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^GSPTSE vs. ACWI
Performance
Return for Risk
Drawdowns
Volatility

^GSPTSE vs. ACWI

Last updated Jul 4, 2026
See Documentation

^GSPTSE (S&P/TSX Composite Index) is an index, while ACWI (iShares MSCI ACWI ETF) is Global Equities fund tracking the MSCI All Country World Index. Over the past 10 years, ^GSPTSE returned 9.51%/yr vs 13.84%/yr for ACWI. A 0.65 correlation means they provide meaningful diversification when combined.

Performance

^GSPTSE vs. ACWI - Performance Comparison

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

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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 11.23% return, which is significantly lower than ACWI's 15.32% return. Over the past 10 years, ^GSPTSE has underperformed ACWI with an annualized return of 9.51%, while ACWI has yielded a comparatively higher 13.84% annualized return.

^GSPTSE

1D
0.88%
1M
0.16%
6M
10.64%
YTD
11.23%
1Y
30.40%
3Y*
20.41%
5Y*
11.77%
10Y*
9.51%

ACWI

1D
0.11%
1M
1.07%
6M
14.33%
YTD
15.32%
1Y
27.82%
3Y*
22.33%
5Y*
13.78%
10Y*
13.84%
*Multi-year figures are annualized to reflect compound growth (CAGR)

^GSPTSE vs. ACWI - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
^GSPTSE
S&P/TSX Composite Index		11.23%28.25%17.99%8.12%-8.66%21.74%2.17%19.13%-11.64%6.03%
ACWI
iShares MSCI ACWI ETF		15.32%16.83%27.39%19.37%-13.21%18.60%13.58%21.37%-1.55%15.92%

Correlation

The correlation between ^GSPTSE and ACWI is 0.62, 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

0.62

Correlation (3Y)
Calculated over the trailing 3-year period

0.66

Correlation (5Y)
Calculated over the trailing 5-year period

0.69

Correlation (10Y)
Calculated over the trailing 10-year period

0.67

Correlation (All Time)
Calculated using the full available price history since Mar 28, 2008

0.65

The correlation between ^GSPTSE and ACWI has been stable across timeframes, ranging from 0.62 to 0.69 - a consistent structural relationship.

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

S&P/TSX Composite Index

iShares MSCI ACWI ETF

Often compared with ^GSPTSE:
^GSPTSE vs. ^GSPC^GSPTSE vs. VOO^GSPTSE vs. EIF.TO^GSPTSE vs. VDY.TO^GSPTSE vs. VFVA^GSPTSE vs. FC.TO^GSPTSE vs. COST
Often compared with ACWI:
ACWI vs. VTACWI vs. SPYACWI vs. VWRL.LACWI vs. ACWXACWI vs. ACWI.LACWI vs. VOOACWI vs. VTI

Return for Risk

^GSPTSE vs. ACWI — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
^GSPTSE
^GSPTSE Risk / Return Rank: 9191
Overall Rank
^GSPTSE Sharpe Ratio Rank: 9090
Sharpe Ratio Rank
^GSPTSE Sortino Ratio Rank: 9191
Sortino Ratio Rank
^GSPTSE Omega Ratio Rank: 9191
Omega Ratio Rank
^GSPTSE Calmar Ratio Rank: 9090
Calmar Ratio Rank
^GSPTSE Martin Ratio Rank: 9292
Martin Ratio Rank
ACWI
ACWI Risk / Return Rank: 6262
Overall Rank
ACWI Sharpe Ratio Rank: 6262
Sharpe Ratio Rank
ACWI Sortino Ratio Rank: 6060
Sortino Ratio Rank
ACWI Omega Ratio Rank: 6262
Omega Ratio Rank
ACWI Calmar Ratio Rank: 5757
Calmar Ratio Rank
ACWI Martin Ratio Rank: 6868
Martin Ratio Rank
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.

^GSPTSE vs. ACWI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P/TSX Composite Index (^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.

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.

^GSPTSEACWIDifference
Sharpe ratioReturn per unit of total volatility
2.34
2.01

+0.33

Sortino ratioReturn per unit of downside risk
3.04
2.80

+0.24

Omega ratioGain probability vs. loss probability

1.42

1.35

+0.07

Calmar ratioReturn relative to maximum drawdown

3.28

3.32

-0.04

Martin ratioReturn relative to average drawdown

14.43

13.09

+1.34

^GSPTSE vs. ACWI - Sharpe Ratio Comparison

The current ^GSPTSE Sharpe Ratio is 2.34, which is comparable to the ACWI Sharpe Ratio of 2.01. The chart below compares the historical Sharpe Ratios of ^GSPTSE and ACWI, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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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 -42.88%. Use the drawdown chart below to compare losses from any high point for ^GSPTSE and ACWI.

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Drawdown Indicators

^GSPTSEACWIDifference

Max Drawdown

Largest peak-to-trough decline

-49.99%

-42.88%

-7.11%

Max Drawdown (1Y)

Largest decline over 1 year

-9.33%

-8.48%

-0.85%

Max Drawdown (3Y)

Largest decline over 3 years

-12.79%

-16.63%

+3.84%

Max Drawdown (5Y)

Largest decline over 5 years

-17.57%

-21.72%

+4.15%

Max Drawdown (10Y)

Largest decline over 10 years

-37.43%

-27.80%

-9.63%

Current Drawdown

Current decline from peak

-0.32%

-0.61%

+0.29%

Average Drawdown

Average peak-to-trough decline

-11.46%

-7.02%

-4.44%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.12%

2.14%

-0.02%

Volatility

^GSPTSE vs. ACWI - Volatility Comparison

The current volatility for S&P/TSX Composite Index (^GSPTSE) is 3.78%, while iShares MSCI ACWI ETF (ACWI) has a volatility of 5.84%. 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

^GSPTSEACWIDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.78%

5.84%

-2.06%

Volatility (6M)

Calculated over the trailing 6-month period

10.68%

11.86%

-1.18%

Volatility (1Y)

Calculated over the trailing 1-year period

13.10%

13.99%

-0.89%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

13.23%

17.22%

-3.99%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

15.08%

18.18%

-3.10%

Frequently Asked Questions

^GSPTSE and ACWI have a correlation of 0.62, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

ACWI has higher volatility (5.84%) compared to ^GSPTSE (3.78%). In terms of maximum drawdown, ^GSPTSE dropped -49.99% vs ACWI's -42.88%.

^GSPTSE currently has the higher Sharpe Ratio (2.34 vs 2.01), 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.

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