35%
Portfolio components:
RY.TO Royal Bank of Canada	3.29%	3.23%	3.99%	3.90%	3.22%	4.10%	3.96%	4.03%	3.39%	3.57%	4.15%	3.54%
NA.TO National Bank of Canada	3.47%	4.17%	4.03%	4.03%	3.11%	3.96%	3.77%	4.44%	3.70%	4.03%	5.16%	3.88%
TD.TO The Toronto-Dominion Bank	4.46%	5.33%	4.48%	4.06%	3.26%	4.32%	3.97%	3.85%	3.19%	3.26%	3.69%	3.31%
BMO.TO Bank of Montreal	4.40%	4.39%	4.42%	5.32%	3.74%	5.20%	4.03%	4.24%	3.54%	3.84%	4.15%	4.16%
CM.TO Canadian Imperial Bank of Commerce	4.00%	4.04%	5.47%	6.47%	2.03%	2.01%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
PPL.TO Pembina Pipeline Corporation	6.86%	7.09%	7.92%	6.96%	10.89%	13.89%	4.92%	5.53%	4.48%	4.52%	5.97%	4.06%
EIF.TO Exchange Income Corporation	4.65%	4.49%	5.63%	4.58%	5.41%	6.22%	4.99%	7.71%	5.89%	4.79%	6.37%	7.28%
BIP-UN.TO Brookfield Infrastructure Partners L.P	7.12%	6.65%	6.76%	4.88%	2.76%	1.76%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
ARX.TO ARC Resources Ltd.	2.43%	2.69%	3.36%	2.68%	2.49%	5.00%	7.33%	7.41%	4.07%	2.81%	7.18%	4.76%
ALA.TO AltaGas Ltd.	3.22%	3.58%	4.03%	4.62%	3.59%	5.15%	4.85%	15.02%	7.39%	5.99%	6.10%	3.90%
BNS.TO The Bank of Nova Scotia	5.91%	5.49%	8.92%	6.99%	5.95%	5.23%	3.60%	4.91%	3.82%	3.91%	6.11%	3.86%
CPX.TO Capital Power Corporation	4.74%	3.98%	6.32%	4.87%	5.37%	5.67%	5.39%	6.51%	6.59%	6.50%	7.93%	5.04%
BN.TO Brookfield Corporation	0.47%	0.39%	0.53%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.

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Worst Drawdowns

The table below displays the maximum drawdowns of the Canadian Income. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Canadian Income was 52.72%, occurring on Mar 23, 2020. Recovery took 183 trading sessions.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-52.72%	Feb 20, 2020	23	Mar 23, 2020	183	Dec 10, 2020	206
-40.14%	Sep 5, 2014	343	Jan 18, 2016	257	Jan 25, 2017	600
-25%	Jan 8, 2018	244	Dec 24, 2018	215	Nov 4, 2019	459
-23.59%	Jun 8, 2022	353	Oct 27, 2023	140	May 17, 2024	493
-18.4%	Jul 22, 2011	51	Oct 4, 2011	88	Feb 9, 2012	139

Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 13 assets, with an effective number of assets of 12.87, reflecting the diversification based on asset allocation. This number of effective assets suggests that the portfolio's investments are spread across a variety of assets, indicating a well-diversified allocation. However, true diversification also depends on the correlations between assets.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	^GSPC	BIP-UN.TO	EIF.TO	CPX.TO	ARX.TO	ALA.TO	PPL.TO	BN.TO	NA.TO	CM.TO	TD.TO	BNS.TO	RY.TO	BMO.TO	Portfolio
^GSPC	1.00	0.44	0.43	0.41	0.41	0.43	0.48	0.68	0.55	0.58	0.61	0.60	0.62	0.61	0.68
BIP-UN.TO	0.44	1.00	0.33	0.38	0.33	0.39	0.41	0.48	0.42	0.42	0.42	0.44	0.44	0.44	0.59
EIF.TO	0.43	0.33	1.00	0.35	0.32	0.37	0.39	0.44	0.45	0.46	0.47	0.48	0.47	0.48	0.62
CPX.TO	0.41	0.38	0.35	1.00	0.34	0.49	0.44	0.41	0.45	0.46	0.44	0.47	0.45	0.45	0.62
ARX.TO	0.41	0.33	0.32	0.34	1.00	0.48	0.55	0.39	0.45	0.47	0.48	0.47	0.47	0.48	0.68
ALA.TO	0.43	0.39	0.37	0.49	0.48	1.00	0.59	0.44	0.49	0.50	0.48	0.50	0.51	0.51	0.69
PPL.TO	0.48	0.41	0.39	0.44	0.55	0.59	1.00	0.49	0.52	0.54	0.54	0.55	0.54	0.56	0.73
BN.TO	0.68	0.48	0.44	0.41	0.39	0.44	0.49	1.00	0.56	0.59	0.62	0.62	0.62	0.63	0.73
NA.TO	0.55	0.42	0.45	0.45	0.45	0.49	0.52	0.56	1.00	0.72	0.72	0.73	0.75	0.75	0.78
CM.TO	0.58	0.42	0.46	0.46	0.47	0.50	0.54	0.59	0.72	1.00	0.77	0.79	0.80	0.80	0.82
TD.TO	0.61	0.42	0.47	0.44	0.48	0.48	0.54	0.62	0.72	0.77	1.00	0.80	0.82	0.80	0.81
BNS.TO	0.60	0.44	0.48	0.47	0.47	0.50	0.55	0.62	0.73	0.79	0.80	1.00	0.80	0.80	0.83
RY.TO	0.62	0.44	0.47	0.45	0.47	0.51	0.54	0.62	0.75	0.80	0.82	0.80	1.00	0.82	0.83
BMO.TO	0.61	0.44	0.48	0.45	0.48	0.51	0.56	0.63	0.75	0.80	0.80	0.80	0.82	1.00	0.83
Portfolio	0.68	0.59	0.62	0.62	0.68	0.69	0.73	0.73	0.78	0.82	0.81	0.83	0.83	0.83	1.00

The correlation results are calculated based on daily price changes starting from Sep 11, 2009

Go to the full Correlations tool for more customization options

Performance Analysis

Risk Analysis

Optimization

Factor Model

Canadian Income

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Expense Ratio

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

Risk-Adjusted Performance Indicators

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table

Performance Analysis

Risk Analysis

Optimization

Factor Model

Portfolios

Screeners

Community