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CNQ.TO vs. XEI.TO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

CNQ.TO vs. XEI.TO

Last updated Jun 13, 2026

CNQ.TO (Canadian Natural Resources Limited) is a stock, while XEI.TO (iShares S&P/TSX Composite High Dividend Index ETF) is Canada Equities fund tracking the S&P/TSX Composite High Dividend Index. Over the past 10 years, CNQ.TO returned 23.43%/yr vs 12.09%/yr for XEI.TO. A 0.64 correlation means they provide meaningful diversification when combined.

Performance

CNQ.TO vs. XEI.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in Canadian Natural Resources Limited (CNQ.TO) and iShares S&P/TSX Composite High Dividend Index ETF (XEI.TO). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, CNQ.TO achieves a 37.61% return, which is significantly higher than XEI.TO's 24.32% return. Over the past 10 years, CNQ.TO has outperformed XEI.TO with an annualized return of 23.43%, while XEI.TO has yielded a comparatively lower 12.09% annualized return.

CNQ.TO

1D
-0.19%
1M
-4.06%
YTD
37.61%
6M
40.79%
1Y
43.07%
3Y*
27.02%
5Y*
33.86%
10Y*
23.43%

XEI.TO

1D
0.58%
1M
3.92%
YTD
24.32%
6M
20.22%
1Y
38.85%
3Y*
21.39%
5Y*
14.74%
10Y*
12.09%
*Multi-year figures are annualized to reflect compound growth (CAGR)

CNQ.TO vs. XEI.TO - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
CNQ.TO
Canadian Natural Resources Limited		37.61%10.42%8.27%26.98%63.10%91.26%-12.94%38.84%-21.36%10.89%
XEI.TO
iShares S&P/TSX Composite High Dividend Index ETF		24.32%20.86%15.26%6.59%0.32%35.76%-7.60%25.30%-10.95%7.14%

Correlation

The correlation between CNQ.TO and XEI.TO is 0.55, 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

0.55

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

0.56

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

0.65

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

0.63

Correlation (All Time)
Calculated using the full available price history since Apr 18, 2011

0.64

The correlation between CNQ.TO and XEI.TO shifts across timeframes, from 0.55 (1 year) to 0.65 (5 years), reflecting how their relationship changes across market environments.

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Canadian Natural Resources Limited

iShares S&P/TSX Composite High Dividend Index ETF

Often compared with CNQ.TO:
CNQ.TO vs. ENB.TOCNQ.TO vs. SU.TOCNQ.TO vs. TOU.TOCNQ.TO vs. WCP.TOCNQ.TO vs. ARX.TOCNQ.TO vs. XEG.TOCNQ.TO vs. PPL.TO
Often compared with XEI.TO:
XEI.TO vs. VDY.TOXEI.TO vs. XDIV.TOXEI.TO vs. XEQT.TOXEI.TO vs. VFV.TOXEI.TO vs. ZDV.TOXEI.TO vs. CDZ.TOXEI.TO vs. XDV.TO

Return for Risk

CNQ.TO vs. XEI.TO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
CNQ.TO
CNQ.TO Risk / Return Rank: 8383
Overall Rank
CNQ.TO Sharpe Ratio Rank: 8585
Sharpe Ratio Rank
CNQ.TO Sortino Ratio Rank: 7979
Sortino Ratio Rank
CNQ.TO Omega Ratio Rank: 7979
Omega Ratio Rank
CNQ.TO Calmar Ratio Rank: 8585
Calmar Ratio Rank
CNQ.TO Martin Ratio Rank: 8585
Martin Ratio Rank
XEI.TO
XEI.TO Risk / Return Rank: 9898
Overall Rank
XEI.TO Sharpe Ratio Rank: 9898
Sharpe Ratio Rank
XEI.TO Sortino Ratio Rank: 9898
Sortino Ratio Rank
XEI.TO Omega Ratio Rank: 9898
Omega Ratio Rank
XEI.TO Calmar Ratio Rank: 9797
Calmar Ratio Rank
XEI.TO Martin Ratio Rank: 9797
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.

CNQ.TO vs. XEI.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Canadian Natural Resources Limited (CNQ.TO) and iShares S&P/TSX Composite High Dividend Index ETF (XEI.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.

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.

CNQ.TOXEI.TODifference
Sharpe ratioReturn per unit of total volatility
1.65
5.02

-3.37

Sortino ratioReturn per unit of downside risk
2.12
6.90

-4.78

Omega ratioGain probability vs. loss probability

1.28

2.02

-0.74

Calmar ratioReturn relative to maximum drawdown

3.12

9.32

-6.20

Martin ratioReturn relative to average drawdown

7.98

41.87

-33.88

CNQ.TO vs. XEI.TO - Sharpe Ratio Comparison

The current CNQ.TO Sharpe Ratio is 1.65, which is lower than the XEI.TO Sharpe Ratio of 5.02. The chart below compares the historical Sharpe Ratios of CNQ.TO and XEI.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.

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Drawdowns

CNQ.TO vs. XEI.TO - Drawdown Comparison

The maximum CNQ.TO drawdown since its inception was -74.63%, which is greater than XEI.TO's maximum drawdown of -45.52%. Use the drawdown chart below to compare losses from any high point for CNQ.TO and XEI.TO.

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Drawdown Indicators

CNQ.TOXEI.TODifference

Max Drawdown

Largest peak-to-trough decline

-74.63%

-45.52%

-29.11%

Max Drawdown (1Y)

Largest decline over 1 year

-15.33%

-4.22%

-11.11%

Max Drawdown (3Y)

Largest decline over 3 years

-33.12%

-9.96%

-23.16%

Max Drawdown (5Y)

Largest decline over 5 years

-33.12%

-17.35%

-15.77%

Max Drawdown (10Y)

Largest decline over 10 years

-74.63%

-45.52%

-29.11%

Current Drawdown

Current decline from peak

-8.72%

0.00%

-8.72%

Average Drawdown

Average peak-to-trough decline

-17.63%

-5.10%

-12.53%

Ulcer Index

Depth and duration of drawdowns from previous peaks

5.98%

0.94%

+5.04%

Volatility

CNQ.TO vs. XEI.TO - Volatility Comparison

Canadian Natural Resources Limited (CNQ.TO) has a higher volatility of 8.91% compared to iShares S&P/TSX Composite High Dividend Index ETF (XEI.TO) at 2.68%. This indicates that CNQ.TO's price experiences larger fluctuations and is considered to be riskier than XEI.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

CNQ.TOXEI.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

8.91%

2.68%

+6.23%

Volatility (6M)

Calculated over the trailing 6-month period

24.23%

6.71%

+17.52%

Volatility (1Y)

Calculated over the trailing 1-year period

28.98%

7.84%

+21.14%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

30.61%

11.31%

+19.30%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

38.12%

16.02%

+22.10%

Dividends

CNQ.TO vs. XEI.TO - Dividend Comparison

CNQ.TO's dividend yield for the trailing twelve months is around 3.77%, more than XEI.TO's 3.53% yield.

PositionTTM20252024202320222021202020192018201720162015
CNQ.TO
Canadian Natural Resources Limited		2.84%5.05%6.00%8.53%12.23%7.63%11.35%7.29%8.31%5.00%4.49%6.22%
XEI.TO
iShares S&P/TSX Composite High Dividend Index ETF		3.53%4.47%5.45%4.97%4.68%3.58%5.03%4.62%5.42%4.29%4.41%5.64%

Frequently Asked Questions

CNQ.TO and XEI.TO have a correlation of 0.55, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

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