Canada

Asset Allocation

Position	Category/Sector	Target Weight
CM.TO Canadian Imperial Bank of Commerce	Financial Services	8.33%
CNQ.TO Canadian Natural Resources Limited	Energy	8.33%
CU.TO Canadian Utilities Limited	Utilities	8.33%
EMA.TO Emera Incorporated	Utilities	8.33%
ENB.TO Enbridge Inc.	Energy	8.33%
FTS.TO Fortis Inc.	Utilities	8.33%
GEI.TO Gibson Energy Inc.	Energy	8.33%
IMO.TO Imperial Oil Limited	Energy	8.33%
MFC.TO Manulife Financial Corporation	Financial Services	8.33%
NA.TO National Bank of Canada	Financial Services	8.33%
RY.TO Royal Bank of Canada	Financial Services	8.33%
SLF.TO Sun Life Financial Inc.	Financial Services	8.33%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Canada, 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 8, 2011, corresponding to the inception date of GEI.TO

Returns By Period

As of Apr 4, 2026, the Canada returned 14.71% Year-To-Date and 15.49% of annualized return in the last 10 years.

	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.11%	-2.33%	-3.84%	-1.98%	29.73%	16.86%	10.37%	12.29%
Portfolio Canada	0.80%	1.26%	14.71%	23.15%	53.63%	24.36%	18.60%	15.49%
Portfolio components:
ENB.TO Enbridge Inc.	0.85%	0.07%	14.79%	11.22%	32.21%	19.11%	15.26%	10.20%
NA.TO National Bank of Canada	0.08%	-2.47%	6.50%	24.47%	72.70%	27.37%	18.88%	19.83%
RY.TO Royal Bank of Canada	-0.12%	-0.36%	-3.45%	12.82%	52.15%	23.27%	16.29%	15.41%
SLF.TO Sun Life Financial Inc.	1.02%	-2.07%	2.98%	7.73%	21.76%	15.28%	9.01%	11.46%
GEI.TO Gibson Energy Inc.	2.05%	0.26%	19.55%	19.00%	56.41%	18.01%	11.31%	12.42%
CNQ.TO Canadian Natural Resources Limited	2.03%	5.91%	41.67%	52.75%	80.96%	22.87%	31.03%	19.58%
CM.TO Canadian Imperial Bank of Commerce	-0.01%	-2.70%	7.11%	20.21%	76.01%	37.18%	20.21%	15.73%
FTS.TO Fortis Inc.	0.77%	-0.80%	10.17%	14.94%	27.42%	14.65%	9.65%	10.25%
MFC.TO Manulife Financial Corporation	0.22%	1.57%	-2.88%	11.37%	30.81%	29.14%	15.36%	14.96%
IMO.TO Imperial Oil Limited	0.88%	9.82%	51.97%	46.77%	110.81%	37.54%	42.58%	18.13%

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

Monthly Returns

Based on dividend-adjusted daily data since Jun 9, 2011, Canada's average daily return is +0.05%, while the average monthly return is +1.01%. At this rate, your investment would double in approximately 5.7 years.

Historically, 64% of months were positive and 36% were negative. The best month was Nov 2020 with a return of +16.6%, while the worst month was Mar 2020 at -23.4%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 5 months.

On a daily basis, Canada closed higher 54% of trading days. The best single day was Mar 13, 2020 with a return of +14.0%, while the worst single day was Mar 12, 2020 at -15.8%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	3.77%	8.56%	0.89%	0.93%									14.71%
2025	0.32%	-1.22%	3.16%	3.78%	4.98%	3.33%	0.15%	4.00%	1.83%	-0.25%	6.05%	1.83%	31.50%
2024	-1.43%	2.74%	5.61%	-3.35%	4.86%	-2.66%	4.33%	7.03%	2.70%	-0.65%	4.34%	-4.91%	19.26%
2023	7.93%	-3.53%	-0.61%	4.47%	-5.87%	4.01%	2.56%	-4.82%	-2.11%	-3.40%	7.82%	7.20%	12.92%
2022	6.42%	0.83%	5.07%	-4.66%	4.96%	-9.56%	4.44%	-4.18%	-10.52%	7.94%	6.20%	-5.26%	-0.76%
2021	-0.16%	6.41%	9.86%	5.30%	6.24%	-2.36%	-0.67%	0.32%	0.77%	7.08%	-5.56%	5.89%	37.08%

Benchmark Metrics

Canada has an annualized alpha of 2.81%, beta of 0.83, and R² of 0.52 versus S&P 500 Index. Calculated based on daily prices since June 09, 2011.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (86.97%) than losses (83.11%) — typical of diversified or defensive assets.
This portfolio generated an annualized alpha of 2.81% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.

Alpha: 2.81%

Beta: 0.83

R²: 0.52

Upside Capture: 86.97%

Downside Capture: 83.11%

Expense Ratio

Canada 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

Canada 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.

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	3.64	0.88	+2.76
Sortino ratio Return per unit of downside risk	4.69	1.37	+3.33
Omega ratio Gain probability vs. loss probability	1.80	1.21	+0.60
Calmar ratio Return relative to maximum drawdown	4.49	1.39	+3.10
Martin ratio Return relative to average drawdown	31.12	6.43	+24.69
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
ENB.TO Enbridge Inc.	82	1.57	2.12	1.28	3.10	7.70
NA.TO National Bank of Canada	96	3.15	4.41	1.64	5.36	21.99
RY.TO Royal Bank of Canada	95	2.80	3.90	1.52	4.84	18.04
SLF.TO Sun Life Financial Inc.	57	0.61	0.90	1.14	0.94	2.00
GEI.TO Gibson Energy Inc.	87	2.18	2.78	1.38	2.84	9.79
CNQ.TO Canadian Natural Resources Limited	85	1.84	2.41	1.32	2.90	9.51
CM.TO Canadian Imperial Bank of Commerce	98	3.99	5.01	1.70	7.04	30.58
FTS.TO Fortis Inc.	87	1.87	2.69	1.33	4.19	10.67
MFC.TO Manulife Financial Corporation	55	0.48	0.76	1.11	0.83	2.61
IMO.TO Imperial Oil Limited	92	2.76	3.22	1.44	4.52	13.94

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.

Canada Sharpe ratios as of Apr 4, 2026 (values are recalculated daily):

1-Year: 3.64
5-Year: 1.21
10-Year: 0.77
All Time: 0.57

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 0.99 to 1.69, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of Canada 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

Canada provided a 3.60% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	3.60%	4.03%	4.58%	5.02%	5.01%	4.14%	5.06%	4.08%	4.68%	3.82%	3.67%	4.14%
Portfolio components:
ENB.TO Enbridge Inc.	5.04%	5.74%	6.00%	7.45%	6.50%	6.76%	7.96%	5.72%	6.33%	4.91%	3.75%	4.04%
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%
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%
SLF.TO Sun Life Financial Inc.	4.07%	4.11%	3.80%	4.37%	4.39%	3.28%	3.89%	3.55%	4.21%	3.36%	3.14%	3.50%
GEI.TO Gibson Energy Inc.	5.80%	6.85%	6.70%	7.75%	6.26%	6.24%	6.61%	4.96%	7.07%	7.26%	6.95%	9.26%
CNQ.TO Canadian Natural Resources Limited	3.61%	5.06%	4.82%	4.26%	6.12%	3.66%	5.44%	3.50%	3.98%	2.40%	2.15%	3.02%
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%
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	3.72%	3.53%	3.62%	4.99%	5.47%	4.85%	5.83%	3.79%	4.70%	3.13%	3.09%	3.21%
IMO.TO Imperial Oil Limited	1.67%	2.43%	2.71%	2.57%	2.21%	2.26%	3.64%	2.47%	2.11%	1.61%	1.26%	1.20%

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 Canada. 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 Canada was 48.96%, occurring on Mar 23, 2020. Recovery took 183 trading sessions.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-48.96%	Jan 21, 2020	44	Mar 23, 2020	183	Dec 10, 2020	227
-40.12%	Sep 19, 2014	336	Jan 20, 2016	409	Sep 6, 2017	745
-22.28%	Apr 21, 2022	120	Oct 12, 2022	351	Mar 5, 2024	471
-20.69%	Jan 25, 2018	231	Dec 24, 2018	77	Apr 16, 2019	308
-18.1%	Jul 22, 2011	51	Oct 4, 2011	102	Mar 1, 2012	153

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 12 assets, with an effective number of assets of 12.00, 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	EMA.TO	FTS.TO	CU.TO	GEI.TO	IMO.TO	CNQ.TO	ENB.TO	MFC.TO	SLF.TO	NA.TO	CM.TO	RY.TO	Portfolio
Benchmark	1.00	0.35	0.36	0.36	0.38	0.43	0.46	0.45	0.62	0.59	0.54	0.57	0.61	0.63
EMA.TO	0.35	1.00	0.74	0.64	0.35	0.28	0.29	0.45	0.33	0.38	0.43	0.42	0.43	0.58
FTS.TO	0.36	0.74	1.00	0.65	0.36	0.30	0.30	0.48	0.36	0.41	0.44	0.44	0.46	0.61
CU.TO	0.36	0.64	0.65	1.00	0.41	0.33	0.35	0.49	0.36	0.40	0.43	0.44	0.45	0.62
GEI.TO	0.38	0.35	0.36	0.41	1.00	0.49	0.52	0.56	0.42	0.41	0.44	0.46	0.46	0.68
IMO.TO	0.43	0.28	0.30	0.33	0.49	1.00	0.73	0.52	0.50	0.46	0.48	0.51	0.52	0.74
CNQ.TO	0.46	0.29	0.30	0.35	0.52	0.73	1.00	0.53	0.51	0.47	0.48	0.50	0.52	0.75
ENB.TO	0.45	0.45	0.48	0.49	0.56	0.52	0.53	1.00	0.46	0.48	0.49	0.53	0.54	0.74
MFC.TO	0.62	0.33	0.36	0.36	0.42	0.50	0.51	0.46	1.00	0.77	0.61	0.65	0.69	0.75
SLF.TO	0.59	0.38	0.41	0.40	0.41	0.46	0.47	0.48	0.77	1.00	0.62	0.65	0.70	0.74
NA.TO	0.54	0.43	0.44	0.43	0.44	0.48	0.48	0.49	0.61	0.62	1.00	0.72	0.74	0.75
CM.TO	0.57	0.42	0.44	0.44	0.46	0.51	0.50	0.53	0.65	0.65	0.72	1.00	0.80	0.78
RY.TO	0.61	0.43	0.46	0.45	0.46	0.52	0.52	0.54	0.69	0.70	0.74	0.80	1.00	0.80
Portfolio	0.63	0.58	0.61	0.62	0.68	0.74	0.75	0.74	0.75	0.74	0.75	0.78	0.80	1.00

The correlation results are calculated based on daily price changes starting from Jun 9, 2011

Canada

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