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^SPTSX60 vs. SPY
Performance
Return for Risk
Drawdowns
Volatility

^SPTSX60 vs. SPY

Last updated Jun 5, 2026

^SPTSX60 (S&P/TSX 60 Index) is an index, while SPY (State Street SPDR S&P 500 ETF) is S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, ^SPTSX60 returned 9.45%/yr vs 16.86%/yr for SPY. A 0.57 correlation means they provide meaningful diversification when combined.

Performance

^SPTSX60 vs. SPY - Performance Comparison

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

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Different Trading Currencies

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

Returns By Period

In the year-to-date period, ^SPTSX60 achieves a 10.45% return, which is significantly lower than SPY's 13.56% return. Over the past 10 years, ^SPTSX60 has underperformed SPY with an annualized return of 9.45%, while SPY has yielded a comparatively higher 16.86% annualized return.

^SPTSX60

1D
1.24%
1M
1.97%
YTD
10.45%
6M
10.24%
1Y
30.30%
3Y*
19.71%
5Y*
11.37%
10Y*
9.45%

SPY

1D
0.19%
1M
2.96%
YTD
13.56%
6M
12.29%
1Y
31.05%
3Y*
24.35%
5Y*
16.76%
10Y*
16.86%
*Multi-year figures are annualized to reflect compound growth (CAGR)

^SPTSX60 vs. SPY - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
^SPTSX60
S&P/TSX 60 Index		10.45%25.48%17.19%8.21%-9.17%24.37%1.95%18.11%-10.46%6.63%
SPY
State Street SPDR S&P 500 ETF		13.58%12.34%35.46%23.17%-12.99%28.67%15.52%25.82%3.45%13.46%

Correlation

The correlation between ^SPTSX60 and SPY is 0.57, 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

0.57

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

0.59

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

0.64

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

0.63

Correlation (All Time)
Calculated using the full available price history since Sep 17, 2003

0.57

The correlation between ^SPTSX60 and SPY has been stable across timeframes, ranging from 0.57 to 0.64 - a consistent structural relationship.

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S&P/TSX 60 Index

State Street SPDR S&P 500 ETF

Often compared with ^SPTSX60:
^SPTSX60 vs. VDY.TO^SPTSX60 vs. VOO^SPTSX60 vs. MSA.TO^SPTSX60 vs. QQQ^SPTSX60 vs. XIU.TO^SPTSX60 vs. AAPL^SPTSX60 vs. RY
Often compared with SPY:
SPY vs. QQQSPY vs. VOOSPY vs. BRK-BSPY vs. RSPSPY vs. VTISPY vs. SCHDSPY vs. GLD

Return for Risk

^SPTSX60 vs. SPY — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
^SPTSX60
^SPTSX60 Risk / Return Rank: 8989
Overall Rank
^SPTSX60 Sharpe Ratio Rank: 8787
Sharpe Ratio Rank
^SPTSX60 Sortino Ratio Rank: 8888
Sortino Ratio Rank
^SPTSX60 Omega Ratio Rank: 8888
Omega Ratio Rank
^SPTSX60 Calmar Ratio Rank: 9090
Calmar Ratio Rank
^SPTSX60 Martin Ratio Rank: 9494
Martin Ratio Rank
SPY
SPY Risk / Return Rank: 6868
Overall Rank
SPY Sharpe Ratio Rank: 6969
Sharpe Ratio Rank
SPY Sortino Ratio Rank: 6666
Sortino Ratio Rank
SPY Omega Ratio Rank: 6868
Omega Ratio Rank
SPY Calmar Ratio Rank: 6363
Calmar Ratio Rank
SPY Martin Ratio Rank: 7474
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.

^SPTSX60 vs. SPY - Risk-Adjusted Trends Comparison

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

^SPTSX60SPYDifference
Sharpe ratioReturn per unit of total volatility
2.62
2.45

+0.17

Sortino ratioReturn per unit of downside risk
3.52
3.35

+0.17

Omega ratioGain probability vs. loss probability

1.47

1.43

+0.04

Calmar ratioReturn relative to maximum drawdown

3.97

3.49

+0.48

Martin ratioReturn relative to average drawdown

17.90

13.07

+4.83

^SPTSX60 vs. SPY - Sharpe Ratio Comparison

The current ^SPTSX60 Sharpe Ratio is 2.62, which is comparable to the SPY Sharpe Ratio of 2.45. The chart below compares the historical Sharpe Ratios of ^SPTSX60 and SPY, 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

^SPTSX60 vs. SPY - Drawdown Comparison

The maximum ^SPTSX60 drawdown since its inception was -54.11%, which is greater than SPY's maximum drawdown of -46.39%. Use the drawdown chart below to compare losses from any high point for ^SPTSX60 and SPY.

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Drawdown Indicators

^SPTSX60SPYDifference

Max Drawdown

Largest peak-to-trough decline

-54.11%

-46.39%

-7.72%

Max Drawdown (1Y)

Largest decline over 1 year

-7.74%

-8.94%

+1.20%

Max Drawdown (3Y)

Largest decline over 3 years

-12.84%

-19.41%

+6.57%

Max Drawdown (5Y)

Largest decline over 5 years

-17.78%

-22.61%

+4.83%

Max Drawdown (10Y)

Largest decline over 10 years

-35.73%

-27.69%

-8.04%

Current Drawdown

Current decline from peak

0.00%

0.00%

0.00%

Average Drawdown

Average peak-to-trough decline

-13.87%

-7.96%

-5.91%

Ulcer Index

Depth and duration of drawdowns from previous peaks

1.71%

2.38%

-0.67%

Volatility

^SPTSX60 vs. SPY - Volatility Comparison

The current volatility for S&P/TSX 60 Index (^SPTSX60) is 3.41%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 4.87%. This indicates that ^SPTSX60 experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

^SPTSX60SPYDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.41%

4.87%

-1.46%

Volatility (6M)

Calculated over the trailing 6-month period

9.38%

10.14%

-0.76%

Volatility (1Y)

Calculated over the trailing 1-year period

11.77%

12.78%

-1.01%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

12.76%

18.10%

-5.34%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

15.11%

19.04%

-3.93%

Frequently Asked Questions

^SPTSX60 and SPY have a correlation of 0.57, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

SPY has higher volatility (4.87%) compared to ^SPTSX60 (3.41%). In terms of maximum drawdown, ^SPTSX60 dropped -54.11% vs SPY's -46.39%.

^SPTSX60 currently has the higher Sharpe Ratio (2.62 vs 2.45), 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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