Top Performing Canadian Large Caps

Asset Allocation

Position	Category/Sector	Target Weight
ATD.TO Alimentation Couche-Tard Inc.	Consumer Cyclical	5%
BN.TO Brookfield Corporation	Financial Services	10%
CP.TO Canadian Pacific Railway Limited	Industrials	10%
CSU.TO Constellation Software Inc.	Technology	10%
EFN.TO Element Fleet Management Corp.	Industrials	5%
GIB-A.TO CGI Inc	Technology	5%
IFC.TO Intact Financial Corporation	Financial Services	5%
MRU.TO Metro Inc.	Consumer Defensive	5%
NA.TO National Bank of Canada	Financial Services	5%
RY.TO Royal Bank of Canada	Financial Services	10%
TIH.TO Toromont Industries Ltd.	Industrials	5%
TRI.TO Thomson Reuters Corporation	Industrials	10%
WCN.TO Waste Connections, Inc.	Industrials	5%
WSP.TO WSP Global Inc.	Industrials	5%
X.TO TMX Group Limited	Financial Services	5%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Top Performing Canadian Large Caps, 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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The earliest data available for this chart is Jun 20, 2011, corresponding to the inception date of EFN.TO

Returns By Period

As of Apr 3, 2026, the Top Performing Canadian Large Caps returned -9.07% Year-To-Date and 15.83% of annualized return in the last 10 years.

	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.11%	-3.43%	-3.84%	-1.98%	16.08%	16.86%	10.37%	12.29%
Portfolio Top Performing Canadian Large Caps	0.41%	-6.22%	-9.07%	-7.99%	-1.71%	10.83%	10.63%	15.83%
Portfolio components:
IFC.TO Intact Financial Corporation	0.84%	-6.06%	-14.19%	-6.55%	-13.37%	8.82%	9.52%	12.37%
GIB-A.TO CGI Inc	2.33%	1.06%	-19.74%	-17.67%	-27.37%	-8.63%	-2.41%	4.47%
ATD.TO Alimentation Couche-Tard Inc.	-0.78%	-5.48%	3.30%	6.39%	11.25%	4.85%	12.34%	10.42%
WCN.TO Waste Connections, Inc.	1.83%	-3.73%	-5.10%	-3.59%	-15.21%	6.79%	9.48%	15.65%
WSP.TO WSP Global Inc.	-1.34%	-7.91%	-12.62%	-19.79%	-8.44%	7.15%	11.19%	19.87%
NA.TO National Bank of Canada	0.00%	-4.28%	6.28%	25.94%	60.63%	27.28%	18.82%	19.81%
MRU.TO Metro Inc.	0.59%	-2.25%	-3.31%	4.35%	-1.19%	9.66%	10.22%	8.99%
X.TO TMX Group Limited	1.02%	1.59%	-5.83%	-4.80%	-1.56%	23.38%	13.44%	20.43%
EFN.TO Element Fleet Management Corp.	0.05%	-6.30%	-15.83%	-15.38%	7.41%	20.42%	16.87%	12.50%
TIH.TO Toromont Industries Ltd.	-1.41%	-8.31%	16.53%	27.47%	76.64%	21.87%	14.51%	20.25%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Jun 21, 2011, Top Performing Canadian Large Caps's average daily return is +0.06%, while the average monthly return is +1.32%. At this rate, your investment would double in approximately 4.4 years.

Historically, 69% of months were positive and 31% were negative. The best month was Nov 2020 with a return of +12.3%, while the worst month was Mar 2020 at -15.9%. The longest winning streak lasted 15 consecutive months, and the longest losing streak was 4 months.

On a daily basis, Top Performing Canadian Large Caps closed higher 55% of trading days. The best single day was Mar 24, 2020 with a return of +10.1%, while the worst single day was Mar 16, 2020 at -11.0%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	-5.93%	2.06%	-5.84%	0.59%									-9.07%
2025	2.94%	1.26%	-3.52%	7.07%	5.34%	1.96%	-0.88%	-0.50%	-3.04%	-0.82%	0.29%	1.79%	11.96%
2024	2.26%	3.86%	1.00%	-4.71%	5.92%	-0.04%	7.25%	3.05%	2.32%	-3.87%	4.96%	-4.96%	17.36%
2023	7.02%	-1.15%	2.15%	2.09%	-2.06%	5.89%	1.38%	-3.32%	-3.09%	-4.14%	10.39%	7.63%	23.77%
2022	-2.88%	-1.96%	5.64%	-7.14%	2.56%	-5.33%	8.27%	-3.66%	-7.27%	5.95%	8.31%	-6.15%	-5.54%
2021	-3.70%	3.01%	8.38%	4.90%	4.44%	0.70%	3.04%	1.95%	-4.23%	7.94%	-5.25%	5.86%	29.20%

Benchmark Metrics

Top Performing Canadian Large Caps has an annualized alpha of 7.50%, beta of 0.79, and R² of 0.66 versus S&P 500 Index. Calculated based on daily prices since June 21, 2011.

This portfolio captured 103.57% of S&P 500 Index gains but only 76.81% of its losses — a favorable profile for investors.
This portfolio generated an annualized alpha of 7.50% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.

Alpha: 7.50%

Beta: 0.79

R²: 0.66

Upside Capture: 103.57%

Downside Capture: 76.81%

Expense Ratio

Top Performing Canadian Large Caps 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.

Return for Risk

Risk / Return Rank

Top Performing Canadian Large Caps ranks 4 for risk / return — in the bottom 4% of portfolios on our site. This means you're taking on significantly more risk than the returns justify. Consider whether the potential upside is worth the volatility, or explore alternatives with better risk / return profiles.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

	Portfolio	Benchmark	Difference
Sharpe ratio Return per unit of total volatility	-0.11	0.88	-0.99
Sortino ratio Return per unit of downside risk	-0.04	1.37	-1.40
Omega ratio Gain probability vs. loss probability	1.00	1.21	-0.21
Calmar ratio Return relative to maximum drawdown	-0.01	1.39	-1.40
Martin ratio Return relative to average drawdown	-0.03	6.43	-6.46
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

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

	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
IFC.TO Intact Financial Corporation	17	-0.63	-0.78	0.91	-0.57	-0.99
GIB-A.TO CGI Inc	7	-1.10	-1.45	0.81	-0.74	-1.45
ATD.TO Alimentation Couche-Tard Inc.	54	0.42	0.85	1.09	1.04	2.17
WCN.TO Waste Connections, Inc.	13	-0.70	-0.84	0.88	-0.70	-1.28
WSP.TO WSP Global Inc.	26	-0.30	-0.22	0.97	-0.29	-0.71
NA.TO National Bank of Canada	96	3.14	4.39	1.64	5.33	21.85
MRU.TO Metro Inc.	35	-0.06	0.05	1.01	0.04	0.07
X.TO TMX Group Limited	34	-0.06	0.08	1.01	-0.05	-0.11
EFN.TO Element Fleet Management Corp.	48	0.31	0.59	1.08	0.44	1.38
TIH.TO Toromont Industries Ltd.	96	3.13	4.01	1.54	6.48	24.92

Sharpe Ratio

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.

Top Performing Canadian Large Caps Sharpe ratios as of Apr 3, 2026 (values are recalculated daily):

1-Year: -0.11
5-Year: 0.67
10-Year: 0.92
All Time: 0.95

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 0.98 to 1.66, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

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

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Dividends

Dividend yield

Top Performing Canadian Large Caps provided a 1.42% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	1.42%	1.27%	1.35%	1.85%	1.65%	1.39%	1.65%	1.89%	3.13%	1.94%	1.88%	2.13%
Portfolio components:
IFC.TO Intact Financial Corporation	2.21%	1.86%	1.85%	2.16%	2.05%	2.07%	2.20%	2.16%	2.82%	2.44%	2.41%	2.39%
GIB-A.TO CGI Inc	0.62%	0.49%	0.10%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
ATD.TO Alimentation Couche-Tard Inc.	1.05%	1.07%	0.90%	0.76%	0.79%	0.71%	0.69%	0.61%	0.57%	0.55%	0.50%	0.27%
WCN.TO Waste Connections, Inc.	0.80%	0.75%	0.65%	0.72%	0.68%	0.61%	0.93%	0.75%	2.95%	0.87%	0.96%	2.02%
WSP.TO WSP Global Inc.	0.68%	0.60%	0.59%	0.81%	0.95%	0.82%	1.24%	1.69%	2.56%	2.50%	3.36%	3.53%
NA.TO National Bank of Canada	2.62%	2.75%	4.17%	4.03%	4.03%	3.11%	3.96%	3.77%	4.44%	3.70%	4.03%	5.16%
MRU.TO Metro Inc.	1.57%	1.50%	1.49%	1.77%	1.47%	1.49%	1.58%	1.49%	1.52%	1.62%	1.39%	1.21%
X.TO TMX Group Limited	1.77%	1.70%	2.15%	2.52%	2.45%	2.35%	2.14%	2.24%	3.17%	2.77%	2.31%	4.47%
EFN.TO Element Fleet Management Corp.	1.76%	1.44%	1.69%	1.95%	1.81%	2.12%	1.49%	1.62%	3.91%	3.16%	0.80%	0.19%
TIH.TO Toromont Industries Ltd.	1.08%	1.25%	1.69%	1.48%	1.60%	1.19%	1.39%	1.53%	1.70%	1.38%	1.70%	2.16%

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 Top Performing Canadian Large Caps. 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 Top Performing Canadian Large Caps was 36.67%, occurring on Mar 23, 2020. Recovery took 139 trading sessions.

The current Top Performing Canadian Large Caps drawdown is 13.22%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-36.67%	Feb 18, 2020	25	Mar 23, 2020	139	Oct 8, 2020	164
-24.69%	Apr 17, 2015	189	Jan 18, 2016	98	Jun 7, 2016	287
-20.1%	Jul 22, 2011	50	Oct 3, 2011	86	Feb 6, 2012	136
-15.9%	Aug 17, 2022	39	Oct 12, 2022	85	Feb 13, 2023	124
-15.51%	Jul 24, 2025	170	Mar 27, 2026	—	—	—

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 15 assets, with an effective number of assets of 13.33, 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.

	Benchmark	ATD.TO	EFN.TO	WCN.TO	MRU.TO	X.TO	CSU.TO	IFC.TO	TIH.TO	WSP.TO	CP.TO	GIB-A.TO	TRI.TO	NA.TO	BN.TO	RY.TO	Portfolio
Benchmark	1.00	0.36	0.41	0.44	0.35	0.40	0.44	0.41	0.49	0.50	0.56	0.54	0.54	0.54	0.67	0.61	0.73
ATD.TO	0.36	1.00	0.27	0.31	0.43	0.28	0.31	0.35	0.31	0.31	0.32	0.37	0.34	0.35	0.37	0.38	0.54
EFN.TO	0.41	0.27	1.00	0.26	0.27	0.36	0.31	0.34	0.37	0.37	0.35	0.32	0.33	0.42	0.38	0.43	0.57
WCN.TO	0.44	0.31	0.26	1.00	0.33	0.31	0.31	0.37	0.33	0.35	0.37	0.36	0.45	0.34	0.37	0.38	0.55
MRU.TO	0.35	0.43	0.27	0.33	1.00	0.32	0.32	0.42	0.36	0.34	0.34	0.39	0.40	0.38	0.37	0.42	0.55
X.TO	0.40	0.28	0.36	0.31	0.32	1.00	0.31	0.41	0.38	0.39	0.34	0.34	0.38	0.43	0.38	0.44	0.57
CSU.TO	0.44	0.31	0.31	0.31	0.32	0.31	1.00	0.37	0.34	0.36	0.33	0.47	0.39	0.35	0.41	0.39	0.64
IFC.TO	0.41	0.35	0.34	0.37	0.42	0.41	0.37	1.00	0.42	0.41	0.37	0.42	0.43	0.48	0.43	0.48	0.62
TIH.TO	0.49	0.31	0.37	0.33	0.36	0.38	0.34	0.42	1.00	0.48	0.46	0.39	0.40	0.47	0.45	0.49	0.63
WSP.TO	0.50	0.31	0.37	0.35	0.34	0.39	0.36	0.41	0.48	1.00	0.43	0.42	0.42	0.46	0.46	0.52	0.65
CP.TO	0.56	0.32	0.35	0.37	0.34	0.34	0.33	0.37	0.46	0.43	1.00	0.41	0.43	0.47	0.50	0.54	0.69
GIB-A.TO	0.54	0.37	0.32	0.36	0.39	0.34	0.47	0.42	0.39	0.42	0.41	1.00	0.49	0.42	0.49	0.46	0.66
TRI.TO	0.54	0.34	0.33	0.45	0.40	0.38	0.39	0.43	0.40	0.42	0.43	0.49	1.00	0.43	0.49	0.48	0.70
NA.TO	0.54	0.35	0.42	0.34	0.38	0.43	0.35	0.48	0.47	0.46	0.47	0.42	0.43	1.00	0.54	0.74	0.69
BN.TO	0.67	0.37	0.38	0.37	0.37	0.38	0.41	0.43	0.45	0.46	0.50	0.49	0.49	0.54	1.00	0.61	0.75
RY.TO	0.61	0.38	0.43	0.38	0.42	0.44	0.39	0.48	0.49	0.52	0.54	0.46	0.48	0.74	0.61	1.00	0.76
Portfolio	0.73	0.54	0.57	0.55	0.55	0.57	0.64	0.62	0.63	0.65	0.69	0.66	0.70	0.69	0.75	0.76	1.00

The correlation results are calculated based on daily price changes starting from Jun 21, 2011

Top Performing Canadian Large Caps

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Benchmark Metrics

Expense Ratio

Return for Risk

Risk / Return Rank

Return / Risk — by metrics

Sharpe ratio

Sortino ratio

Omega ratio

Calmar ratio

Martin ratio

Sharpe Ratio

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table