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Canadian Bacon
Performance
Return for Risk
Dividends
Drawdowns
Volatility
Diversification

Canadian Bacon

Currency in USD · Last updated Jun 13, 2026

30% Financials (I do TD, BMO, BNS, and POW), about 30% energy (ENB, CNQ, WCP, TRP, PPL), and about 30% utilities (FTS, EMA, CU), and 8% telecom (T). And then I have a 60:40 ratio of the Vanguard and Blackrock dividend ETFs (XEI and XDIV) that total a 4% yield. (XEI has a higher yield but XDIV has better dividend growth). All of my individual holdings have NOT cut their dividends in over 50 years), and grow their div over 4% to keep up with inflation.

starting from scratch today, just buying 2 ETFs would probably accomplish mostly the same thing: a 60-40 splt of XEI and XDIV yields 4.25%, and keeps pace with the overall Canadian market.

Asset Allocation

XDIV 60.00%XEI.TO 40.00%EquityEquity
PositionCategory/SectorTarget Weight
XDIV
Roundhill S&P 500 No Dividend Target ETF		S&P 500
60%
XEI.TO
iShares S&P/TSX Composite High Dividend Index ETF		Canada Equities
40%

S&P 500 Index

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Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Canadian Bacon, 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

Position1D1MYTD6M1Y3Y*5Y*10Y*
Benchmark
S&P 500 Index
1.65%1.97%10.35%10.82%26.39%19.66%12.33%13.81%
Portfolio
Canadian Bacon
0.94%1.90%15.55%14.46%————
Portfolio components:
XDIV
Roundhill S&P 500 No Dividend Target ETF		1.72%2.13%10.77%11.17%————
XEI.TO
iShares S&P/TSX Composite High Dividend Index ETF		-0.32%1.54%21.46%18.01%34.69%19.27%11.45%11.21%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Jul 10, 2025, Canadian Bacon's average daily return is +0.10%, while the average monthly return is +2.05%. At this rate, an investment would double in approximately 2.8 years.

Historically, 83% of months were positive and 17% were negative. The best month was Apr 2026 with a return of +8.4%, while the worst month was Mar 2026 at -2.5%. The longest winning streak lasted 5 consecutive months, and the longest losing streak was 1 months.

On a daily basis, Canadian Bacon closed higher 63% of trading days. The best single day was Mar 31, 2026 with a return of +2.2%, while the worst single day was Oct 10, 2025 at -2.1%.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20262.85%2.00%-2.51%8.44%3.70%0.45%15.55%
20250.59%3.00%3.34%1.25%1.57%-0.07%10.03%

Benchmark Metrics

Canadian Bacon has an annualized alpha of 12.91%, beta of 0.67, and R2 of 0.84 versus S&P 500 Index. Calculated based on daily prices since July 10, 2025.

  • This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (95.32%) than losses (2.98%) - typical of diversified or defensive assets.
  • This portfolio generated an annualized alpha of 12.91% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
  • Beta of 0.67 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
12.91%
Beta
0.67
R²
0.84
Upside Capture
95.32%
Downside Capture
2.98%
See how alpha, beta & R² have trended over time →

Expense Ratio

Canadian Bacon has an expense ratio of 0.14%, 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.

XEI.TO
iShares S&P/TSX Composite High Dividend Index ETF
XDIV
Roundhill S&P 500 No Dividend Target ETF

Return for Risk

Return / Risk — by metrics

The table below presents risk-adjusted performance metrics for Canadian Bacon 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.

PortfolioBenchmarkDifference
Sharpe ratioReturn per unit of total volatility

—

2.14

—

Sortino ratioReturn per unit of downside risk

—

2.89

—

Omega ratioGain probability vs. loss probability

—

1.39

—

Calmar ratioReturn relative to maximum drawdown

—

2.91

—

Martin ratioReturn relative to average drawdown

—

13.08

—

How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.

PositionRisk / Return RankSharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
XDIV
Roundhill S&P 500 No Dividend Target ETF		——————
XEI.TO
iShares S&P/TSX Composite High Dividend Index ETF
96
3.945.421.737.6330.36

Sharpe Ratio

There isn't enough data available to calculate the Sharpe ratio for Canadian Bacon. This metric is based on the past 12 months of trading data. Please check back later for updated information.

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Dividends

Dividend yield

Canadian Bacon provided a 1.42% dividend yield over the last twelve months.

PositionTTM20252024202320222021202020192018201720162015
Portfolio1.42%1.79%2.18%1.99%1.87%1.43%2.01%1.85%2.17%1.71%1.77%2.25%
Portfolio components:
XDIV
Roundhill S&P 500 No Dividend Target ETF		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
XEI.TO
iShares S&P/TSX Composite High Dividend Index ETF		3.54%4.47%5.45%4.97%4.68%3.58%5.03%4.62%5.42%4.29%4.41%5.64%

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 Bacon. 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 Bacon was 4.92%, occurring on Mar 30, 2026. Recovery took 8 trading sessions.

The current Canadian Bacon drawdown is 1.15%.

Related event

Drawdown

Fall

Recovery

Underwater

2026 pullback2026
-4.92%Mar 2026
27d11d
1mo 8dMar 2026 - Apr 2026
2025 pullback2025
-3.13%Nov 2025
7d8d
15dNov 2025 - Nov 2025
2026 pullback2026
-2.93%Jun 2026
5d—
11d 6hJun 2026 - now
2025 pullback2025
-2.51%Oct 2025
3d14d
17dOct 2025 - Oct 2025
2025 pullback2025
-2.39%Aug 2025
4d11d
15dJul 2025 - Aug 2025

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 2 assets, with an effective number of assets of 1.92, reflecting the diversification based on asset allocation. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.

Diversification Ratio
All Time
Diversification Ratio

1.21

The portfolio has a diversification ratio of 1.21, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

Canadian Bacon correlation to the S&P 500 Index

Canadian Bacon has a 0.86 correlation to S&P 500 Index over the full available history. This section compares each holding's correlation to the benchmark and to the portfolio.
Correlation
Correlation (All Time)
Calculated using the full available price history since Jul 10, 2025

0.86

Benchmark Correlations

Correlation vs. S&P 500 Index. XDIV has the highest benchmark correlation at 0.97, while XEI.TO has the lowest at 0.16.

XEI.TO
0.16
XDIV
0.97

Portfolio Correlations

Correlation vs. Canadian Bacon. XDIV has the highest portfolio correlation at 0.89, while XEI.TO has the lowest at 0.56.

XEI.TO
0.56
XDIV
0.89

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
XEI.TOXDIV
XEI.TO1.000.17
XDIV0.171.00
The correlation results are calculated based on daily price changes starting from Jul 10, 2025
Diversification Analysis

Find what Canadian Bacon is missing

See which holdings overlap, where Canadian Bacon is concentrated, and which low-correlation assets could fill the gaps.

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