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

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Performance

Performance Chart


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Returns By Period

S&P/TSX 60 Index (^SPTSX60) returned 5.25% year-to-date (YTD) and 16.19% over the past 12 months. Over the past 10 years, ^SPTSX60 returned 5.84% annually, underperforming the S&P 500 benchmark at 10.87%.


^SPTSX60

YTD

5.25%

1M

7.52%

6M

4.30%

1Y

16.19%

5Y*

11.71%

10Y*

5.84%

^GSPC (Benchmark)

YTD

1.30%

1M

12.79%

6M

1.49%

1Y

12.35%

5Y*

15.37%

10Y*

10.87%

*Annualized

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
20253.94%-0.56%-2.32%-0.14%4.39%5.25%
20240.26%1.75%3.36%-2.43%2.44%-2.13%5.84%1.46%2.69%0.44%6.47%-3.67%17.19%
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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 94, ^SPTSX60 is among the top 6% of indices on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of ^SPTSX60 is 9494
Overall Rank
The Sharpe Ratio Rank of ^SPTSX60 is 9595
Sharpe Ratio Rank
The Sortino Ratio Rank of ^SPTSX60 is 9292
Sortino Ratio Rank
The Omega Ratio Rank of ^SPTSX60 is 9393
Omega Ratio Rank
The Calmar Ratio Rank of ^SPTSX60 is 9595
Calmar Ratio Rank
The Martin Ratio Rank of ^SPTSX60 is 9494
Martin 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.


The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

S&P/TSX 60 Index Sharpe ratios as of May 19, 2025 (values are recalculated daily):

  • 1-Year: 1.20
  • 5-Year: 0.92
  • 10-Year: 0.38
  • All Time: 0.31

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

The chart below shows the rolling Sharpe ratio of S&P/TSX 60 Index compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.


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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.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-54.11%Sep 5, 2000528Oct 9, 2002879Apr 6, 20061407
-49.15%Jun 19, 2008169Feb 23, 20091387Sep 3, 20141556
-35.73%Feb 21, 202022Mar 23, 2020199Jan 7, 2021221
-22.86%Sep 4, 2014346Jan 20, 2016224Dec 8, 2016570
-17.78%Mar 23, 2022140Oct 12, 2022374Apr 9, 2024514

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.


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