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S&P TSX Composite Index (Canada) (^GSPTSE)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Share Price Chart


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Popular comparisons: ^GSPTSE vs. ^GSPC, ^GSPTSE vs. EIF.TO, ^GSPTSE vs. PKI.TO, ^GSPTSE vs. VOO, ^GSPTSE vs. ACWI, ^GSPTSE vs. VDY.TO, ^GSPTSE vs. VFVA, ^GSPTSE vs. COST, ^GSPTSE vs. IVV, ^GSPTSE vs. V

Performance

Performance Chart

The chart shows the growth of an initial investment of CA$10,000 in S&P TSX Composite Index (Canada), comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


0.00%5.00%10.00%MayJuneJulyAugustSeptemberOctober
9.13%
12.51%
^GSPTSE (S&P TSX Composite Index (Canada))
Benchmark (^GSPC)

Returns By Period

S&P TSX Composite Index (Canada) had a return of 15.59% year-to-date (YTD) and 24.22% in the last 12 months. Over the past 10 years, S&P TSX Composite Index (Canada) had an annualized return of 5.49%, while the S&P 500 had an annualized return of 11.78%, indicating that S&P TSX Composite Index (Canada) did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date15.59%21.43%
1 month5.20%5.87%
6 months9.13%12.23%
1 year24.22%32.90%
5 years (annualized)8.14%14.34%
10 years (annualized)5.49%11.78%

Monthly Returns

The table below presents the monthly returns of ^GSPTSE, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.30%1.63%3.76%-2.04%2.55%-1.77%5.65%1.02%2.80%15.59%
20237.13%-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%
20201.50%-6.09%-17.74%10.48%2.79%2.12%4.22%2.13%-2.38%-3.35%10.33%1.41%2.17%
20198.50%2.95%0.64%2.97%-3.28%2.15%0.15%0.22%1.32%-1.05%3.38%0.14%19.13%
2018-1.59%-3.19%-0.49%1.57%2.91%1.35%0.96%-1.04%-1.17%-6.51%1.13%-5.76%-11.64%
20170.64%0.09%0.96%0.25%-1.52%-1.09%-0.25%0.45%2.78%2.50%0.26%0.88%6.03%
2016-1.44%0.30%4.93%3.39%0.82%-0.01%3.68%0.10%0.88%0.42%2.00%1.36%17.51%
20150.28%3.82%-2.18%2.16%-1.38%-3.07%-0.58%-4.21%-3.98%1.67%-0.44%-3.41%-11.09%
20140.54%3.76%0.88%2.21%-0.33%3.71%1.22%1.92%-4.26%-2.32%0.90%-0.76%7.42%
20132.02%1.08%-0.56%-2.30%1.56%-4.12%2.95%1.34%1.05%4.49%0.26%1.69%9.56%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ^GSPTSE is 65, suggesting that the investment has average results relative to other indices in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of ^GSPTSE is 6565
^GSPTSE (S&P TSX Composite Index (Canada))
The Sharpe Ratio Rank of ^GSPTSE is 6262Sharpe Ratio Rank
The Sortino Ratio Rank of ^GSPTSE is 7171Sortino Ratio Rank
The Omega Ratio Rank of ^GSPTSE is 6363Omega Ratio Rank
The Calmar Ratio Rank of ^GSPTSE is 5959Calmar Ratio Rank
The Martin Ratio Rank of ^GSPTSE is 7070Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for S&P TSX Composite Index (Canada) (^GSPTSE) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


^GSPTSE
Sharpe ratio
The chart of Sharpe ratio for ^GSPTSE, currently valued at 2.23, compared to the broader market0.001.002.003.002.23
Sortino ratio
The chart of Sortino ratio for ^GSPTSE, currently valued at 3.19, compared to the broader market-1.000.001.002.003.004.003.19
Omega ratio
The chart of Omega ratio for ^GSPTSE, currently valued at 1.41, compared to the broader market1.001.201.401.601.41
Calmar ratio
The chart of Calmar ratio for ^GSPTSE, currently valued at 1.60, compared to the broader market0.001.002.003.004.005.001.60
Martin ratio
The chart of Martin ratio for ^GSPTSE, currently valued at 15.21, compared to the broader market0.005.0010.0015.0020.0015.21
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.68, compared to the broader market0.001.002.003.002.68
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.59, compared to the broader market-1.000.001.002.003.004.003.59
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.49, compared to the broader market1.001.201.401.601.49
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.37, compared to the broader market0.001.002.003.004.005.002.37
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 16.37, compared to the broader market0.005.0010.0015.0020.0016.37

Sharpe Ratio

The current S&P TSX Composite Index (Canada) Sharpe ratio is 2.23. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of S&P TSX Composite Index (Canada) with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00MayJuneJulyAugustSeptemberOctober
2.23
3.09
^GSPTSE (S&P TSX Composite Index (Canada))
Benchmark (^GSPC)

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.


-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober00
^GSPTSE (S&P TSX Composite Index (Canada))
Benchmark (^GSPC)

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.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-49.99%Sep 5, 2000547Oct 9, 2002834Jan 3, 20061381
-49.8%Jun 19, 2008180Mar 9, 20091325Jun 18, 20141505
-43.95%Dec 1, 1980419Jul 8, 1982214May 6, 1983633
-37.43%Feb 21, 202022Mar 23, 2020199Jan 7, 2021221
-31.78%Apr 23, 1998118Oct 5, 1998298Nov 25, 1999416

Volatility

Volatility Chart

The current S&P TSX Composite Index (Canada) volatility is 2.17%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%MayJuneJulyAugustSeptemberOctober
2.17%
2.95%
^GSPTSE (S&P TSX Composite Index (Canada))
Benchmark (^GSPC)