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Performance
^GSPTSE Performance Chart
S&P TSX Composite Index (Canada) (^GSPTSE) is up 7.7% since the beginning of the year. ^GSPTSE is currently trading at CA$34,156 per share. Investors who bought CA$1,000 worth of ^GSPTSE shares 5 years ago would now be looking at an investment worth CA$1,765.
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Different Benchmark Currency
^GSPTSE is traded in CAD, while the ^GSPC benchmark is in USD. To make them comparable, the benchmark values have been converted to CAD using the latest available exchange rates.
Returns By Period
S&P TSX Composite Index (Canada) (^GSPTSE) has returned 7.70% so far this year and 41.92% over the past 12 months. Over the last ten years, ^GSPTSE has returned 9.62% per year, falling short of the S&P 500 Index benchmark, which averaged 13.66% annually.
S&P TSX Composite Index (Canada)
- 1D
- 0.16%
- 1M
- 3.89%
- YTD
- 7.70%
- 6M
- 11.49%
- 1Y
- 41.92%
- 3Y*
- 18.40%
- 5Y*
- 12.03%
- 10Y*
- 9.62%
Benchmark (S&P 500 Index)
- 1D
- 0.00%
- 1M
- 4.64%
- YTD
- 2.14%
- 6M
- 2.44%
- 1Y
- 27.37%
- 3Y*
- 20.19%
- 5Y*
- 12.88%
- 10Y*
- 13.66%
^GSPTSE Monthly Returns History
Based on dividend-adjusted daily data since Jun 29, 1979, ^GSPTSE's average daily return is +0.03%, while the average monthly return is +0.64%. At this rate, an investment would double in approximately 9.1 years.
Historically, 60% of months were positive and 40% were negative. The best month was Aug 1982 with a return of +14.3%, while the worst month was Oct 1987 at -22.6%. The longest winning streak lasted 12 consecutive months, and the longest losing streak was 7 months.
On a daily basis, ^GSPTSE closed higher 53% of trading days. The best single day was Mar 24, 2020 with a return of +12.0%, while the worst single day was Mar 12, 2020 at -12.3%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.66% | 7.57% | -4.58% | 4.24% | 7.70% | ||||||||
| 2025 | 3.26% | -0.55% | -1.87% | -0.30% | 5.37% | 2.61% | 1.50% | 4.79% | 5.11% | 0.79% | 3.71% | 1.05% | 28.25% |
| 2024 | 0.30% | 1.63% | 3.76% | -2.04% | 2.55% | -1.77% | 5.65% | 1.02% | 2.80% | 0.65% | 6.17% | -3.59% | 17.99% |
| 2023 | 7.13% | -2.63% | -0.60% | 2.67% | -5.16% | 2.98% | 2.34% | -1.62% | -3.70% | -3.42% | 7.22% | 3.57% | 8.12% |
| 2022 | -0.59% | 0.13% | 3.62% | -5.15% | -0.16% | -9.01% | 4.41% | -1.84% | -4.59% | 5.32% | 5.29% | -5.22% | -8.66% |
| 2021 | -0.55% | 4.17% | 3.55% | 2.18% | 3.26% | 2.20% | 0.61% | 1.45% | -2.49% | 4.82% | -1.79% | 2.72% | 21.74% |
Benchmark Metrics
S&P TSX Composite Index (Canada) has an annualized alpha of -0.90%, beta of 0.68, and R² of 0.47 versus S&P 500 Index. Calculated based on daily prices since July 02, 1979.
- This index participated in 73.72% of S&P 500 Index downside but only 60.02% of its upside — more exposed to losses than it benefited from rallies.
- Beta of 0.68 may look defensive, but with R² of 0.47 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 0.47 means the benchmark explains less than half of this index's behavior — treat beta with caution or consider switching to a more representative benchmark.
- Alpha
- -0.90%
- Beta
- 0.68
- R²
- 0.47
- Upside Capture
- 60.02%
- Downside Capture
- 73.72%
Return for Risk
Risk / Return Rank
^GSPTSE ranks 94 for risk / return — in the top 94% of indices 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
The table below present risk-adjusted performance metrics for S&P TSX Composite Index (Canada) (^GSPTSE) and compare them to a chosen benchmark (S&P 500 Index).
| ^GSPTSE | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 3.47 | 2.02 | +1.46 |
Sortino ratioReturn per unit of downside risk | 4.33 | 2.79 | +1.54 |
Omega ratioGain probability vs. loss probability | 1.64 | 1.39 | +0.25 |
Calmar ratioReturn relative to maximum drawdown | 4.80 | 3.28 | +1.52 |
Martin ratioReturn relative to average drawdown | 22.50 | 11.83 | +10.67 |
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 ^GSPTSE 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 S&P TSX Composite Index (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 S&P TSX Composite Index (Canada) was 49.99%, occurring on Oct 9, 2002. Recovery took 834 trading sessions.
The current S&P TSX Composite Index (Canada) drawdown is 1.12%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -49.99% | Sep 5, 2000 | 547 | Oct 9, 2002 | 834 | Jan 3, 2006 | 1381 |
| -49.8% | Jun 19, 2008 | 180 | Mar 9, 2009 | 1325 | Jun 18, 2014 | 1505 |
| -43.95% | Dec 1, 1980 | 419 | Jul 8, 1982 | 214 | May 6, 1983 | 633 |
| -37.43% | Feb 21, 2020 | 22 | Mar 23, 2020 | 199 | Jan 7, 2021 | 221 |
| -31.78% | Apr 23, 1998 | 118 | Oct 5, 1998 | 298 | Nov 25, 1999 | 416 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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