CADUSD=X vs. SPY
CADUSD=X (CAD/USD) is a currency, 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, CADUSD=X returned -0.91%/yr vs 15.08%/yr for SPY. At a 0.12 correlation, their price movements are largely independent.
Performance
CADUSD=X vs. SPY - Performance Comparison
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Returns By Period
In the year-to-date period, CADUSD=X achieves a -3.19% return, which is significantly lower than SPY's 10.45% return. Over the past 10 years, CADUSD=X has underperformed SPY with an annualized return of -0.91%, while SPY has yielded a comparatively higher 15.08% annualized return.
CADUSD=X
- 1D
- 0.13%
- 1M
- -1.23%
- 6M
- -1.64%
- YTD
- -3.19%
- 1Y
- -3.46%
- 3Y*
- -2.50%
- 5Y*
- -2.42%
- 10Y*
- -0.91%
SPY
- 1D
- -0.77%
- 1M
- 1.26%
- 6M
- 8.34%
- YTD
- 10.45%
- 1Y
- 21.46%
- 3Y*
- 20.07%
- 5Y*
- 12.94%
- 10Y*
- 15.08%
CADUSD=X vs. SPY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CADUSD=X CAD/USD | -3.19% | 4.78% | -7.81% | 2.44% | -5.96% | 0.05% | 2.43% | 4.30% | -7.76% | 7.26% |
SPY State Street SPDR S&P 500 ETF | 10.45% | 17.72% | 24.89% | 26.18% | -18.18% | 28.73% | 18.33% | 31.22% | -4.57% | 21.71% |
Correlation
The correlation between CADUSD=X and SPY is 0.06, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.06 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.08 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.04 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.03 |
Correlation (All Time) Calculated using the full available price history since Sep 17, 2003 | 0.12 |
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Return for Risk
CADUSD=X vs. SPY — Risk / Return Rank
CADUSD=X
SPY
CADUSD=X vs. SPY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for CAD/USD (CADUSD=X) 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.
| CADUSD=X | SPY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.47 | ||
| Sortino ratioReturn per unit of downside risk | -3.45 | ||
| Omega ratioGain probability vs. loss probability | 0.88 | 1.31 | -0.43 |
| Calmar ratioReturn relative to maximum drawdown | -0.61 | 2.43 | -3.03 |
| Martin ratioReturn relative to average drawdown | -1.35 | 10.57 | -11.92 |
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Drawdowns
CADUSD=X vs. SPY - Drawdown Comparison
The maximum CADUSD=X drawdown since its inception was -37.58%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for CADUSD=X and SPY.
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Drawdown Indicators
| CADUSD=X | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -37.58% | -55.19% | +17.61% |
Max Drawdown (1Y)Largest decline over 1 year | -5.22% | -8.88% | +3.66% |
Max Drawdown (3Y)Largest decline over 3 years | -10.90% | -18.76% | +7.86% |
Max Drawdown (5Y)Largest decline over 5 years | -16.26% | -24.50% | +8.24% |
Max Drawdown (10Y)Largest decline over 10 years | -18.20% | -33.72% | +15.52% |
Current DrawdownCurrent decline from peak | -35.05% | -1.12% | -33.93% |
Average DrawdownAverage peak-to-trough decline | -19.72% | -9.02% | -10.70% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.39% | 2.03% | +0.36% |
Volatility
CADUSD=X vs. SPY - Volatility Comparison
The current volatility for CAD/USD (CADUSD=X) is 1.05%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 4.26%. This indicates that CADUSD=X 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
| CADUSD=X | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.05% | 4.26% | -3.21% |
Volatility (6M)Calculated over the trailing 6-month period | 3.20% | 10.01% | -6.81% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.22% | 12.60% | -8.38% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.12% | 17.17% | -11.05% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.66% | 17.93% | -11.27% |
Frequently Asked Questions
CADUSD=X and SPY have a correlation of 0.06, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SPY has higher volatility (4.26%) compared to CADUSD=X (1.05%). In terms of maximum drawdown, CADUSD=X dropped -37.58% vs SPY's -55.19%.
SPY currently has the higher Sharpe Ratio (1.71 vs -0.75), 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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