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Performance
^GSPTSE Performance Chart
S&P TSX Composite Index (Canada) (^GSPTSE) is up 10.2% since the beginning of the year. ^GSPTSE is currently trading at CA$34,938 per share. Investors who bought CA$1,000 worth of ^GSPTSE shares 5 years ago would now be looking at an investment worth CA$1,735.
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Returns By Period
S&P TSX Composite Index (Canada) (^GSPTSE) has returned 10.17% so far this year and 31.82% over the past 12 months. Over the last ten years, ^GSPTSE has returned 9.67% per year, falling short of the S&P 500 Index benchmark, which averaged 14.58% annually.
S&P TSX Composite Index (Canada)
- 1D
- 0.77%
- 1M
- 3.26%
- YTD
- 10.17%
- 6M
- 10.82%
- 1Y
- 31.82%
- 3Y*
- 20.46%
- 5Y*
- 11.65%
- 10Y*
- 9.67%
Benchmark (S&P 500 Index)
- 1D
- 0.69%
- 1M
- 2.13%
- YTD
- 10.76%
- 6M
- 10.40%
- 1Y
- 27.77%
- 3Y*
- 21.16%
- 5Y*
- 15.12%
- 10Y*
- 14.58%
^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, 61% of months were positive and 39% 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 54% 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% | 3.65% | 2.37% | 0.49% | 10.17% | ||||||
| 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 1.70%, beta of 0.60, and R2 of 0.45 versus S&P 500 Index. Calculated based on daily prices since June 29, 1979.
- This index participated in 60.78% of S&P 500 Index downside but only 59.65% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.60 may look defensive, but with R2 of 0.45 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 0.45 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
- 1.70%
- Beta
- 0.60
- R²
- 0.45
- Upside Capture
- 59.65%
- Downside Capture
- 60.78%
Return for Risk
Risk / Return Rank
^GSPTSE ranks 88 for risk / return — in the top 88% 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 S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ^GSPTSE | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.39 | ||
| Sortino ratioReturn per unit of downside risk | +0.34 | ||
| Omega ratioGain probability vs. loss probability | 1.43 | 1.35 | +0.08 |
| Calmar ratioReturn relative to maximum drawdown | 3.37 | 2.81 | +0.55 |
| Martin ratioReturn relative to average drawdown | 14.93 | 10.45 | +4.48 |
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 813 trading sessions.
The current S&P TSX Composite Index (Canada) drawdown is 0.79%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Dot-com crash2000–2002 | -49.99%Oct 2002 | 2y 1mo | 3y 2mo | 5y 4moSep 2000 - Jan 2006 |
Financial crisis2007–2009 | -49.80%Mar 2009 | 8mo 23d | 5y 3mo | 6yJun 2008 - Jun 2014 |
1982 bear market1982 | -43.95%Jul 1982 | 1y 7mo | 10mo 2d | 2y 5moDec 1980 - May 1983 |
COVID crash2020 | -37.43%Mar 2020 | 1mo 1d | 9mo 20d | 10mo 21dFeb 2020 - Jan 2021 |
1998 bear market1998 | -31.78%Oct 1998 | 5mo 15d | 1y 1mo | 1y 7moApr 1998 - Nov 1999 |
Drawdown Indicators
| ^GSPTSE | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -49.99% | -48.87% | -1.12% |
Max Drawdown (1Y)Largest decline over 1 year | -9.33% | -9.17% | -0.16% |
Max Drawdown (3Y)Largest decline over 3 years | -12.79% | -19.59% | +6.80% |
Max Drawdown (5Y)Largest decline over 5 years | -17.57% | -23.14% | +5.57% |
Max Drawdown (10Y)Largest decline over 10 years | -37.43% | -27.97% | -9.46% |
Current DrawdownCurrent decline from peak | -0.79% | -1.46% | +0.67% |
Average DrawdownAverage peak-to-trough decline | -11.48% | -9.66% | -1.82% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.10% | 2.47% | -0.37% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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