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CP vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


CPSPY
YTD Return1.14%11.73%
1Y Return4.47%29.53%
3Y Return (Ann)-0.08%9.80%
5Y Return (Ann)14.38%15.21%
10Y Return (Ann)10.65%12.72%
Sharpe Ratio0.232.69
Daily Std Dev20.58%11.40%
Max Drawdown-69.21%-55.19%
Current Drawdown-12.51%-0.36%

Correlation

-0.50.00.51.00.5

The correlation between CP and SPY is 0.50, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

CP vs. SPY - Performance Comparison

In the year-to-date period, CP achieves a 1.14% return, which is significantly lower than SPY's 11.73% return. Over the past 10 years, CP has underperformed SPY with an annualized return of 10.65%, while SPY has yielded a comparatively higher 12.72% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


2,000.00%4,000.00%6,000.00%8,000.00%10,000.00%December2024FebruaryMarchAprilMay
8,634.14%
2,037.62%
CP
SPY

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Canadian Pacific Railway Limited

SPDR S&P 500 ETF

Risk-Adjusted Performance

CP vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Canadian Pacific Railway Limited (CP) and 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.


CP
Sharpe ratio
The chart of Sharpe ratio for CP, currently valued at 0.23, compared to the broader market-2.00-1.000.001.002.003.004.000.23
Sortino ratio
The chart of Sortino ratio for CP, currently valued at 0.46, compared to the broader market-4.00-2.000.002.004.006.000.46
Omega ratio
The chart of Omega ratio for CP, currently valued at 1.06, compared to the broader market0.501.001.502.001.06
Calmar ratio
The chart of Calmar ratio for CP, currently valued at 0.27, compared to the broader market0.002.004.006.000.27
Martin ratio
The chart of Martin ratio for CP, currently valued at 0.57, compared to the broader market-10.000.0010.0020.0030.000.57
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 2.69, compared to the broader market-2.00-1.000.001.002.003.004.002.69
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 3.78, compared to the broader market-4.00-2.000.002.004.006.003.78
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.47, compared to the broader market0.501.001.502.001.47
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 2.63, compared to the broader market0.002.004.006.002.63
Martin ratio
The chart of Martin ratio for SPY, currently valued at 10.60, compared to the broader market-10.000.0010.0020.0030.0010.60

CP vs. SPY - Sharpe Ratio Comparison

The current CP Sharpe Ratio is 0.23, which is lower than the SPY Sharpe Ratio of 2.69. The chart below compares the 12-month rolling Sharpe Ratio of CP and SPY.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00December2024FebruaryMarchAprilMay
0.23
2.69
CP
SPY

Dividends

CP vs. SPY - Dividend Comparison

CP's dividend yield for the trailing twelve months is around 0.71%, less than SPY's 1.27% yield.


TTM20232022202120202019201820172016201520142013
CP
Canadian Pacific Railway Limited
0.71%0.72%0.77%1.67%3.82%0.93%1.07%0.93%0.98%0.84%0.65%0.89%
SPY
SPDR S&P 500 ETF
1.27%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

CP vs. SPY - Drawdown Comparison

The maximum CP drawdown since its inception was -69.21%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for CP and SPY. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%December2024FebruaryMarchAprilMay
-12.51%
-0.36%
CP
SPY

Volatility

CP vs. SPY - Volatility Comparison

Canadian Pacific Railway Limited (CP) has a higher volatility of 6.09% compared to SPDR S&P 500 ETF (SPY) at 3.10%. This indicates that CP'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.


2.00%4.00%6.00%8.00%10.00%December2024FebruaryMarchAprilMay
6.09%
3.10%
CP
SPY