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S&P/TSX 60 Index (^SPTSX60)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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S&P/TSX 60 Index

Popular comparisons: ^SPTSX60 vs. VOO, ^SPTSX60 vs. VDY.TO, ^SPTSX60 vs. COST, ^SPTSX60 vs. QQQ, ^SPTSX60 vs. AAPL, ^SPTSX60 vs. ^GSPC, ^SPTSX60 vs. RY, ^SPTSX60 vs. XIU.TO, ^SPTSX60 vs. MSA.TO

Performance

Performance Chart

The chart shows the growth of an initial investment of CA$10,000 in S&P/TSX 60 Index, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


150.00%200.00%250.00%300.00%December2024FebruaryMarchAprilMay
189.06%
290.29%
^SPTSX60 (S&P/TSX 60 Index)
Benchmark (^GSPC)

S&P 500

Returns By Period

S&P/TSX 60 Index had a return of 6.16% year-to-date (YTD) and 9.79% in the last 12 months. Over the past 10 years, S&P/TSX 60 Index had an annualized return of 4.92%, while the S&P 500 had an annualized return of 10.99%, indicating that S&P/TSX 60 Index did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date6.16%11.18%
1 month3.53%5.60%
6 months10.24%17.48%
1 year9.79%26.33%
5 years (annualized)6.47%13.16%
10 years (annualized)4.92%10.99%

Monthly Returns

The table below presents the monthly returns of ^SPTSX60, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.26%1.75%3.36%-2.43%6.16%
20237.07%-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%
20201.78%-5.89%-15.66%8.75%2.86%1.86%3.69%2.26%-2.35%-3.97%10.19%1.10%1.95%
20198.14%2.65%0.59%3.65%-3.28%1.84%0.01%0.28%1.58%-1.16%3.27%-0.36%18.11%
2018-1.59%-3.23%-0.54%1.37%3.15%1.56%1.46%-1.39%-1.39%-6.01%2.03%-5.91%-10.46%
20171.02%-0.18%0.88%0.36%-1.36%-1.51%-0.16%0.15%3.27%2.75%0.52%0.80%6.63%
2016-1.27%0.06%4.72%3.10%0.69%-0.42%3.64%0.47%0.83%1.15%2.29%1.32%17.72%
20150.29%3.86%-2.37%1.99%-1.30%-3.12%0.66%-4.45%-3.79%1.27%-0.34%-3.44%-10.56%
20140.23%3.53%0.89%2.08%-0.12%3.52%2.11%1.58%-3.79%-1.71%1.59%-0.95%9.07%
20131.97%1.48%-0.98%-2.82%2.19%-4.23%2.75%1.74%0.79%4.72%0.57%1.54%9.81%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ^SPTSX60 is 34, 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 ^SPTSX60 is 3434
^SPTSX60 (S&P/TSX 60 Index)
The Sharpe Ratio Rank of ^SPTSX60 is 3131Sharpe Ratio Rank
The Sortino Ratio Rank of ^SPTSX60 is 3030Sortino Ratio Rank
The Omega Ratio Rank of ^SPTSX60 is 3232Omega Ratio Rank
The Calmar Ratio Rank of ^SPTSX60 is 3636Calmar Ratio Rank
The Martin Ratio Rank of ^SPTSX60 is 4040Martin 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 60 Index (^SPTSX60) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


^SPTSX60
Sharpe ratio
The chart of Sharpe ratio for ^SPTSX60, currently valued at 0.87, compared to the broader market-1.000.001.002.003.000.87
Sortino ratio
The chart of Sortino ratio for ^SPTSX60, currently valued at 1.29, compared to the broader market-2.00-1.000.001.002.003.004.001.29
Omega ratio
The chart of Omega ratio for ^SPTSX60, currently valued at 1.16, compared to the broader market0.801.001.201.401.601.16
Calmar ratio
The chart of Calmar ratio for ^SPTSX60, currently valued at 0.61, compared to the broader market0.001.002.003.004.005.000.61
Martin ratio
The chart of Martin ratio for ^SPTSX60, currently valued at 3.38, compared to the broader market0.005.0010.0015.0020.003.38
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.38, compared to the broader market-1.000.001.002.003.002.38
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.37, compared to the broader market-2.00-1.000.001.002.003.004.003.37
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.42, compared to the broader market0.801.001.201.401.601.42
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.94, compared to the broader market0.001.002.003.004.005.001.94
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 9.12, compared to the broader market0.005.0010.0015.0020.009.12

Sharpe Ratio

The current S&P/TSX 60 Index Sharpe ratio is 0.87. This value is calculated based on the past 12 months of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of S&P/TSX 60 Index 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 Ratio0.001.002.003.00December2024FebruaryMarchAprilMay
0.87
2.87
^SPTSX60 (S&P/TSX 60 Index)
Benchmark (^GSPC)

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%December2024FebruaryMarchAprilMay0
-0.05%
^SPTSX60 (S&P/TSX 60 Index)
Benchmark (^GSPC)

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 49.15%, occurring on Feb 23, 2009. Recovery took 1387 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-49.15%Jun 19, 2008169Feb 23, 20091387Sep 3, 20141556
-35.73%Feb 21, 202022Mar 23, 2020199Jan 7, 2021221
-34.02%May 23, 2001348Oct 9, 2002322Jan 21, 2004670
-22.86%Sep 4, 2014346Jan 20, 2016224Dec 8, 2016570
-17.78%Mar 23, 2022140Oct 12, 2022374Apr 9, 2024514

Volatility

Volatility Chart

The current S&P/TSX 60 Index volatility is 2.51%, 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%2.50%3.00%3.50%4.00%December2024FebruaryMarchAprilMay
2.51%
2.89%
^SPTSX60 (S&P/TSX 60 Index)
Benchmark (^GSPC)