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S&P/TSX Dividend Aristocrats (^GSPTXDV)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Share Price Chart


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Popular comparisons: ^GSPTXDV vs. ^TNX, ^GSPTXDV vs. IBIT, ^GSPTXDV vs. KNG, ^GSPTXDV vs. V, ^GSPTXDV vs. COST, ^GSPTXDV vs. VFV.TO, ^GSPTXDV vs. QYLD, ^GSPTXDV vs. SPYD, ^GSPTXDV vs. VUSA.L

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in S&P/TSX Dividend Aristocrats, 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
13.30%
10.74%
^GSPTXDV (S&P/TSX Dividend Aristocrats)
Benchmark (^GSPC)

Returns By Period

S&P/TSX Dividend Aristocrats had a return of 14.93% year-to-date (YTD) and 28.16% in the last 12 months. Over the past 10 years, S&P/TSX Dividend Aristocrats had an annualized return of 3.20%, while the S&P 500 had an annualized return of 11.26%, indicating that S&P/TSX Dividend Aristocrats did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date14.93%19.50%
1 month5.67%3.09%
6 months13.30%10.74%
1 year28.16%33.68%
5 years (annualized)5.57%14.10%
10 years (annualized)3.20%11.26%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.70%0.47%1.83%-3.19%1.34%-0.28%6.94%1.55%5.04%14.93%
20236.17%-1.49%-1.46%1.57%-3.70%1.05%0.70%-2.30%-3.86%-3.57%6.69%6.00%5.07%
20221.56%-0.42%3.40%-4.01%0.05%-7.63%4.56%-2.67%-6.83%3.12%4.85%-3.11%-7.83%
20210.66%3.46%5.49%3.38%2.32%1.04%1.84%0.87%-2.06%2.50%-3.93%3.96%20.93%
20202.05%-6.50%-25.74%8.76%0.90%1.62%4.12%2.33%-0.12%-1.91%11.17%1.56%-6.87%
20197.70%2.57%0.70%1.35%-1.81%1.30%1.62%0.33%2.20%-1.38%4.21%0.67%20.90%
2018-2.76%-3.17%-2.34%1.21%1.43%1.42%1.66%1.09%-1.91%-4.14%0.25%-5.83%-12.66%
2017-0.08%0.09%1.78%-0.04%-4.55%0.67%-1.43%0.11%2.26%1.96%0.83%-0.15%1.27%
2016-2.82%0.68%5.86%3.27%1.18%-0.54%1.54%0.36%-0.17%-0.65%3.98%2.54%16.00%
2015-1.62%2.60%-4.23%3.17%-1.81%-3.12%-2.49%-1.27%-3.08%3.10%-2.23%-4.31%-14.62%
2014-0.11%3.02%1.62%0.74%0.63%1.44%-0.26%3.57%-3.35%0.05%2.26%-0.24%9.60%
20134.74%0.91%-2.60%-1.06%0.57%-2.44%3.41%-0.77%0.98%3.53%0.46%1.96%9.81%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of ^GSPTXDV is 76, placing it in the top 24% of indices on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of ^GSPTXDV is 7676
^GSPTXDV (S&P/TSX Dividend Aristocrats)
The Sharpe Ratio Rank of ^GSPTXDV is 7575Sharpe Ratio Rank
The Sortino Ratio Rank of ^GSPTXDV is 9393Sortino Ratio Rank
The Omega Ratio Rank of ^GSPTXDV is 8181Omega Ratio Rank
The Calmar Ratio Rank of ^GSPTXDV is 4646Calmar Ratio Rank
The Martin Ratio Rank of ^GSPTXDV is 8585Martin 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 Dividend Aristocrats (^GSPTXDV) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


^GSPTXDV
Sharpe ratio
The chart of Sharpe ratio for ^GSPTXDV, currently valued at 2.54, compared to the broader market0.001.002.003.002.54
Sortino ratio
The chart of Sortino ratio for ^GSPTXDV, currently valued at 3.71, compared to the broader market-1.000.001.002.003.003.71
Omega ratio
The chart of Omega ratio for ^GSPTXDV, currently valued at 1.48, compared to the broader market1.001.201.401.48
Calmar ratio
The chart of Calmar ratio for ^GSPTXDV, currently valued at 1.29, compared to the broader market0.001.002.003.004.005.001.29
Martin ratio
The chart of Martin ratio for ^GSPTXDV, currently valued at 16.24, compared to the broader market0.005.0010.0015.0020.0016.24
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.79, compared to the broader market0.001.002.003.002.79
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.71, compared to the broader market-1.000.001.002.003.003.72
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.51, compared to the broader market1.001.201.401.51
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.46, compared to the broader market0.001.002.003.004.005.002.46
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 16.96, compared to the broader market0.005.0010.0015.0020.0016.96

Sharpe Ratio

The current S&P/TSX Dividend Aristocrats Sharpe ratio is 2.54. 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 Dividend Aristocrats 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 Ratio0.000.501.001.502.002.50MayJuneJulyAugustSeptemberOctober
2.54
2.79
^GSPTXDV (S&P/TSX Dividend Aristocrats)
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.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-0.39%
-1.09%
^GSPTXDV (S&P/TSX Dividend Aristocrats)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the S&P/TSX Dividend Aristocrats. 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 Dividend Aristocrats was 46.09%, occurring on Mar 23, 2020. Recovery took 279 trading sessions.

The current S&P/TSX Dividend Aristocrats drawdown is 0.39%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-46.09%Feb 21, 202022Mar 23, 2020279May 3, 2021301
-45.7%Jun 6, 2008188Mar 9, 2009392Sep 29, 2010580
-24.54%Sep 4, 2014362Feb 11, 2016901Sep 16, 20191263
-20.09%Apr 21, 2022382Oct 27, 2023215Aug 26, 2024597
-11.01%Jul 25, 201150Oct 4, 201173Jan 19, 2012123

Volatility

Volatility Chart

The current S&P/TSX Dividend Aristocrats volatility is 1.97%, 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
1.97%
3.33%
^GSPTXDV (S&P/TSX Dividend Aristocrats)
Benchmark (^GSPC)