^GSPC vs. ^GSPTSE

Last updated Apr 2, 2026

Compare and contrast key facts about S&P 500 Index (^GSPC) and S&P TSX Composite Index (Canada) (^GSPTSE).

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 (Canada) (^GSPTSE). The values are adjusted to include any dividend payments, if applicable.

^GSPC vs. ^GSPTSE - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^GSPC S&P 500 Index	-3.95%	16.39%	23.31%	24.23%	-19.44%	26.89%	16.26%	28.88%	-6.24%	19.42%
^GSPTSE S&P TSX Composite Index (Canada)	2.71%	34.39%	8.67%	10.58%	-14.77%	22.64%	4.21%	25.08%	-18.50%	13.35%

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 -3.95% return, which is significantly lower than ^GSPTSE's 2.71% return. Over the past 10 years, ^GSPC has outperformed ^GSPTSE with an annualized return of 12.24%, while ^GSPTSE has yielded a comparatively lower 8.66% annualized return.

^GSPC

• 1D: 0.72%
• 1M: -4.45%
• YTD: -3.95%
• 6M: -2.02%
• 1Y: 16.73%
• 3Y*: 16.96%
• 5Y*: 10.34%
• 10Y*: 12.24%

^GSPTSE

• 1D: 0.69%
• 1M: -6.01%
• YTD: 2.71%
• 6M: 9.87%
• 1Y: 35.57%
• 3Y*: 16.86%
• 5Y*: 9.41%
• 10Y*: 8.66%

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

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: 67
^GSPC Sharpe Ratio Rank: 63
^GSPC Sortino Ratio Rank: 64
^GSPC Omega Ratio Rank: 69
^GSPC Calmar Ratio Rank: 60
^GSPC Martin Ratio Rank: 77

^GSPTSE

^GSPTSE Risk / Return Rank: 94
^GSPTSE Sharpe Ratio Rank: 95
^GSPTSE Sortino Ratio Rank: 95
^GSPTSE Omega Ratio Rank: 96
^GSPTSE Calmar Ratio Rank: 92
^GSPTSE Martin Ratio Rank: 92

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 (Canada) (^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.

	^GSPC	^GSPTSE	Difference
Sharpe ratio Return per unit of total volatility	0.92	2.09	-1.17
Sortino ratio Return per unit of downside risk	1.41	2.73	-1.32
Omega ratio Gain probability vs. loss probability	1.21	1.41	-0.19
Calmar ratio Return relative to maximum drawdown	1.41	3.35	-1.94
Martin ratio Return relative to average drawdown	6.61	14.88	-8.27
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^GSPC vs. ^GSPTSE - Sharpe Ratio Comparison

The current ^GSPC Sharpe Ratio is 0.92, which is lower than the ^GSPTSE Sharpe Ratio of 2.09. The chart below compares the historical Sharpe Ratios of ^GSPC and ^GSPTSE, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	^GSPC	^GSPTSE	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.92	2.09	-1.17
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.61	0.56	+0.06
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.68	0.46	+0.22
Sharpe Ratio (All Time) Calculated using the full available price history	0.46	0.39	+0.06

Correlation

The correlation between ^GSPC and ^GSPTSE is 0.73, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Drawdowns

^GSPC vs. ^GSPTSE - Drawdown Comparison

The maximum ^GSPC drawdown since its inception was -56.78%, which is greater than ^GSPTSE's maximum drawdown of -47.98%. 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%	-49.99%	-6.79%
Max Drawdown (1Y) Largest decline over 1 year	-12.14%	-11.07%	-1.07%
Max Drawdown (5Y) Largest decline over 5 years	-25.43%	-17.57%	-7.86%
Max Drawdown (10Y) Largest decline over 10 years	-33.92%	-37.43%	+3.51%
Current Drawdown Current decline from peak	-5.78%	-4.58%	-1.20%
Average Drawdown Average peak-to-trough decline	-10.75%	-11.55%	+0.80%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.60%	2.50%	+0.10%

Volatility

^GSPC vs. ^GSPTSE - Volatility Comparison

The current volatility for S&P 500 Index (^GSPC) is 5.37%, while S&P TSX Composite Index (Canada) (^GSPTSE) has a volatility of 5.87%. This indicates that ^GSPC experiences smaller price fluctuations and is considered to be less risky 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	5.37%	5.87%	-0.50%
Volatility (6M) Calculated over the trailing 6-month period	9.55%	12.09%	-2.54%
Volatility (1Y) Calculated over the trailing 1-year period	18.33%	17.16%	+1.17%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.90%	17.03%	-0.13%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.05%	18.78%	-0.73%