FC.TO vs. ^GSPTSE
FC.TO (Firm Capital Mortgage Investment Corporation) is a stock, while ^GSPTSE (S&P TSX Composite Index (Canada)) is an index. Over the past 10 years, FC.TO returned 6.85%/yr vs 9.36%/yr for ^GSPTSE. At a 0.17 correlation, their price movements are largely independent.
Performance
FC.TO vs. ^GSPTSE - Performance Comparison
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Returns By Period
In the year-to-date period, FC.TO achieves a 5.49% return, which is significantly lower than ^GSPTSE's 9.74% return. Over the past 10 years, FC.TO has underperformed ^GSPTSE with an annualized return of 6.85%, while ^GSPTSE has yielded a comparatively higher 9.36% annualized return.
FC.TO
- 1D
- 0.17%
- 1M
- -0.84%
- YTD
- 5.49%
- 6M
- 7.31%
- 1Y
- 5.86%
- 3Y*
- 13.04%
- 5Y*
- 3.78%
- 10Y*
- 6.85%
^GSPTSE
- 1D
- -1.05%
- 1M
- 3.46%
- YTD
- 9.74%
- 6M
- 11.68%
- 1Y
- 31.69%
- 3Y*
- 20.23%
- 5Y*
- 11.68%
- 10Y*
- 9.36%
FC.TO vs. ^GSPTSE - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FC.TO Firm Capital Mortgage Investment Corporation | 5.49% | 6.87% | 20.14% | 11.21% | -19.55% | 20.36% | -6.50% | 20.36% | 8.82% | 2.16% |
^GSPTSE S&P TSX Composite Index (Canada) | 9.74% | 28.25% | 17.99% | 8.12% | -8.66% | 21.74% | 2.17% | 19.13% | -11.64% | 6.03% |
Correlation
The correlation between FC.TO and ^GSPTSE is 0.28, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.28 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.37 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.41 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.36 |
Correlation (All Time) Calculated using the full available price history since Oct 7, 1999 | 0.17 |
The correlation between FC.TO and ^GSPTSE shifts across timeframes, from 0.17 (all time) to 0.41 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
FC.TO vs. ^GSPTSE — Risk / Return Rank
FC.TO
^GSPTSE
FC.TO vs. ^GSPTSE - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Firm Capital Mortgage Investment Corporation (FC.TO) and S&P TSX Composite Index (Canada) (^GSPTSE). 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.
| FC.TO | ^GSPTSE | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.87 | ||
| Sortino ratioReturn per unit of downside risk | -2.33 | ||
| Omega ratioGain probability vs. loss probability | 1.11 | 1.45 | -0.34 |
| Calmar ratioReturn relative to maximum drawdown | 0.89 | 3.41 | -2.53 |
| Martin ratioReturn relative to average drawdown | 2.28 | 15.31 | -13.04 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| FC.TO | ^GSPTSE | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.64 | 2.51 | -1.87 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.25 | 0.89 | -0.65 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.36 | 0.62 | -0.26 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.54 | 0.44 | +0.10 |
Drawdowns
FC.TO vs. ^GSPTSE - Drawdown Comparison
The maximum FC.TO drawdown since its inception was -49.63%, roughly equal to the maximum ^GSPTSE drawdown of -49.99%. Use the drawdown chart below to compare losses from any high point for FC.TO and ^GSPTSE.
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Drawdown Indicators
| FC.TO | ^GSPTSE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -49.63% | -49.99% | +0.36% |
Max Drawdown (1Y)Largest decline over 1 year | -6.65% | -9.33% | +2.68% |
Max Drawdown (3Y)Largest decline over 3 years | -12.99% | -12.79% | -0.20% |
Max Drawdown (5Y)Largest decline over 5 years | -29.03% | -17.57% | -11.46% |
Max Drawdown (10Y)Largest decline over 10 years | -49.63% | -37.43% | -12.20% |
Current DrawdownCurrent decline from peak | -2.37% | -1.05% | -1.32% |
Average DrawdownAverage peak-to-trough decline | -5.20% | -11.51% | +6.31% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.58% | 2.07% | +0.51% |
Volatility
FC.TO vs. ^GSPTSE - Volatility Comparison
The current volatility for Firm Capital Mortgage Investment Corporation (FC.TO) is 2.25%, while S&P TSX Composite Index (Canada) (^GSPTSE) has a volatility of 3.39%. This indicates that FC.TO experiences smaller price fluctuations and is considered to be less risky than ^GSPTSE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FC.TO | ^GSPTSE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.25% | 3.39% | -1.14% |
Volatility (6M)Calculated over the trailing 6-month period | 6.63% | 10.30% | -3.67% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.18% | 12.67% | -3.49% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.52% | 13.15% | +2.37% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.15% | 15.09% | +4.06% |
Frequently Asked Questions
FC.TO and ^GSPTSE have a correlation of 0.28, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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