PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan
CNR.TO vs. XEG.TO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

CNR.TO vs. XEG.TO

Last updated Jun 5, 2026

CNR.TO (Canadian National Railway Company) is a stock, while XEG.TO (iShares S&P/TSX Capped Energy Index ETF) is Energy Equities fund tracking the S&P/TSX Capped Energy Index. Over the past 10 years, CNR.TO returned 10.02%/yr vs 11.72%/yr for XEG.TO. At a 0.31 correlation, their price movements are largely independent.

Performance

CNR.TO vs. XEG.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in Canadian National Railway Company (CNR.TO) and iShares S&P/TSX Capped Energy Index ETF (XEG.TO). The values are adjusted to include any dividend payments, if applicable.

Loading charts...

Returns By Period

In the year-to-date period, CNR.TO achieves a 23.20% return, which is significantly lower than XEG.TO's 45.28% return. Over the past 10 years, CNR.TO has underperformed XEG.TO with an annualized return of 10.02%, while XEG.TO has yielded a comparatively higher 11.72% annualized return.

CNR.TO

1D
0.14%
1M
10.90%
YTD
23.20%
6M
22.39%
1Y
17.48%
3Y*
4.22%
5Y*
6.30%
10Y*
10.02%

XEG.TO

1D
0.65%
1M
-0.64%
YTD
45.28%
6M
40.30%
1Y
73.90%
3Y*
28.57%
5Y*
29.65%
10Y*
11.72%
*Multi-year figures are annualized to reflect compound growth (CAGR)

CNR.TO vs. XEG.TO - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
CNR.TO
Canadian National Railway Company		23.20%-4.60%-10.53%5.67%5.47%12.88%21.30%18.29%-0.77%16.60%
XEG.TO
iShares S&P/TSX Capped Energy Index ETF		45.28%16.72%14.08%3.52%53.25%83.71%-34.41%8.98%-27.05%-11.18%

Correlation

The correlation between CNR.TO and XEG.TO is 0.03, 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

0.03

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

0.20

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

0.22

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

0.26

Correlation (All Time)
Calculated using the full available price history since Mar 26, 2001

0.31

Over the past year, the correlation between CNR.TO and XEG.TO has dropped to 0.03 - well below their long-term average of 0.31, suggesting their price drivers have been diverging.

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

Canadian National Railway Company

iShares S&P/TSX Capped Energy Index ETF

Often compared with CNR.TO:
CNR.TO vs. CPCNR.TO vs. CP.TOCNR.TO vs. RY.TOCNR.TO vs. ATD.TOCNR.TO vs. UNPCNR.TO vs. TRP.TOCNR.TO vs. MRU.TO
Often compared with XEG.TO:
XEG.TO vs. XLEXEG.TO vs. XEQT.TOXEG.TO vs. CNQ.TOXEG.TO vs. HXE.TOXEG.TO vs. ZEO.TOXEG.TO vs. XDIV.TOXEG.TO vs. XCG.TO

Return for Risk

CNR.TO vs. XEG.TO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
CNR.TO
CNR.TO Risk / Return Rank: 6464
Overall Rank
CNR.TO Sharpe Ratio Rank: 6868
Sharpe Ratio Rank
CNR.TO Sortino Ratio Rank: 5959
Sortino Ratio Rank
CNR.TO Omega Ratio Rank: 6060
Omega Ratio Rank
CNR.TO Calmar Ratio Rank: 6868
Calmar Ratio Rank
CNR.TO Martin Ratio Rank: 6565
Martin Ratio Rank
XEG.TO
XEG.TO Risk / Return Rank: 8989
Overall Rank
XEG.TO Sharpe Ratio Rank: 9292
Sharpe Ratio Rank
XEG.TO Sortino Ratio Rank: 8686
Sortino Ratio Rank
XEG.TO Omega Ratio Rank: 8585
Omega Ratio Rank
XEG.TO Calmar Ratio Rank: 9393
Calmar Ratio Rank
XEG.TO Martin Ratio Rank: 8989
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.

CNR.TO vs. XEG.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Canadian National Railway Company (CNR.TO) and iShares S&P/TSX Capped Energy Index ETF (XEG.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.

CNR.TOXEG.TODifference
Sharpe ratioReturn per unit of total volatility
0.83
3.27

-2.44

Sortino ratioReturn per unit of downside risk
1.20
3.81

-2.61

Omega ratioGain probability vs. loss probability

1.16

1.51

-0.35

Calmar ratioReturn relative to maximum drawdown

1.43

6.68

-5.25

Martin ratioReturn relative to average drawdown

2.74

19.94

-17.20

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

CNR.TO vs. XEG.TO - Sharpe Ratio Comparison

The current CNR.TO Sharpe Ratio is 0.83, which is lower than the XEG.TO Sharpe Ratio of 3.27. The chart below compares the historical Sharpe Ratios of CNR.TO and XEG.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

CNR.TOXEG.TODifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

0.83

3.27

-2.44

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.31

1.04

-0.73

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.49

0.35

+0.13

Sharpe Ratio (All Time)

Calculated using the full available price history

-0.48

0.28

-0.76

Drawdowns

CNR.TO vs. XEG.TO - Drawdown Comparison

The maximum CNR.TO drawdown since its inception was -99.99%, which is greater than XEG.TO's maximum drawdown of -87.74%. Use the drawdown chart below to compare losses from any high point for CNR.TO and XEG.TO.

Loading charts...

Drawdown Indicators

CNR.TOXEG.TODifference

Max Drawdown

Largest peak-to-trough decline

-99.99%

-87.74%

-12.25%

Max Drawdown (1Y)

Largest decline over 1 year

-12.32%

-11.12%

-1.20%

Max Drawdown (3Y)

Largest decline over 3 years

-27.25%

-25.67%

-1.58%

Max Drawdown (5Y)

Largest decline over 5 years

-27.25%

-28.42%

+1.17%

Max Drawdown (10Y)

Largest decline over 10 years

-27.25%

-79.66%

+52.41%

Current Drawdown

Current decline from peak

-99.61%

-3.38%

-96.23%

Average Drawdown

Average peak-to-trough decline

-96.74%

-29.18%

-67.56%

Ulcer Index

Depth and duration of drawdowns from previous peaks

6.39%

3.72%

+2.67%

Volatility

CNR.TO vs. XEG.TO - Volatility Comparison

The current volatility for Canadian National Railway Company (CNR.TO) is 4.37%, while iShares S&P/TSX Capped Energy Index ETF (XEG.TO) has a volatility of 9.24%. This indicates that CNR.TO experiences smaller price fluctuations and is considered to be less risky than XEG.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Loading charts...

Volatility by Period

CNR.TOXEG.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

4.37%

9.24%

-4.87%

Volatility (6M)

Calculated over the trailing 6-month period

17.05%

18.90%

-1.85%

Volatility (1Y)

Calculated over the trailing 1-year period

21.12%

22.74%

-1.62%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

20.12%

28.62%

-8.50%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

20.76%

33.40%

-12.64%

Dividends

CNR.TO vs. XEG.TO - Dividend Comparison

CNR.TO's dividend yield for the trailing twelve months is around 2.15%, less than XEG.TO's 2.64% yield.

PositionTTM20252024202320222021202020192018201720162015
CNR.TO
Canadian National Railway Company		2.15%2.62%2.32%1.90%1.82%1.58%1.64%1.83%1.80%1.59%1.66%1.62%
XEG.TO
iShares S&P/TSX Capped Energy Index ETF		2.64%3.63%3.46%4.26%3.31%1.64%2.96%2.70%2.25%1.41%1.40%3.58%

Frequently Asked Questions

CNR.TO and XEG.TO have a correlation of 0.03, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Portfolio Optimizer

Find the right allocation for CNR.TO and XEG.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