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^SPTSX60 vs. AAPL
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^SPTSX60 and AAPL is 0.41, 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.


-0.50.00.51.00.4

Performance

^SPTSX60 vs. AAPL - Performance Comparison

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

0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
8.84%
23.78%
^SPTSX60
AAPL

Key characteristics

Sharpe Ratio

^SPTSX60:

1.82

AAPL:

1.51

Sortino Ratio

^SPTSX60:

2.51

AAPL:

2.18

Omega Ratio

^SPTSX60:

1.33

AAPL:

1.28

Calmar Ratio

^SPTSX60:

2.59

AAPL:

2.05

Martin Ratio

^SPTSX60:

11.85

AAPL:

5.34

Ulcer Index

^SPTSX60:

1.55%

AAPL:

6.37%

Daily Std Dev

^SPTSX60:

10.09%

AAPL:

22.59%

Max Drawdown

^SPTSX60:

-49.15%

AAPL:

-81.80%

Current Drawdown

^SPTSX60:

-3.31%

AAPL:

0.00%

Returns By Period

In the year-to-date period, ^SPTSX60 achieves a 17.82% return, which is significantly lower than AAPL's 34.77% return. Over the past 10 years, ^SPTSX60 has underperformed AAPL with an annualized return of 5.75%, while AAPL has yielded a comparatively higher 26.16% annualized return.


^SPTSX60

YTD

17.82%

1M

-2.26%

6M

14.45%

1Y

18.37%

5Y*

7.85%

10Y*

5.75%

AAPL

YTD

34.77%

1M

12.32%

6M

23.78%

1Y

34.02%

5Y*

29.81%

10Y*

26.16%

Compare stocks, funds, or ETFs

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Risk-Adjusted Performance

^SPTSX60 vs. AAPL - Risk-Adjusted Performance Comparison

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


Sharpe ratio
The chart of Sharpe ratio for ^SPTSX60, currently valued at 0.74, compared to the broader market0.001.002.000.741.79
The chart of Sortino ratio for ^SPTSX60, currently valued at 1.07, compared to the broader market-1.000.001.002.003.001.082.55
The chart of Omega ratio for ^SPTSX60, currently valued at 1.14, compared to the broader market0.901.001.101.201.301.401.141.33
The chart of Calmar ratio for ^SPTSX60, currently valued at 0.67, compared to the broader market0.001.002.003.000.672.39
The chart of Martin ratio for ^SPTSX60, currently valued at 4.42, compared to the broader market0.005.0010.0015.004.426.32
^SPTSX60
AAPL

The current ^SPTSX60 Sharpe Ratio is 1.82, which is comparable to the AAPL Sharpe Ratio of 1.51. The chart below compares the historical Sharpe Ratios of ^SPTSX60 and AAPL, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.74
1.79
^SPTSX60
AAPL

Drawdowns

^SPTSX60 vs. AAPL - Drawdown Comparison

The maximum ^SPTSX60 drawdown since its inception was -49.15%, smaller than the maximum AAPL drawdown of -81.80%. Use the drawdown chart below to compare losses from any high point for ^SPTSX60 and AAPL. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.58%
0
^SPTSX60
AAPL

Volatility

^SPTSX60 vs. AAPL - Volatility Comparison

S&P/TSX 60 Index (^SPTSX60) has a higher volatility of 4.20% compared to Apple Inc (AAPL) at 3.98%. This indicates that ^SPTSX60's price experiences larger fluctuations and is considered to be riskier than AAPL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
4.20%
3.98%
^SPTSX60
AAPL
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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