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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in PHLX Canadian Dollar Index, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
PHLX Canadian Dollar Index (^CXY) has returned -1.53% so far this year and 3.40% over the past 12 months. Over the last ten years, ^CXY has returned -0.67% per year, falling short of the S&P 500 Index benchmark, which averaged 12.16% annually.
PHLX Canadian Dollar Index
- 1D
- 0.08%
- 1M
- -1.94%
- YTD
- -1.53%
- 6M
- 0.04%
- 1Y
- 3.40%
- 3Y*
- -0.95%
- 5Y*
- -2.05%
- 10Y*
- -0.67%
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since Jul 31, 2007, ^CXY's average daily return is 0.00%, while the average monthly return is -0.09%.
Historically, 48% of months were positive and 52% were negative. The best month was May 2009 with a return of +9.4%, while the worst month was Oct 2008 at -12.0%. The longest winning streak lasted 5 consecutive months, and the longest losing streak was 6 months.
On a daily basis, ^CXY closed higher 48% of trading days. The best single day was Oct 29, 2008 with a return of +3.9%, while the worst single day was Oct 22, 2008 at -3.4%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.59% | -0.18% | -1.94% | -1.53% | |||||||||
| 2025 | -0.94% | 0.42% | 0.55% | 4.30% | 0.36% | 1.00% | -1.78% | 0.75% | -1.21% | -0.77% | 0.35% | 2.03% | 5.04% |
| 2024 | -1.44% | -1.02% | 0.20% | -1.56% | 0.80% | -0.16% | -0.92% | 2.44% | -0.36% | -2.95% | -0.43% | -2.74% | -7.96% |
| 2023 | 1.82% | -2.46% | 0.90% | -0.54% | 0.18% | 2.46% | 0.45% | -2.39% | -0.61% | -2.04% | 2.30% | 2.40% | 2.30% |
| 2022 | -0.59% | 0.29% | 1.31% | -2.60% | 1.52% | -1.73% | 0.63% | -2.58% | -5.06% | 1.51% | 1.51% | -0.93% | -6.76% |
| 2021 | -0.33% | 0.32% | 1.40% | 2.21% | 1.79% | -2.62% | -0.63% | -1.06% | -0.54% | 2.35% | -3.05% | 1.15% | 0.82% |
Benchmark Metrics
PHLX Canadian Dollar Index has an annualized alpha of -3.31%, beta of 0.23, and R² of 0.27 versus S&P 500 Index. Calculated based on daily prices since August 01, 2007.
- This index participated in 49.29% of S&P 500 Index downside but only 20.42% of its upside — more exposed to losses than it benefited from rallies.
- Beta of 0.23 may look defensive, but with R² of 0.27 this index 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 index's risk.
- R² of 0.27 means this index moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- -3.31%
- Beta
- 0.23
- R²
- 0.27
- Upside Capture
- 20.42%
- Downside Capture
- 49.29%
Return for Risk
Risk / Return Rank
^CXY ranks 36 for risk / return — below 36% of indices on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for PHLX Canadian Dollar Index (^CXY) and compare them to a chosen benchmark (S&P 500 Index).
| ^CXY | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.64 | 0.90 | -0.25 |
Sortino ratioReturn per unit of downside risk | 1.05 | 1.39 | -0.33 |
Omega ratioGain probability vs. loss probability | 1.12 | 1.21 | -0.09 |
Calmar ratioReturn relative to maximum drawdown | 0.57 | 1.40 | -0.83 |
Martin ratioReturn relative to average drawdown | 1.18 | 6.61 | -5.42 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore ^CXY risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
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 PHLX Canadian Dollar Index. 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 PHLX Canadian Dollar Index was 36.82%, occurring on Jan 19, 2016. The portfolio has not yet recovered.
The current PHLX Canadian Dollar Index drawdown is 33.78%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -36.82% | Nov 7, 2007 | 2070 | Jan 19, 2016 | — | — | — |
| -2.76% | Aug 9, 2007 | 5 | Aug 15, 2007 | 18 | Sep 11, 2007 | 23 |
| -1.3% | Oct 22, 2007 | 1 | Oct 22, 2007 | 1 | Oct 23, 2007 | 2 |
| -0.88% | Nov 1, 2007 | 1 | Nov 1, 2007 | 1 | Nov 2, 2007 | 2 |
| -0.74% | Oct 2, 2007 | 2 | Oct 3, 2007 | 2 | Oct 5, 2007 | 4 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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