Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
RY.TO Royal Bank of Canada | Financial Services | 16.67% |
CM.TO Canadian Imperial Bank of Commerce | Financial Services | 16.67% |
BNS.TO The Bank of Nova Scotia | Financial Services | 16.67% |
LB.TO Laurentian Bank of Canada | Financial Services | 16.67% |
TD.TO The Toronto-Dominion Bank | Financial Services | 16.67% |
BMO.TO Bank of Montreal | Financial Services | 16.67% |
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Performance Chart
The chart shows the growth of an initial investment of $10,000 in Canadian Banks vs TSX, 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
As of Jun 24, 2026, the Canadian Banks vs TSX returned 21.37% Year-To-Date and 14.08% of annualized return in the last 10 years.
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | -0.10% | -1.54% | 7.49% | 6.15% | 20.78% | 19.17% | 11.44% | 13.70% |
Portfolio Canadian Banks vs TSX | -0.71% | 3.31% | 21.37% | 21.11% | 62.55% | 31.41% | 14.41% | 14.08% |
| Portfolio components: | ||||||||
BMO.TO Bank of Montreal | -0.63% | 6.20% | 35.00% | 34.79% | 67.90% | 30.94% | 15.43% | 15.27% |
BNS.TO The Bank of Nova Scotia | -1.33% | 6.31% | 18.22% | 18.05% | 65.18% | 28.38% | 11.51% | 11.14% |
CM.TO Canadian Imperial Bank of Commerce | -0.97% | -2.03% | 26.63% | 25.42% | 68.35% | 46.25% | 20.48% | 20.22% |
LB.TO Laurentian Bank of Canada | 0.48% | -2.46% | -0.57% | -0.05% | 35.71% | 12.27% | 0.88% | 2.39% |
RY.TO Royal Bank of Canada | -0.50% | 5.90% | 20.28% | 20.27% | 62.76% | 34.38% | 18.89% | 17.28% |
TD.TO The Toronto-Dominion Bank | -0.70% | 5.02% | 28.16% | 28.28% | 71.97% | 32.02% | 15.75% | 15.40% |
Monthly Returns
Based on dividend-adjusted daily data since Jul 25, 2006, Canadian Banks vs TSX's average daily return is +0.06%, while the average monthly return is +1.18%. At this rate, an investment would double in approximately 4.9 years.
Historically, 60% of months were positive and 40% were negative. The best month was Feb 2014 with a return of +22.5%, while the worst month was Mar 2020 at -21.5%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 7 months.
On a daily basis, Canadian Banks vs TSX closed higher 55% of trading days. The best single day was Feb 3, 2014 with a return of +16.3%, while the worst single day was Nov 20, 2008 at -14.7%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.33% | 2.39% | -4.67% | 12.09% | 3.90% | 4.33% | 21.37% | ||||||
| 2025 | 1.29% | -0.80% | -2.90% | 6.25% | 8.46% | 4.56% | 0.51% | 7.36% | 5.10% | 1.65% | 3.12% | 10.20% | 53.99% |
| 2024 | -3.86% | -0.15% | 5.68% | -5.46% | 1.27% | -1.55% | 4.94% | 4.90% | 6.37% | -3.20% | 6.25% | -3.13% | 11.54% |
| 2023 | 10.78% | -3.09% | -5.80% | 1.35% | -5.55% | 7.78% | 6.63% | -7.99% | -4.11% | -10.16% | 10.07% | 13.08% | 9.77% |
| 2022 | 6.89% | -0.86% | 0.40% | -8.63% | 2.74% | -9.54% | 4.04% | -7.25% | -8.21% | 3.50% | 5.84% | -5.51% | -17.16% |
| 2021 | -0.48% | 10.23% | 8.29% | 6.50% | 7.40% | -1.84% | -1.54% | -0.64% | -2.04% | 9.10% | -6.48% | 7.58% | 40.32% |
Benchmark Metrics
Canadian Banks vs TSX has an annualized alpha of 7.83%, beta of 0.76, and R2 of 0.42 versus S&P 500 Index. Calculated based on daily prices since July 25, 2006.
- This portfolio captured 117.59% of S&P 500 Index gains but only 94.52% of its losses - a favorable profile for investors.
- R2 of 0.42 means the benchmark explains less than half of this portfolio's behavior - treat beta with caution or consider switching to a more representative benchmark.
- Alpha
- 7.83%
- Beta
- 0.76
- R²
- 0.42
- Upside Capture
- 117.59%
- Downside Capture
- 94.52%
Expense Ratio
Canadian Banks vs TSX 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.
Return for Risk
Risk / Return Rank
Canadian Banks vs TSX ranks 98 for risk / return — in the top 98% 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 Banks vs TSX 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 | 4.89 | 1.67 | +3.22 |
| Sortino ratioReturn per unit of downside risk | 6.64 | 2.29 | +4.35 |
| Omega ratioGain probability vs. loss probability | 1.89 | 1.30 | +0.59 |
| Calmar ratioReturn relative to maximum drawdown | 7.51 | 2.29 | +5.22 |
| Martin ratioReturn relative to average drawdown | 32.79 | 10.15 | +22.64 |
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 |
|---|---|---|---|---|---|---|
BMO.TO Bank of Montreal | 97 | 3.80 | 4.80 | 1.63 | 5.98 | 22.09 |
BNS.TO The Bank of Nova Scotia | 97 | 4.19 | 5.81 | 1.77 | 4.99 | 19.53 |
CM.TO Canadian Imperial Bank of Commerce | 97 | 3.81 | 4.57 | 1.65 | 6.50 | 24.98 |
LB.TO Laurentian Bank of Canada | 94 | 1.69 | 4.48 | 1.62 | 6.23 | 18.76 |
RY.TO Royal Bank of Canada | 97 | 4.33 | 6.21 | 1.76 | 6.42 | 23.74 |
TD.TO The Toronto-Dominion Bank | 98 | 4.64 | 5.64 | 1.78 | 9.89 | 39.49 |
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Dividends
Dividend yield
Canadian Banks vs TSX provided a 3.03% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.03% | 3.60% | 4.83% | 4.98% | 5.02% | 4.49% | 5.80% | 5.34% | 5.72% | 4.45% | 4.54% | 5.41% |
| Portfolio components: | ||||||||||||
BMO.TO Bank of Montreal | 2.69% | 3.61% | 4.39% | 4.42% | 4.44% | 3.11% | 4.38% | 4.03% | 4.24% | 3.54% | 3.52% | 4.15% |
BNS.TO The Bank of Nova Scotia | 3.62% | 4.27% | 5.49% | 6.48% | 4.61% | 5.14% | 5.23% | 3.60% | 4.91% | 3.82% | 3.91% | 6.11% |
CM.TO Canadian Imperial Bank of Commerce | 2.52% | 3.20% | 4.04% | 5.47% | 7.52% | 8.13% | 10.74% | 10.51% | 10.58% | 8.39% | 8.84% | 9.69% |
LB.TO Laurentian Bank of Canada | 4.65% | 4.67% | 6.49% | 5.02% | 5.57% | 4.08% | 5.99% | 5.94% | 6.72% | 4.39% | 4.14% | 4.64% |
RY.TO Royal Bank of Canada | 2.21% | 2.58% | 3.23% | 3.99% | 3.90% | 3.22% | 4.10% | 3.96% | 4.03% | 3.39% | 3.57% | 4.15% |
TD.TO The Toronto-Dominion Bank | 2.52% | 3.25% | 5.33% | 4.48% | 4.06% | 3.26% | 4.32% | 3.97% | 3.85% | 3.19% | 3.26% | 3.69% |
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 Banks vs TSX. 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 Banks vs TSX was 62.42%, occurring on Feb 23, 2009. Recovery took 258 trading sessions.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Financial crisis2007–2009 | -62.42%Feb 2009 | 1y 3mo | 1y 9d | 2y 3moNov 2007 - Mar 2010 |
COVID crash2020 | -44.13%Mar 2020 | 2y 2mo | 9mo 19d | 2y 12moJan 2018 - Jan 2021 |
2023 bear market2023 | -35.38%Oct 2023 | 1y 8mo | 1y 7mo | 3y 3moFeb 2022 - May 2025 |
2016 bear market2016 | -34.86%Jan 2016 | 1y 5mo | 10mo 22d | 2y 4moJul 2014 - Dec 2016 |
2011 bear market2011 | -23.91%Nov 2011 | 7mo 24d | 10mo 28d | 1y 6moApr 2011 - Oct 2012 |
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 6 assets, with an effective number of assets of 6.00, 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
1Y | 3Y | 5Y | 10Y | All Time | |
|---|---|---|---|---|---|
Diversification Ratio | 1.34 | 1.35 | 1.26 | 1.16 | 1.18 |
The portfolio has a diversification ratio of 1.18, placing it in the bottom quartile across portfolios — positions are highly correlated. Consider adding assets from different classes or sectors to reduce risk.
Canadian Banks vs TSX correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.53 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.50 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.53 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.50 |
Correlation (All Time) Calculated using the full available price history since Jul 25, 2006 | 0.54 |
Benchmark Correlations
Correlation vs. S&P 500 Index. RY.TO has the highest benchmark correlation at 0.51, while LB.TO has the lowest at 0.37.
Asset Correlations Table
Find what Canadian Banks vs TSX is missing
See which holdings overlap, where Canadian Banks vs TSX is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification