PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan
CLU.NEO vs. ETSX.TO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

CLU.NEO vs. ETSX.TO

Last updated Jun 5, 2026

CLU.NEO (iShares US Fundamental Index ETF (CAD-Hedged) Common Class) and ETSX.TO (Evolve S&P/TSX 60 Enhanced Yield Fund CAD Unhedged) are both Large Cap Blend Equities funds - CLU.NEO tracks the FTSE RAFI US 1000 Canadian Dollar Hedged Index while ETSX.TO tracks the S&P/TSX 60. Both are passively managed. Over the past 3 years, CLU.NEO returned 16.95%/yr vs 19.55%/yr for ETSX.TO. A 0.51 correlation means they provide meaningful diversification when combined. CLU.NEO charges 0.72%/yr vs 0.45%/yr for ETSX.TO.

Performance

CLU.NEO vs. ETSX.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in iShares US Fundamental Index ETF (CAD-Hedged) Common Class (CLU.NEO) and Evolve S&P/TSX 60 Enhanced Yield Fund CAD Unhedged (ETSX.TO). The values are adjusted to include any dividend payments, if applicable.

Loading charts...

Returns By Period

The year-to-date returns for both stocks are quite close, with CLU.NEO having a 8.69% return and ETSX.TO slightly lower at 8.67%.

CLU.NEO

1D
-0.17%
1M
1.57%
YTD
8.69%
6M
10.48%
1Y
24.65%
3Y*
16.95%
5Y*
9.30%
10Y*
11.02%

ETSX.TO

1D
1.10%
1M
4.70%
YTD
8.67%
6M
9.72%
1Y
28.42%
3Y*
19.55%
5Y*
—
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

CLU.NEO vs. ETSX.TO - Yearly Performance Comparison

2026 (YTD)202520242023
CLU.NEO
iShares US Fundamental Index ETF (CAD-Hedged) Common Class		8.69%15.20%14.82%9.71%
ETSX.TO
Evolve S&P/TSX 60 Enhanced Yield Fund CAD Unhedged		8.67%25.93%18.50%6.16%

Correlation

The correlation between CLU.NEO and ETSX.TO is 0.50, which is low. Their price movements are largely independent, making them effective diversification partners.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.50

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

0.51

Correlation (All Time)
Calculated using the full available price history since Jan 12, 2023

0.51

The correlation between CLU.NEO and ETSX.TO has been stable across timeframes, ranging from 0.50 to 0.51 - 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.

iShares US Fundamental Index ETF (CAD-Hedged) Common Class

Evolve S&P/TSX 60 Enhanced Yield Fund CAD Unhedged

Often compared with CLU.NEO:
CLU.NEO vs. FLCCCLU.NEO vs. IUSCLU.NEO vs. RDVYCLU.NEO vs. BCUSCLU.NEO vs. KATCLU.NEO vs. DFNDCLU.NEO vs. FEAC
Often compared with ETSX.TO:
ETSX.TO vs. TPU.TOETSX.TO vs. FCUQ.TOETSX.TO vs. BRKY.NEOETSX.TO vs. CNCL.TOETSX.TO vs. TULV.TOETSX.TO vs. UTES.TOETSX.TO vs. KNGC.TO

Return for Risk

CLU.NEO vs. ETSX.TO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
CLU.NEO
CLU.NEO Risk / Return Rank: 8181
Overall Rank
CLU.NEO Sharpe Ratio Rank: 7979
Sharpe Ratio Rank
CLU.NEO Sortino Ratio Rank: 8585
Sortino Ratio Rank
CLU.NEO Omega Ratio Rank: 8888
Omega Ratio Rank
CLU.NEO Calmar Ratio Rank: 7777
Calmar Ratio Rank
CLU.NEO Martin Ratio Rank: 7878
Martin Ratio Rank
ETSX.TO
ETSX.TO Risk / Return Rank: 8080
Overall Rank
ETSX.TO Sharpe Ratio Rank: 8181
Sharpe Ratio Rank
ETSX.TO Sortino Ratio Rank: 8181
Sortino Ratio Rank
ETSX.TO Omega Ratio Rank: 8181
Omega Ratio Rank
ETSX.TO Calmar Ratio Rank: 7474
Calmar Ratio Rank
ETSX.TO Martin Ratio Rank: 8484
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.

CLU.NEO vs. ETSX.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares US Fundamental Index ETF (CAD-Hedged) Common Class (CLU.NEO) and Evolve S&P/TSX 60 Enhanced Yield Fund CAD Unhedged (ETSX.TO). 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.

CLU.NEOETSX.TODifference
Sharpe ratioReturn per unit of total volatility
2.50
2.59

-0.09

Sortino ratioReturn per unit of downside risk
3.77
3.57

+0.20

Omega ratioGain probability vs. loss probability

1.54

1.48

+0.06

Calmar ratioReturn relative to maximum drawdown

3.86

3.70

+0.16

Martin ratioReturn relative to average drawdown

14.84

16.96

-2.12

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CLU.NEO vs. ETSX.TO - Sharpe Ratio Comparison

The current CLU.NEO Sharpe Ratio is 2.50, which is comparable to the ETSX.TO Sharpe Ratio of 2.59. The chart below compares the historical Sharpe Ratios of CLU.NEO and ETSX.TO, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Loading charts...

Sharpe Ratios by Period

CLU.NEOETSX.TODifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

2.50

2.59

-0.09

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.64

—

—

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.61

—

—

Sharpe Ratio (All Time)

Calculated using the full available price history

0.61

1.49

-0.87

Drawdowns

CLU.NEO vs. ETSX.TO - Drawdown Comparison

The maximum CLU.NEO drawdown since its inception was -39.93%, which is greater than ETSX.TO's maximum drawdown of -12.23%. Use the drawdown chart below to compare losses from any high point for CLU.NEO and ETSX.TO.

Loading charts...

Drawdown Indicators

CLU.NEOETSX.TODifference

Max Drawdown

Largest peak-to-trough decline

-39.93%

-12.23%

-27.70%

Max Drawdown (1Y)

Largest decline over 1 year

-6.55%

-7.72%

+1.17%

Max Drawdown (3Y)

Largest decline over 3 years

-16.57%

-12.23%

-4.34%

Max Drawdown (5Y)

Largest decline over 5 years

-20.66%

—

—

Max Drawdown (10Y)

Largest decline over 10 years

-39.93%

—

—

Current Drawdown

Current decline from peak

-0.70%

0.00%

-0.70%

Average Drawdown

Average peak-to-trough decline

-4.74%

-1.67%

-3.07%

Ulcer Index

Depth and duration of drawdowns from previous peaks

1.70%

1.68%

+0.02%

Volatility

CLU.NEO vs. ETSX.TO - Volatility Comparison

The current volatility for iShares US Fundamental Index ETF (CAD-Hedged) Common Class (CLU.NEO) is 2.30%, while Evolve S&P/TSX 60 Enhanced Yield Fund CAD Unhedged (ETSX.TO) has a volatility of 2.83%. This indicates that CLU.NEO experiences smaller price fluctuations and is considered to be less risky than ETSX.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Loading charts...

Volatility by Period

CLU.NEOETSX.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

2.30%

2.83%

-0.53%

Volatility (6M)

Calculated over the trailing 6-month period

7.24%

8.81%

-1.57%

Volatility (1Y)

Calculated over the trailing 1-year period

10.11%

11.04%

-0.93%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

14.54%

11.71%

+2.83%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

18.08%

11.71%

+6.37%

CLU.NEO vs. ETSX.TO - Expense Ratio Comparison

CLU.NEO has a 0.72% expense ratio, which is higher than ETSX.TO's 0.45% expense ratio.

Dividends

CLU.NEO vs. ETSX.TO - Dividend Comparison

CLU.NEO's dividend yield for the trailing twelve months is around 1.20%, less than ETSX.TO's 9.09% yield.

PositionTTM20252024202320222021202020192018201720162015
CLU.NEO
iShares US Fundamental Index ETF (CAD-Hedged) Common Class		1.20%1.31%1.32%1.35%1.63%1.19%1.66%1.46%1.77%1.46%1.63%1.87%
ETSX.TO
Evolve S&P/TSX 60 Enhanced Yield Fund CAD Unhedged		9.09%9.39%9.20%9.92%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Frequently Asked Questions

CLU.NEO and ETSX.TO have a correlation of 0.50, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

On fees, ETSX.TO is cheaper at 0.45% per year. The better choice depends on whether you care most about return, fees, risk, or income.

ETSX.TO is cheaper with a 0.45% expense ratio, compared with 0.72% for CLU.NEO.

CLU.NEO tracks FTSE RAFI US 1000 Canadian Dollar Hedged Index, while ETSX.TO tracks S&P/TSX 60. They also come from different issuers: iShares and Evolve. Their fees differ too: 0.72% for CLU.NEO and 0.45% for ETSX.TO.

Portfolio Optimizer

Find the right allocation for CLU.NEO and ETSX.TO

Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

Open Portfolio Optimizer