Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
BMO.TO Bank of Montreal | Financial Services | 16.67% |
BNS.TO The Bank of Nova Scotia | Financial Services | 16.67% |
CM.TO Canadian Imperial Bank of Commerce | Financial Services | 16.67% |
NA.TO National Bank of Canada | Financial Services | 16.67% |
RY.TO Royal Bank of Canada | Financial Services | 16.67% |
TD.TO The Toronto-Dominion Bank | Financial Services | 16.67% |
Performance
Performance Chart
The chart shows the growth of an initial investment of CA$10,000 in can bank, 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 Dec 18, 1989, corresponding to the inception date of TD.TO
Returns By Period
As of Apr 4, 2026, the can bank returned 3.72% Year-To-Date and 15.54% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.44% | 0.25% | -2.46% | -2.17% | 26.93% | 18.24% | 12.68% | 12.98% |
Portfolio can bank | 0.26% | 0.22% | 3.72% | 15.54% | 61.53% | 26.57% | 17.85% | 15.54% |
| Portfolio components: | ||||||||
RY.TO Royal Bank of Canada | 0.18% | 2.18% | -2.15% | 12.49% | 48.75% | 24.72% | 18.71% | 16.13% |
TD.TO The Toronto-Dominion Bank | 0.91% | 1.88% | 3.29% | 19.08% | 70.04% | 22.63% | 14.85% | 13.60% |
NA.TO National Bank of Canada | 0.38% | 0.03% | 7.94% | 24.10% | 68.84% | 28.88% | 21.36% | 20.58% |
CM.TO Canadian Imperial Bank of Commerce | 0.29% | -0.21% | 8.55% | 19.86% | 72.08% | 38.80% | 22.72% | 16.45% |
BMO.TO Bank of Montreal | -0.42% | -1.81% | 7.33% | 7.27% | 55.47% | 21.45% | 16.13% | 14.24% |
BNS.TO The Bank of Nova Scotia | 0.25% | -0.40% | -2.50% | 9.75% | 52.36% | 19.51% | 10.35% | 10.00% |
Monthly Returns
Based on dividend-adjusted daily data since Dec 19, 1989, can bank's average daily return is +0.06%, while the average monthly return is +1.19%. At this rate, your investment would double in approximately 4.9 years.
Historically, 64% of months were positive and 36% were negative. The best month was Nov 2020 with a return of +14.4%, while the worst month was Aug 1998 at -28.2%. The longest winning streak lasted 12 consecutive months, and the longest losing streak was 6 months.
On a daily basis, can bank closed higher 54% of trading days. The best single day was Mar 13, 2020 with a return of +17.0%, while the worst single day was Nov 20, 2008 at -13.5%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -0.25% | 6.46% | -3.82% | 1.56% | 3.72% | ||||||||
| 2025 | 2.33% | -1.50% | -4.17% | 2.64% | 8.25% | 3.89% | 2.17% | 6.92% | 5.60% | 2.71% | 4.37% | 5.05% | 44.85% |
| 2024 | -1.78% | 1.77% | 5.91% | -3.90% | 2.76% | -3.38% | 6.74% | 3.87% | 6.30% | 0.77% | 5.49% | -1.16% | 25.08% |
| 2023 | 9.21% | -1.07% | -5.50% | 2.47% | -5.30% | 3.80% | 4.06% | -6.20% | -1.96% | -5.98% | 8.47% | 10.92% | 11.33% |
| 2022 | 6.23% | -0.26% | -2.50% | -6.33% | 3.11% | -10.12% | 3.16% | -3.23% | -1.32% | 3.75% | 4.68% | -6.00% | -9.81% |
| 2021 | 0.36% | 8.13% | 6.67% | 3.34% | 6.30% | 0.13% | -0.14% | 1.54% | -0.73% | 5.89% | -2.09% | 5.41% | 40.06% |
Benchmark Metrics
can bank has an annualized alpha of 6.87%, beta of 0.65, and R² of 0.35 versus S&P 500 Index. Calculated based on daily prices since December 19, 1989.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (80.97%) than losses (52.89%) — typical of diversified or defensive assets.
- Beta of 0.65 may look defensive, but with R² of 0.35 this portfolio is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
- R² of 0.35 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
- 6.87%
- Beta
- 0.65
- R²
- 0.35
- Upside Capture
- 80.97%
- Downside Capture
- 52.89%
Expense Ratio
can bank 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
can bank 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
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 3.97 | 0.75 | +3.22 |
Sortino ratioReturn per unit of downside risk | 5.04 | 1.13 | +3.91 |
Omega ratioGain probability vs. loss probability | 1.77 | 1.18 | +0.59 |
Calmar ratioReturn relative to maximum drawdown | 6.48 | 1.15 | +5.33 |
Martin ratioReturn relative to average drawdown | 24.93 | 4.19 | +20.74 |
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 | |
|---|---|---|---|---|---|---|
RY.TO Royal Bank of Canada | 95 | 2.82 | 3.80 | 1.53 | 5.45 | 18.60 |
TD.TO The Toronto-Dominion Bank | 98 | 3.95 | 4.78 | 1.71 | 8.31 | 33.92 |
NA.TO National Bank of Canada | 96 | 3.15 | 4.25 | 1.64 | 4.97 | 20.30 |
CM.TO Canadian Imperial Bank of Commerce | 98 | 4.09 | 5.23 | 1.72 | 7.71 | 30.81 |
BMO.TO Bank of Montreal | 90 | 2.17 | 2.77 | 1.40 | 3.94 | 12.56 |
BNS.TO The Bank of Nova Scotia | 95 | 3.15 | 4.17 | 1.66 | 4.45 | 17.06 |
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Dividends
Dividend yield
can bank provided a 3.07% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.07% | 3.28% | 4.44% | 4.81% | 4.85% | 3.75% | 4.70% | 4.10% | 4.46% | 3.64% | 3.84% | 4.68% |
| Portfolio components: | ||||||||||||
RY.TO Royal Bank of Canada | 2.73% | 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 | 3.19% | 3.25% | 5.33% | 4.48% | 4.06% | 3.26% | 4.32% | 3.97% | 3.85% | 3.19% | 3.26% | 3.69% |
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% |
CM.TO Canadian Imperial Bank of Commerce | 3.05% | 3.20% | 4.04% | 5.47% | 7.20% | 4.06% | 5.37% | 5.26% | 5.29% | 4.19% | 4.42% | 4.85% |
BMO.TO Bank of Montreal | 3.44% | 3.61% | 4.39% | 4.42% | 5.32% | 3.74% | 5.20% | 4.03% | 4.24% | 3.54% | 3.84% | 4.15% |
BNS.TO The Bank of Nova Scotia | 3.38% | 4.27% | 5.49% | 6.48% | 4.61% | 5.14% | 5.23% | 3.60% | 4.91% | 3.82% | 3.91% | 6.11% |
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 can bank. 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 can bank was 54.24%, occurring on Feb 23, 2009. Recovery took 256 trading sessions.
The current can bank drawdown is 4.38%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -54.24% | May 31, 2007 | 435 | Feb 23, 2009 | 256 | Mar 2, 2010 | 691 |
| -42.03% | Apr 17, 1998 | 118 | Oct 5, 1998 | 489 | Sep 12, 2000 | 607 |
| -39.36% | Feb 24, 2020 | 21 | Mar 23, 2020 | 171 | Nov 24, 2020 | 192 |
| -34.67% | Dec 19, 1989 | 198 | Sep 28, 1990 | 279 | Nov 7, 1991 | 477 |
| -25.31% | Feb 9, 2022 | 433 | Oct 27, 2023 | 207 | Aug 23, 2024 | 640 |
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. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.
Asset Correlations Table
| Benchmark | NA.TO | TD.TO | CM.TO | BNS.TO | RY.TO | BMO.TO | Portfolio | |
|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.37 | 0.45 | 0.41 | 0.42 | 0.46 | 0.45 | 0.49 |
| NA.TO | 0.37 | 1.00 | 0.52 | 0.54 | 0.54 | 0.54 | 0.55 | 0.73 |
| TD.TO | 0.45 | 0.52 | 1.00 | 0.65 | 0.65 | 0.67 | 0.66 | 0.83 |
| CM.TO | 0.41 | 0.54 | 0.65 | 1.00 | 0.67 | 0.65 | 0.67 | 0.83 |
| BNS.TO | 0.42 | 0.54 | 0.65 | 0.67 | 1.00 | 0.66 | 0.67 | 0.83 |
| RY.TO | 0.46 | 0.54 | 0.67 | 0.65 | 0.66 | 1.00 | 0.68 | 0.83 |
| BMO.TO | 0.45 | 0.55 | 0.66 | 0.67 | 0.67 | 0.68 | 1.00 | 0.84 |
| Portfolio | 0.49 | 0.73 | 0.83 | 0.83 | 0.83 | 0.83 | 0.84 | 1.00 |