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Performance
^SPTSX60 Performance Chart
S&P/TSX 60 Index (^SPTSX60) is up 10.5% since the beginning of the year. ^SPTSX60 is currently trading at CA$2,054 per share. Investors who bought CA$1,000 worth of ^SPTSX60 shares 5 years ago would now be looking at an investment worth CA$1,713.
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Returns By Period
S&P/TSX 60 Index (^SPTSX60) has returned 10.45% so far this year and 30.30% over the past 12 months. Over the last ten years, ^SPTSX60 has returned 9.45% per year, falling short of the S&P 500 Index benchmark, which averaged 15.02% annually.
S&P/TSX 60 Index
- 1D
- 1.24%
- 1M
- 1.97%
- YTD
- 10.45%
- 6M
- 10.24%
- 1Y
- 30.30%
- 3Y*
- 19.71%
- 5Y*
- 11.37%
- 10Y*
- 9.45%
Benchmark (S&P 500 Index)
- 1D
- 0.16%
- 1M
- 2.88%
- YTD
- 12.99%
- 6M
- 11.67%
- 1Y
- 29.60%
- 3Y*
- 22.83%
- 5Y*
- 15.20%
- 10Y*
- 15.02%
^SPTSX60 Monthly Returns History
Based on dividend-adjusted daily data since Dec 31, 1998, ^SPTSX60's average daily return is +0.03%, while the average monthly return is +0.60%. At this rate, an investment would double in approximately 9.7 years.
Historically, 61% of months were positive and 39% were negative. The best month was May 2009 with a return of +11.9%, while the worst month was Oct 2008 at -16.4%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 7 months.
On a daily basis, ^SPTSX60 closed higher 54% of trading days. The best single day was Mar 24, 2020 with a return of +12.4%, while the worst single day was Mar 12, 2020 at -12.5%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -0.39% | 6.43% | -3.38% | 4.07% | 1.99% | 1.59% | 10.45% | ||||||
| 2025 | 3.94% | -0.56% | -2.32% | -0.14% | 4.93% | 1.93% | 1.38% | 4.64% | 4.42% | 0.60% | 3.40% | 0.99% | 25.48% |
| 2024 | 0.26% | 1.75% | 3.36% | -2.43% | 2.44% | -2.13% | 5.84% | 1.46% | 2.69% | 0.44% | 6.47% | -3.67% | 17.19% |
| 2023 | 7.07% | -2.78% | -0.86% | 3.28% | -5.53% | 3.19% | 1.87% | -1.71% | -3.57% | -3.39% | 7.64% | 3.71% | 8.21% |
| 2022 | -0.39% | -0.28% | 3.46% | -5.08% | -0.06% | -8.64% | 3.62% | -1.82% | -4.22% | 5.36% | 5.33% | -5.72% | -9.17% |
| 2021 | -0.79% | 4.56% | 4.07% | 1.94% | 3.63% | 2.46% | 0.61% | 1.22% | -2.27% | 5.14% | -1.31% | 3.08% | 24.37% |
Benchmark Metrics
S&P/TSX 60 Index has an annualized alpha of 1.75%, beta of 0.62, and R2 of 0.45 versus S&P 500 Index. Calculated based on daily prices since December 31, 1998.
- This index participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (59.19%) than losses (59.11%) - typical of diversified or defensive assets.
- Beta of 0.62 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
- 1.75%
- Beta
- 0.62
- R²
- 0.45
- Upside Capture
- 59.19%
- Downside Capture
- 59.11%
Return for Risk
Risk / Return Rank
^SPTSX60 ranks 92 for risk / return — in the top 92% 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 60 Index (^SPTSX60) 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.
| ^SPTSX60 | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.30 | ||
| Sortino ratioReturn per unit of downside risk | +0.33 | ||
| Omega ratioGain probability vs. loss probability | 1.47 | 1.40 | +0.07 |
| Calmar ratioReturn relative to maximum drawdown | 3.97 | 3.24 | +0.73 |
| Martin ratioReturn relative to average drawdown | 17.90 | 12.03 | +5.87 |
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 60 Index. 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 60 Index was 54.11%, occurring on Oct 9, 2002. Recovery took 879 trading sessions.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Dot-com crash2000–2002 | -54.11%Oct 2002 | 2y 1mo | 3y 6mo | 5y 7moSep 2000 - Apr 2006 |
Financial crisis2007–2009 | -49.15%Feb 2009 | 8mo 9d | 5y 6mo | 6y 2moJun 2008 - Sep 2014 |
COVID crash2020 | -35.73%Mar 2020 | 1mo 1d | 9mo 20d | 10mo 21dFeb 2020 - Jan 2021 |
2016 bear market2016 | -22.86%Jan 2016 | 1y 4mo | 10mo 23d | 2y 3moSep 2014 - Dec 2016 |
Bear market2022 | -17.78%Oct 2022 | 6mo 23d | 1y 6mo | 2y 18dMar 2022 - Apr 2024 |
Drawdown Indicators
| ^SPTSX60 | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -54.11% | -48.87% | -5.24% |
Max Drawdown (1Y)Largest decline over 1 year | -7.74% | -9.17% | +1.43% |
Max Drawdown (3Y)Largest decline over 3 years | -12.84% | -19.59% | +6.75% |
Max Drawdown (5Y)Largest decline over 5 years | -17.78% | -23.14% | +5.36% |
Max Drawdown (10Y)Largest decline over 10 years | -35.73% | -27.97% | -7.76% |
Current DrawdownCurrent decline from peak | 0.00% | 0.00% | 0.00% |
Average DrawdownAverage peak-to-trough decline | -13.87% | -9.65% | -4.22% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.71% | 2.47% | -0.76% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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