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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.
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Returns By Period
S&P/TSX Dividend Aristocrats (^GSPTXDV) has returned 4.95% so far this year and 20.74% over the past 12 months. Over the last ten years, ^GSPTXDV has returned 6.16% per year, falling short of the S&P 500 Index benchmark, which averaged 12.16% annually.
S&P/TSX Dividend Aristocrats
- 1D
- -0.10%
- 1M
- -2.80%
- YTD
- 4.95%
- 6M
- 6.93%
- 1Y
- 20.74%
- 3Y*
- 12.93%
- 5Y*
- 7.92%
- 10Y*
- 6.16%
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since May 15, 2008, ^GSPTXDV's average daily return is +0.02%, while the average monthly return is +0.46%. At this rate, your investment would double in approximately 12.6 years.
Historically, 61% of months were positive and 39% were negative. The best month was Apr 2009 with a return of +13.6%, while the worst month was Mar 2020 at -25.7%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 6 months.
On a daily basis, ^GSPTXDV closed higher 55% of trading days. The best single day was Mar 24, 2020 with a return of +10.2%, while the worst single day was Mar 12, 2020 at -13.2%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.65% | 6.23% | -2.80% | 4.95% | |||||||||
| 2025 | -0.70% | -0.14% | -0.04% | -0.07% | 4.24% | 1.53% | 1.02% | 3.29% | 2.33% | -0.78% | 2.02% | 0.64% | 14.03% |
| 2024 | 0.70% | 0.47% | 1.83% | -3.19% | 1.34% | -0.28% | 6.94% | 1.55% | 5.04% | 1.02% | 3.52% | -3.93% | 15.52% |
| 2023 | 6.17% | -1.49% | -1.46% | 1.57% | -3.70% | 1.05% | 0.70% | -2.30% | -3.86% | -3.57% | 6.69% | 6.00% | 5.07% |
| 2022 | 1.56% | -0.42% | 3.40% | -4.01% | 0.05% | -7.63% | 4.56% | -2.67% | -6.83% | 3.12% | 4.85% | -3.11% | -7.83% |
| 2021 | 0.66% | 3.46% | 5.49% | 3.38% | 2.32% | 1.04% | 1.84% | 0.87% | -2.06% | 2.50% | -3.93% | 3.96% | 20.93% |
Benchmark Metrics
S&P/TSX Dividend Aristocrats has an annualized alpha of 0.55%, beta of 0.57, and R² of 0.54 versus S&P 500 Index. Calculated based on daily prices since May 16, 2008.
- This index participated in 64.68% of S&P 500 Index downside but only 55.54% of its upside — more exposed to losses than it benefited from rallies.
- Beta of 0.57 indicates this index moves significantly less than S&P 500 Index — a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- 0.55%
- Beta
- 0.57
- R²
- 0.54
- Upside Capture
- 55.54%
- Downside Capture
- 64.68%
Return for Risk
Risk / Return Rank
^GSPTXDV ranks 93 for risk / return — in the top 93% 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 Dividend Aristocrats (^GSPTXDV) and compare them to a chosen benchmark (S&P 500 Index).
| ^GSPTXDV | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.07 | 0.90 | +1.18 |
Sortino ratioReturn per unit of downside risk | 2.70 | 1.39 | +1.32 |
Omega ratioGain probability vs. loss probability | 1.44 | 1.21 | +0.23 |
Calmar ratioReturn relative to maximum drawdown | 2.37 | 1.40 | +0.98 |
Martin ratioReturn relative to average drawdown | 12.44 | 6.61 | +5.83 |
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 ^GSPTXDV 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 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 3.17%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -46.09% | Feb 21, 2020 | 22 | Mar 23, 2020 | 279 | May 3, 2021 | 301 |
| -45.7% | Jun 6, 2008 | 188 | Mar 9, 2009 | 392 | Sep 29, 2010 | 580 |
| -24.54% | Sep 4, 2014 | 362 | Feb 11, 2016 | 901 | Sep 16, 2019 | 1263 |
| -20.09% | Apr 21, 2022 | 382 | Oct 27, 2023 | 215 | Aug 26, 2024 | 597 |
| -12.84% | Dec 6, 2024 | 84 | Apr 8, 2025 | 57 | Jun 30, 2025 | 141 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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