^GSPTSE vs. ACWI
^GSPTSE (S&P TSX Composite Index (Canada)) is an index, while ACWI (iShares MSCI ACWI ETF) is Large Cap Growth Equities fund tracking the MSCI All Country World Index. Over the past 10 years, ^GSPTSE returned 9.62%/yr vs 12.99%/yr for ACWI. A 0.66 correlation means they provide meaningful diversification when combined.
Performance
^GSPTSE vs. ACWI - Performance Comparison
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Different Trading Currencies
^GSPTSE is traded in CAD, while ACWI is traded in USD. To make them comparable, the ACWI values have been converted to CAD using the latest available exchange rates.
Returns By Period
In the year-to-date period, ^GSPTSE achieves a 7.70% return, which is significantly higher than ACWI's 5.22% return. Over the past 10 years, ^GSPTSE has underperformed ACWI with an annualized return of 9.62%, while ACWI has yielded a comparatively higher 12.99% annualized return.
^GSPTSE
- 1D
- 0.16%
- 1M
- 3.89%
- YTD
- 7.70%
- 6M
- 11.49%
- 1Y
- 41.92%
- 3Y*
- 18.40%
- 5Y*
- 12.03%
- 10Y*
- 9.62%
ACWI
- 1D
- 0.20%
- 1M
- 5.50%
- YTD
- 5.22%
- 6M
- 5.94%
- 1Y
- 32.00%
- 3Y*
- 20.46%
- 5Y*
- 12.33%
- 10Y*
- 12.99%
^GSPTSE vs. ACWI - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^GSPTSE S&P TSX Composite Index (Canada) | 7.70% | 28.25% | 17.99% | 8.12% | -8.66% | 21.74% | 2.17% | 19.13% | -11.64% | 6.03% |
ACWI iShares MSCI ACWI ETF | 5.22% | 16.80% | 27.54% | 19.58% | -12.57% | 17.59% | 14.37% | 20.37% | -1.49% | 16.42% |
Correlation
The correlation between ^GSPTSE and ACWI is 0.60, 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 | 0.60 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.66 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.67 |
Correlation (All Time) Calculated using the full available price history since May 5, 2009 | 0.66 |
The correlation between ^GSPTSE and ACWI has been stable across timeframes, ranging from 0.60 to 0.67 — a consistent structural relationship.
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Return for Risk
^GSPTSE vs. ACWI — Risk / Return Rank
^GSPTSE
ACWI
^GSPTSE vs. ACWI - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P TSX Composite Index (Canada) (^GSPTSE) and iShares MSCI ACWI ETF (ACWI). 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.
| ^GSPTSE | ACWI | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 3.47 | 2.47 | +1.00 |
Sortino ratioReturn per unit of downside risk | 4.33 | 3.39 | +0.95 |
Omega ratioGain probability vs. loss probability | 1.64 | 1.48 | +0.16 |
Calmar ratioReturn relative to maximum drawdown | 4.80 | 4.31 | +0.49 |
Martin ratioReturn relative to average drawdown | 22.50 | 17.11 | +5.40 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| ^GSPTSE | ACWI | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 3.47 | 2.47 | +1.00 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.93 | 0.91 | +0.01 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.64 | 0.88 | -0.24 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.43 | 0.87 | -0.43 |
Drawdowns
^GSPTSE vs. ACWI - Drawdown Comparison
The maximum ^GSPTSE drawdown since its inception was -49.99%, which is greater than ACWI's maximum drawdown of -27.29%. Use the drawdown chart below to compare losses from any high point for ^GSPTSE and ACWI.
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Drawdown Indicators
| ^GSPTSE | ACWI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -49.99% | -56.00% | +6.01% |
Max Drawdown (1Y)Largest decline over 1 year | -9.33% | -9.73% | +0.40% |
Max Drawdown (5Y)Largest decline over 5 years | -17.57% | -26.42% | +8.85% |
Max Drawdown (10Y)Largest decline over 10 years | -37.43% | -33.53% | -3.90% |
Current DrawdownCurrent decline from peak | -1.12% | 0.00% | -1.12% |
Average DrawdownAverage peak-to-trough decline | -11.54% | -8.67% | -2.87% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.99% | 2.16% | -0.17% |
Volatility
^GSPTSE vs. ACWI - Volatility Comparison
The current volatility for S&P TSX Composite Index (Canada) (^GSPTSE) is 5.16%, while iShares MSCI ACWI ETF (ACWI) has a volatility of 5.92%. This indicates that ^GSPTSE experiences smaller price fluctuations and is considered to be less risky than ACWI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^GSPTSE | ACWI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.16% | 5.92% | -0.76% |
Volatility (6M)Calculated over the trailing 6-month period | 10.71% | 9.76% | +0.95% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.21% | 13.09% | -0.88% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.08% | 13.60% | -0.52% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.06% | 14.84% | +0.22% |