CNI vs. SPY

Last updated Jun 23, 2026

CNI (Canadian National Railway Company) is a stock, 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, CNI returned 9.31%/yr vs 15.70%/yr for SPY. A 0.54 correlation means they provide meaningful diversification when combined.

Performance

CNI vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Canadian National Railway Company (CNI) and State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CNI achieves a 16.82% return, which is significantly higher than SPY's 9.74% return. Over the past 10 years, CNI has underperformed SPY with an annualized return of 9.31%, while SPY has yielded a comparatively higher 15.70% annualized return.

CNI

• 1D: 0.62%
• 1M: 0.45%
• YTD: 16.82%
• 6M: 17.59%
• 1Y: 14.90%
• 3Y*: 1.24%
• 5Y*: 3.66%
• 10Y*: 9.31%

SPY

• 1D: -0.31%
• 1M: 0.09%
• YTD: 9.74%
• 6M: 9.27%
• 1Y: 26.65%
• 3Y*: 21.27%
• 5Y*: 13.51%
• 10Y*: 15.70%

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

CNI vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
CNI Canadian National Railway Company	16.82%	-0.10%	-17.51%	7.84%	-1.86%	13.70%	23.66%	24.26%	-8.49%	25.03%
SPY State Street SPDR S&P 500 ETF	9.74%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	31.22%	-4.57%	21.71%

Correlation

The correlation between CNI and SPY is 0.27, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.27
Correlation (3Y) Calculated over the trailing 3-year period	0.44
Correlation (5Y) Calculated over the trailing 5-year period	0.54
Correlation (10Y) Calculated over the trailing 10-year period	0.55
Correlation (All Time) Calculated using the full available price history since Nov 26, 1996	0.54

Over the past year, the correlation between CNI and SPY has dropped to 0.27 - well below their long-term average of 0.54, suggesting their price drivers have been diverging.

Return for Risk

CNI vs. SPY — Risk / Return Rank

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

CNI

CNI Risk / Return Rank: 60
CNI Sharpe Ratio Rank: 64
CNI Sortino Ratio Rank: 56
CNI Omega Ratio Rank: 56
CNI Calmar Ratio Rank: 64
CNI Martin Ratio Rank: 61

SPY

SPY Risk / Return Rank: 68
SPY Sharpe Ratio Rank: 69
SPY Sortino Ratio Rank: 66
SPY Omega Ratio Rank: 68
SPY Calmar Ratio Rank: 63
SPY Martin Ratio Rank: 74

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.

CNI vs. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Canadian National Railway Company (CNI) 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.

	CNI	SPY	Difference
Sharpe ratio: Return per unit of total volatility	0.68	2.16	-1.48
Sortino ratio: Return per unit of downside risk	1.03	2.91	-1.88
Omega ratio: Gain probability vs. loss probability	1.14	1.39	-0.26
Calmar ratio: Return relative to maximum drawdown	1.06	3.01	-1.96
Martin ratio: Return relative to average drawdown	1.94	13.54	-11.59

CNI vs. SPY - Sharpe Ratio Comparison

The current CNI Sharpe Ratio is 0.68, which is lower than the SPY Sharpe Ratio of 2.16. The chart below compares the historical Sharpe Ratios of CNI 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.

Drawdowns

CNI vs. SPY - Drawdown Comparison

The maximum CNI drawdown since its inception was -46.66%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for CNI and SPY.

Drawdown Indicators

	CNI	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-46.66%	-55.19%	+8.53%
Max Drawdown (1Y) Largest decline over 1 year	-14.15%	-8.88%	-5.27%
Max Drawdown (3Y) Largest decline over 3 years	-29.14%	-18.76%	-10.38%
Max Drawdown (5Y) Largest decline over 5 years	-29.14%	-24.50%	-4.64%
Max Drawdown (10Y) Largest decline over 10 years	-29.15%	-33.72%	+4.57%
Current Drawdown Current decline from peak	-9.40%	-1.75%	-7.65%
Average Drawdown Average peak-to-trough decline	-9.49%	-9.04%	-0.45%
Ulcer Index Depth and duration of drawdowns from previous peaks	7.69%	1.97%	+5.72%

Volatility

CNI vs. SPY - Volatility Comparison

Canadian National Railway Company (CNI) has a higher volatility of 5.35% compared to State Street SPDR S&P 500 ETF (SPY) at 4.64%. This indicates that CNI's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CNI	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.35%	4.64%	+0.71%
Volatility (6M) Calculated over the trailing 6-month period	17.60%	9.75%	+7.85%
Volatility (1Y) Calculated over the trailing 1-year period	21.99%	12.43%	+9.56%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	22.41%	17.14%	+5.27%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.70%	17.99%	+4.71%

Dividends

CNI vs. SPY - Dividend Comparison

CNI's dividend yield for the trailing twelve months is around 2.29%, more than SPY's 1.01% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CNI Canadian National Railway Company	2.29%	2.58%	2.43%	1.85%	1.41%	1.61%	1.59%	1.79%	2.01%	2.00%	2.23%	2.24%
SPY State Street SPDR S&P 500 ETF	1.01%	1.07%	1.21%	1.40%	1.65%	1.20%	1.52%	1.75%	2.04%	1.80%	2.03%	2.06%

Frequently Asked Questions

Can I hold both CNI and SPY in my portfolio?

CNI and SPY have a correlation of 0.27, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CNI or SPY?

CNI has higher volatility (5.35%) compared to SPY (4.64%). In terms of maximum drawdown, CNI dropped -46.66% vs SPY's -55.19%.

Which has better risk-adjusted returns?

SPY currently has the higher Sharpe Ratio (2.16 vs 0.68), 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.