^GSPC vs. ^GSPTSE

Last updated Jul 18, 2026

^GSPC (S&P 500 Index) and ^GSPTSE (S&P/TSX Composite Index) are both indexes. Over the past 10 years, ^GSPC returned 13.17%/yr vs 8.40%/yr for ^GSPTSE. A 0.60 correlation means they provide meaningful diversification when combined.

Performance

^GSPC vs. ^GSPTSE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 500 Index (^GSPC) and S&P/TSX Composite Index (^GSPTSE). The values are adjusted to include any dividend payments, if applicable.

Different Trading Currencies

^GSPC is traded in USD, while ^GSPTSE is traded in CAD. To make them comparable, the ^GSPTSE values have been converted to USD using the latest available exchange rates.

Returns By Period

In the year-to-date period, ^GSPC achieves a 8.94% return, which is significantly higher than ^GSPTSE's 8.49% return. Over the past 10 years, ^GSPC has outperformed ^GSPTSE with an annualized return of 13.17%, while ^GSPTSE has yielded a comparatively lower 8.40% annualized return.

^GSPC

• 1D: -1.01%
• 1M: -0.57%
• 6M: 7.46%
• YTD: 8.94%
• 1Y: 18.44%
• 3Y*: 17.86%
• 5Y*: 11.50%
• 10Y*: 13.17%

^GSPTSE

• 1D: -0.22%
• 1M: 1.59%
• 6M: 5.60%
• YTD: 8.49%
• 1Y: 26.34%
• 3Y*: 17.63%
• 5Y*: 9.61%
• 10Y*: 8.40%

*Multi-year figures are annualized to reflect compound growth (CAGR)

^GSPC vs. ^GSPTSE - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^GSPC S&P 500 Index	8.94%	16.39%	23.31%	24.23%	-19.44%	26.89%	16.26%	28.88%	-6.24%	19.42%
^GSPTSE S&P/TSX Composite Index	8.49%	34.38%	8.78%	10.75%	-14.10%	21.80%	4.65%	24.25%	-18.49%	13.73%

Correlation

The correlation between ^GSPC and ^GSPTSE is 0.58, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.58
Correlation (3Y) Calculated over the trailing 3-year period	0.62
Correlation (5Y) Calculated over the trailing 5-year period	0.65
Correlation (10Y) Calculated over the trailing 10-year period	0.62
Correlation (All Time) Calculated using the full available price history since Sep 17, 2003	0.60

The correlation between ^GSPC and ^GSPTSE has been stable across timeframes, ranging from 0.58 to 0.65 - a consistent structural relationship.

Return for Risk

^GSPC vs. ^GSPTSE — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^GSPC

^GSPC Risk / Return Rank: 58
^GSPC Sharpe Ratio Rank: 53
^GSPC Sortino Ratio Rank: 54
^GSPC Omega Ratio Rank: 56
^GSPC Calmar Ratio Rank: 52
^GSPC Martin Ratio Rank: 75

^GSPTSE

^GSPTSE Risk / Return Rank: 90
^GSPTSE Sharpe Ratio Rank: 89
^GSPTSE Sortino Ratio Rank: 91
^GSPTSE Omega Ratio Rank: 92
^GSPTSE Calmar Ratio Rank: 86
^GSPTSE Martin Ratio Rank: 91

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

^GSPC vs. ^GSPTSE - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 500 Index (^GSPC) and S&P/TSX Composite Index (^GSPTSE). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

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.

	^GSPC	^GSPTSE	Difference
Sharpe ratio: Return per unit of total volatility	1.47	1.85	-0.38
Sortino ratio: Return per unit of downside risk	2.05	2.46	-0.41
Omega ratio: Gain probability vs. loss probability	1.27	1.33	-0.06
Calmar ratio: Return relative to maximum drawdown	2.03	2.63	-0.59
Martin ratio: Return relative to average drawdown	8.80	10.39	-1.58

^GSPC vs. ^GSPTSE - Sharpe Ratio Comparison

The current ^GSPC Sharpe Ratio is 1.47, which is comparable to the ^GSPTSE Sharpe Ratio of 1.85. The chart below compares the historical Sharpe Ratios of ^GSPC and ^GSPTSE, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

^GSPC vs. ^GSPTSE - Drawdown Comparison

The maximum ^GSPC drawdown since its inception was -56.78%, smaller than the maximum ^GSPTSE drawdown of -62.74%. Use the drawdown chart below to compare losses from any high point for ^GSPC and ^GSPTSE.

Drawdown Indicators

	^GSPC	^GSPTSE	Difference
Max Drawdown Largest peak-to-trough decline	-56.78%	-62.74%	+5.96%
Max Drawdown (1Y) Largest decline over 1 year	-9.10%	-9.78%	+0.68%
Max Drawdown (3Y) Largest decline over 3 years	-18.90%	-13.73%	-5.17%
Max Drawdown (5Y) Largest decline over 5 years	-25.43%	-25.26%	-0.17%
Max Drawdown (10Y) Largest decline over 10 years	-33.92%	-42.79%	+8.87%
Current Drawdown Current decline from peak	-2.00%	-1.14%	-0.86%
Average Drawdown Average peak-to-trough decline	-10.70%	-16.28%	+5.58%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.10%	2.47%	-0.37%

Volatility

^GSPC vs. ^GSPTSE - Volatility Comparison

S&P 500 Index (^GSPC) has a higher volatility of 3.36% compared to S&P/TSX Composite Index (^GSPTSE) at 2.73%. This indicates that ^GSPC's price experiences larger fluctuations and is considered to be riskier than ^GSPTSE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^GSPC	^GSPTSE	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.36%	2.73%	+0.63%
Volatility (6M) Calculated over the trailing 6-month period	10.04%	11.17%	-1.13%
Volatility (1Y) Calculated over the trailing 1-year period	12.60%	13.95%	-1.35%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.00%	14.82%	+2.18%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.05%	16.52%	+1.53%

Frequently Asked Questions

Can I hold both ^GSPC and ^GSPTSE in my portfolio?

^GSPC and ^GSPTSE have a correlation of 0.58, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ^GSPC or ^GSPTSE?

^GSPC has higher volatility (3.36%) compared to ^GSPTSE (2.73%). In terms of maximum drawdown, ^GSPC dropped -56.78% vs ^GSPTSE's -62.74%.

Which has better risk-adjusted returns?

^GSPTSE currently has the higher Sharpe Ratio (1.85 vs 1.47), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.