Asset Allocation
Find the right asset allocation for Canadian Income
Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
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Performance Chart
The chart shows the growth of an initial investment of $10,000 in Canadian Income, 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 Every 3 months.
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Returns By Period
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.50% | 0.31% | 8.56% | 8.85% | 24.33% | 19.37% | 11.84% | 13.61% |
Portfolio Canadian Income | 0.56% | 1.87% | 18.63% | 19.32% | 39.23% | 25.10% | 15.45% | — |
| Portfolio components: | ||||||||
AVDV Avantis International Small Cap Value ETF | 0.89% | -1.99% | 14.99% | 17.18% | 41.91% | 26.72% | 13.63% | — |
CGL.TO iShares Gold Bullion ETF (CAD-Hedged) | 0.07% | -11.35% | -5.12% | -4.61% | 16.70% | 25.29% | 12.44% | 10.05% |
CNQ.TO Canadian Natural Resources Limited | -0.37% | -4.77% | 34.88% | 38.81% | 39.22% | 25.15% | 30.05% | 22.38% |
COST Costco Wholesale Corporation | 0.68% | -6.35% | 14.24% | 11.38% | -0.24% | 25.12% | 22.12% | 22.27% |
DBMF iMGP DBi Managed Futures Strategy ETF | 0.26% | -1.34% | 10.27% | 11.24% | 26.94% | 9.64% | 8.01% | — |
ENB.TO Enbridge Inc. | -0.06% | 1.78% | 20.96% | 22.09% | 28.04% | 22.35% | 14.28% | 9.65% |
FTS.TO Fortis Inc. | 0.80% | 1.71% | 11.17% | 13.74% | 22.48% | 14.57% | 8.11% | 9.86% |
MFC.TO Manulife Financial Corporation | 1.35% | 8.26% | 12.90% | 15.87% | 34.53% | 33.54% | 20.14% | 16.33% |
NA.TO National Bank of Canada | 0.43% | 0.71% | 19.97% | 21.53% | 55.42% | 31.81% | 19.02% | 20.45% |
POW.TO Power Corporation of Canada | 1.10% | 5.25% | 17.56% | 18.98% | 67.85% | 40.28% | 19.49% | 16.87% |
Monthly Returns
Based on dividend-adjusted daily data since Sep 26, 2019, Canadian Income's average daily return is +0.07%, while the average monthly return is +1.37%. At this rate, an investment would double in approximately 4.2 years.
Historically, 71% of months were positive and 29% were negative. The best month was Nov 2020 with a return of +14.0%, while the worst month was Mar 2020 at -16.8%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 3 months.
On a daily basis, Canadian Income closed higher 59% of trading days. The best single day was Mar 24, 2020 with a return of +10.2%, while the worst single day was Mar 12, 2020 at -11.8%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 4.06% | 5.27% | -2.25% | 7.65% | 1.51% | 1.38% | 18.63% | ||||||
| 2025 | 1.42% | 0.76% | 1.41% | 3.01% | 3.88% | 2.53% | 0.58% | 3.86% | 3.88% | 0.80% | 4.06% | 2.70% | 32.94% |
| 2024 | -0.57% | 1.09% | 4.06% | -1.79% | 3.77% | -0.98% | 3.74% | 4.96% | 3.00% | -1.94% | 4.03% | -4.58% | 15.23% |
| 2023 | 7.02% | -2.71% | -0.57% | 3.19% | -4.25% | 4.90% | 2.16% | -3.53% | -1.92% | -2.96% | 7.02% | 6.00% | 14.19% |
| 2022 | 3.22% | 1.10% | 5.04% | -4.74% | 1.98% | -8.21% | 3.54% | -3.65% | -7.93% | 5.79% | 4.06% | -3.10% | -4.23% |
| 2021 | 0.29% | 5.10% | 6.13% | 5.16% | 4.46% | -1.06% | 0.11% | 0.69% | -1.41% | 7.02% | -4.41% | 4.21% | 28.80% |
Benchmark Metrics
Canadian Income has an annualized alpha of 6.83%, beta of 0.59, and R2 of 0.57 versus S&P 500 Index. Calculated based on daily prices since September 26, 2019.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (76.27%) than losses (64.94%) - typical of diversified or defensive assets.
- This portfolio generated an annualized alpha of 6.83% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- Beta of 0.59 indicates this portfolio moves significantly less than S&P 500 Index - a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- 6.83%
- Beta
- 0.59
- R²
- 0.57
- Upside Capture
- 76.27%
- Downside Capture
- 64.94%
Expense Ratio
Canadian Income has an expense ratio of 0.18%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Return for Risk
Risk / Return Rank
Canadian Income ranks 99 for risk / return — in the top 99% of Portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for Canadian Income and compares them with S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 4.90 | 1.86 | +3.04 |
| Sortino ratioReturn per unit of downside risk | 6.80 | 2.53 | +4.27 |
| Omega ratioGain probability vs. loss probability | 1.96 | 1.34 | +0.62 |
| Calmar ratioReturn relative to maximum drawdown | 9.31 | 2.53 | +6.78 |
| Martin ratioReturn relative to average drawdown | 41.92 | 11.37 | +30.55 |
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Position | Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio |
|---|---|---|---|---|---|---|
AVDV Avantis International Small Cap Value ETF | 80 | 2.53 | 3.36 | 1.46 | 3.12 | 12.44 |
CGL.TO iShares Gold Bullion ETF (CAD-Hedged) | 21 | 0.67 | 1.03 | 1.14 | 0.70 | 2.00 |
CNQ.TO Canadian Natural Resources Limited | 80 | 1.51 | 1.98 | 1.26 | 3.09 | 6.86 |
COST Costco Wholesale Corporation | 36 | -0.08 | 0.02 | 1.00 | -0.10 | -0.22 |
DBMF iMGP DBi Managed Futures Strategy ETF | 82 | 2.22 | 2.92 | 1.47 | 4.50 | 16.30 |
ENB.TO Enbridge Inc. | 84 | 1.73 | 2.44 | 1.30 | 3.18 | 7.85 |
FTS.TO Fortis Inc. | 85 | 1.75 | 2.45 | 1.31 | 3.90 | 9.53 |
MFC.TO Manulife Financial Corporation | 80 | 1.53 | 2.00 | 1.27 | 2.48 | 7.26 |
NA.TO National Bank of Canada | 96 | 3.39 | 4.55 | 1.61 | 5.85 | 19.65 |
POW.TO Power Corporation of Canada | 95 | 3.69 | 4.34 | 1.58 | 5.16 | 15.50 |
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Dividends
Dividend yield
Canadian Income provided a 2.78% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.78% | 3.30% | 3.85% | 4.11% | 4.20% | 4.02% | 4.26% | 3.81% | 3.70% | 2.73% | 2.44% | 2.88% |
| Portfolio components: | ||||||||||||
AVDV Avantis International Small Cap Value ETF | 4.11% | 3.05% | 4.31% | 3.29% | 3.17% | 2.39% | 1.67% | 0.36% | 0.00% | 0.00% | 0.00% | 0.00% |
CGL.TO iShares Gold Bullion ETF (CAD-Hedged) | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
CNQ.TO Canadian Natural Resources Limited | 2.84% | 5.05% | 6.00% | 8.53% | 12.23% | 7.63% | 11.35% | 7.29% | 8.31% | 5.00% | 4.49% | 6.22% |
COST Costco Wholesale Corporation | 0.55% | 0.59% | 0.49% | 2.87% | 0.76% | 0.54% | 3.38% | 0.86% | 1.08% | 4.81% | 1.09% | 4.06% |
DBMF iMGP DBi Managed Futures Strategy ETF | 5.19% | 5.91% | 5.75% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% | 0.00% | 0.00% | 0.00% | 0.00% |
ENB.TO Enbridge Inc. | 4.84% | 5.74% | 6.00% | 7.44% | 6.50% | 6.76% | 7.96% | 5.72% | 6.33% | 4.91% | 3.75% | 4.04% |
FTS.TO Fortis Inc. | 3.18% | 3.48% | 3.99% | 4.19% | 4.01% | 3.36% | 3.73% | 3.39% | 3.79% | 3.52% | 3.68% | 3.73% |
MFC.TO Manulife Financial Corporation | 3.28% | 3.53% | 3.62% | 4.99% | 5.47% | 4.85% | 4.94% | 3.79% | 4.70% | 3.13% | 3.09% | 2.39% |
NA.TO National Bank of Canada | 2.31% | 2.75% | 3.36% | 4.03% | 4.03% | 3.11% | 3.96% | 3.77% | 4.44% | 3.70% | 4.03% | 5.16% |
POW.TO Power Corporation of Canada | 2.89% | 3.36% | 5.02% | 5.54% | 6.22% | 4.40% | 7.51% | 4.77% | 6.13% | 4.36% | 4.38% | 4.23% |
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 38.09%, occurring on Mar 23, 2020. Recovery took 182 trading sessions.
The current Canadian Income drawdown is 0.03%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -38.09%Mar 2020 | 1mo 1d | 8mo 16d | 9mo 17dFeb 2020 - Dec 2020 |
Bear market2022 | -20.62%Oct 2022 | 5mo 23d | 1y 4mo | 1y 10moApr 2022 - Mar 2024 |
2025 selloff2025 | -9.14%Apr 2025 | 4mo 14d | 16d | 5moNov 2024 - Apr 2025 |
2021 pullback2021 | -6.19%Dec 2021 | 21d | 1mo 7d | 1mo 28dNov 2021 - Jan 2022 |
2021 pullback2021 | -5.89%Jul 2021 | 1mo 4d | 2mo 24d | 3mo 28dJun 2021 - Oct 2021 |
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 21 assets, with an effective number of assets of 16.67, reflecting the diversification based on asset allocation. Your capital is well-distributed across most of your holdings, with only mild concentration in a few names. True diversification also depends on the correlations between assets — check the diversification ratio below.
Diversification Ratio
1Y | 3Y | 5Y | All Time | |
|---|---|---|---|---|
Diversification Ratio | 1.86 | 1.58 | 1.50 | 1.32 |
The portfolio has a diversification ratio of 1.32, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.
Canadian Income correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.48 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.58 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.62 |
Correlation (All Time) Calculated using the full available price history since Sep 26, 2019 | 0.64 |
Benchmark Correlations
Correlation vs. S&P 500 Index. XLK has the highest benchmark correlation at 0.90, while XSB.TO has the lowest at 0.04.
Portfolio Correlations
Correlation vs. Canadian Income. VDY.TO has the highest portfolio correlation at 0.95, while DBMF has the lowest at 0.19.
Asset Correlations Table
Find what Canadian Income is missing
See which holdings overlap, where Canadian Income is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification