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Performance
^CXY Performance Chart
PHLX Canadian Dollar Index (^CXY) is down 1.0% since the beginning of the year. ^CXY is currently trading at $72 per share. Investors who bought $1,000 worth of ^CXY shares 5 years ago would now be looking at an investment worth $875.
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Returns By Period
PHLX Canadian Dollar Index (^CXY) has returned -1.00% so far this year and -0.86% 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 13.66% annually.
PHLX Canadian Dollar Index
- 1D
- 0.03%
- 1M
- -1.57%
- YTD
- -1.00%
- 6M
- 0.80%
- 1Y
- -0.86%
- 3Y*
- -1.01%
- 5Y*
- -2.63%
- 10Y*
- -0.67%
Benchmark (S&P 500 Index)
- 1D
- -0.74%
- 1M
- 4.90%
- YTD
- 10.35%
- 6M
- 10.28%
- 1Y
- 26.52%
- 3Y*
- 20.83%
- 5Y*
- 12.30%
- 10Y*
- 13.66%
^CXY Monthly Returns History
Based on dividend-adjusted daily data since Jul 31, 2007, ^CXY's average daily return is 0.00%, while the average monthly return is -0.08%.
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% | 2.42% | -1.54% | -0.30% | -1.00% | ||||||
| 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 -3.43%, 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 19.81% 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
- -3.43%
- Beta
- 0.23
- R²
- 0.27
- Upside Capture
- 19.81%
- Downside Capture
- 49.29%
Return for Risk
Risk / Return Rank
^CXY ranks 5 for risk / return — in the bottom 5% of indices 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.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for PHLX Canadian Dollar Index (^CXY) and compare them to S&P 500 Index.
| ^CXY | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -0.20 | 2.24 | -2.44 |
Sortino ratioReturn per unit of downside risk | -0.27 | 3.07 | -3.34 |
Omega ratioGain probability vs. loss probability | 0.97 | 1.41 | -0.44 |
Calmar ratioReturn relative to maximum drawdown | -0.23 | 2.93 | -3.16 |
Martin ratioReturn relative to average drawdown | -0.45 | 13.52 | -13.97 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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 33.42%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
2016 bear market2016 | -36.82%Jan 2016 | 8y 2mo | — | 18y 7moNov 2007 - now |
2007 pullback2007 | -2.76%Aug 2007 | 6d | 27d | 1mo 3dAug 2007 - Sep 2007 |
Financial crisis2007–2009 | -1.30%Oct 2007 | 0s | 1d | 1dOct 2007 - Oct 2007 |
Financial crisis2007–2009 | -0.88%Nov 2007 | 0s | 1d | 1dNov 2007 - Nov 2007 |
Financial crisis2007–2009 | -0.74%Oct 2007 | 1d | 2d | 3dOct 2007 - Oct 2007 |
Drawdown Indicators
| ^CXY | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -36.82% | -56.78% | +19.96% |
Max Drawdown (1Y)Largest decline over 1 year | -3.91% | -9.10% | +5.19% |
Max Drawdown (3Y)Largest decline over 3 years | -9.71% | -18.90% | +9.19% |
Max Drawdown (5Y)Largest decline over 5 years | -16.83% | -25.43% | +8.60% |
Max Drawdown (10Y)Largest decline over 10 years | -17.13% | -33.92% | +16.79% |
Current DrawdownCurrent decline from peak | -33.42% | -0.74% | -32.68% |
Average DrawdownAverage peak-to-trough decline | -22.90% | -10.72% | -12.18% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.02% | 1.97% | +0.05% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Build a portfolio with ^CXY
Add PHLX Canadian Dollar Index to a portfolio and analyze allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
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