^GSPTSE vs. ^GSPC
Compare and contrast key facts about S&P TSX Composite Index (Canada) (^GSPTSE) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^GSPTSE or ^GSPC.
Key characteristics
| ^GSPTSE | ^GSPC | |
|---|---|---|
| YTD Return | 17.19% | 22.49% |
| 1Y Return | 24.72% | 33.60% |
| 3Y Return (Ann) | 5.50% | 9.35% |
| 5Y Return (Ann) | 8.49% | 14.41% |
| 10Y Return (Ann) | 5.64% | 11.99% |
| Sharpe Ratio | 2.33 | 2.69 |
| Sortino Ratio | 3.32 | 3.59 |
| Omega Ratio | 1.43 | 1.49 |
| Calmar Ratio | 1.66 | 2.37 |
| Martin Ratio | 15.83 | 16.43 |
| Ulcer Index | 1.59% | 2.04% |
| Daily Std Dev | 10.79% | 12.50% |
| Max Drawdown | -49.99% | -56.78% |
| Current Drawdown | 0.00% | -0.30% |
Correlation
The correlation between ^GSPTSE and ^GSPC is 0.64, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
^GSPTSE vs. ^GSPC - Performance Comparison
In the year-to-date period, ^GSPTSE achieves a 17.19% return, which is significantly lower than ^GSPC's 22.49% return. Over the past 10 years, ^GSPTSE has underperformed ^GSPC with an annualized return of 5.64%, while ^GSPC has yielded a comparatively higher 11.99% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
^GSPTSE vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P TSX Composite Index (Canada) (^GSPTSE) and S&P 500 (^GSPC). 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.
Drawdowns
^GSPTSE vs. ^GSPC - Drawdown Comparison
The maximum ^GSPTSE drawdown since its inception was -49.99%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ^GSPTSE and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
^GSPTSE vs. ^GSPC - Volatility Comparison
The current volatility for S&P TSX Composite Index (Canada) (^GSPTSE) is 2.68%, while S&P 500 (^GSPC) has a volatility of 3.03%. This indicates that ^GSPTSE experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.