^SPTSX60 vs. ^GSPC

Last updated Apr 2, 2026

Compare and contrast key facts about S&P/TSX 60 Index (^SPTSX60) and S&P 500 Index (^GSPC).

Performance

^SPTSX60 vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in S&P/TSX 60 Index (^SPTSX60) and S&P 500 Index (^GSPC). The values are adjusted to include any dividend payments, if applicable.

^SPTSX60 vs. ^GSPC - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^SPTSX60 S&P/TSX 60 Index	2.88%	25.48%	17.19%	8.21%	-9.17%	24.37%	1.95%	18.11%	-10.46%	6.63%
^GSPC S&P 500 Index	-2.73%	11.05%	33.90%	21.49%	-13.70%	25.75%	14.29%	22.54%	1.71%	11.82%

Different Trading Currencies

^SPTSX60 is traded in CAD, while ^GSPC is traded in USD. To make them comparable, the ^GSPC values have been converted to CAD using the latest available exchange rates.

Returns By Period

In the year-to-date period, ^SPTSX60 achieves a 2.88% return, which is significantly higher than ^GSPC's -3.34% return. Over the past 10 years, ^SPTSX60 has underperformed ^GSPC with an annualized return of 9.29%, while ^GSPC has yielded a comparatively higher 12.91% annualized return.

^SPTSX60

• 1D: 0.44%
• 1M: -3.66%
• YTD: 2.88%
• 6M: 7.88%
• 1Y: 27.28%
• 3Y*: 16.63%
• 5Y*: 11.05%
• 10Y*: 9.29%

^GSPC

• 1D: 0.00%
• 1M: -3.51%
• YTD: -3.34%
• 6M: -2.91%
• 1Y: 12.69%
• 3Y*: 17.80%
• 5Y*: 12.48%
• 10Y*: 12.91%

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

Return for Risk

^SPTSX60 vs. ^GSPC — Risk / Return Rank

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

^SPTSX60

^SPTSX60 Risk / Return Rank: 92
^SPTSX60 Sharpe Ratio Rank: 92
^SPTSX60 Sortino Ratio Rank: 93
^SPTSX60 Omega Ratio Rank: 94
^SPTSX60 Calmar Ratio Rank: 88
^SPTSX60 Martin Ratio Rank: 90

^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

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.

^SPTSX60 vs. ^GSPC - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P/TSX 60 Index (^SPTSX60) and S&P 500 Index (^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.

	^SPTSX60	^GSPC	Difference
Sharpe ratio Return per unit of total volatility	1.89	0.70	+1.19
Sortino ratio Return per unit of downside risk	2.48	1.07	+1.41
Omega ratio Gain probability vs. loss probability	1.38	1.17	+0.21
Calmar ratio Return relative to maximum drawdown	2.59	1.04	+1.55
Martin ratio Return relative to average drawdown	12.29	3.82	+8.46
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^SPTSX60 vs. ^GSPC - Sharpe Ratio Comparison

The current ^SPTSX60 Sharpe Ratio is 1.89, which is higher than the ^GSPC Sharpe Ratio of 0.70. The chart below compares the historical Sharpe Ratios of ^SPTSX60 and ^GSPC, 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

	^SPTSX60	^GSPC	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.89	0.70	+1.19
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.88	0.84	+0.04
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.62	0.79	-0.17
Sharpe Ratio (All Time) Calculated using the full available price history	0.34	0.91	-0.57

Correlation

The correlation between ^SPTSX60 and ^GSPC is 0.59, 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.

Drawdowns

^SPTSX60 vs. ^GSPC - Drawdown Comparison

The maximum ^SPTSX60 drawdown since its inception was -54.11%, which is greater than ^GSPC's maximum drawdown of -27.59%. Use the drawdown chart below to compare losses from any high point for ^SPTSX60 and ^GSPC.

Drawdown Indicators

	^SPTSX60	^GSPC	Difference
Max Drawdown Largest peak-to-trough decline	-54.11%	-56.78%	+2.67%
Max Drawdown (1Y) Largest decline over 1 year	-10.74%	-12.14%	+1.40%
Max Drawdown (5Y) Largest decline over 5 years	-17.78%	-25.43%	+7.65%
Max Drawdown (10Y) Largest decline over 10 years	-35.73%	-33.92%	-1.81%
Current Drawdown Current decline from peak	-3.66%	-5.78%	+2.12%
Average Drawdown Average peak-to-trough decline	-13.96%	-10.75%	-3.21%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.27%	2.60%	-0.33%

Volatility

^SPTSX60 vs. ^GSPC - Volatility Comparison

S&P/TSX 60 Index (^SPTSX60) and S&P 500 Index (^GSPC) have volatilities of 4.98% and 5.22%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^SPTSX60	^GSPC	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.98%	5.22%	-0.24%
Volatility (6M) Calculated over the trailing 6-month period	9.78%	9.60%	+0.18%
Volatility (1Y) Calculated over the trailing 1-year period	14.48%	18.11%	-3.63%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.69%	14.99%	-2.30%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.09%	16.33%	-1.24%