XDG.TO vs. ^GSPC
XDG.TO (iShares Core MSCI Global Quality Dividend Index ETF) is Global Equities fund tracking the Morningstar Gbl GR CAD, while ^GSPC (S&P 500 Index) is an index. Over the past 5 years, XDG.TO returned 11.34%/yr vs 15.58%/yr for ^GSPC. A 0.63 correlation means they provide meaningful diversification when combined.
Performance
XDG.TO vs. ^GSPC - Performance Comparison
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Different Trading Currencies
XDG.TO is traded in CAD, while ^GSPC is traded in USD. To make them comparable, the ^GSPC values have been converted to CAD using the latest available exchange rates.
Returns By Period
In the year-to-date period, XDG.TO achieves a 9.07% return, which is significantly lower than ^GSPC's 12.12% return.
XDG.TO
- 1D
- 0.00%
- 1M
- 3.72%
- YTD
- 9.07%
- 6M
- 8.39%
- 1Y
- 19.79%
- 3Y*
- 15.60%
- 5Y*
- 11.34%
- 10Y*
- —
^GSPC
- 1D
- 0.00%
- 1M
- 7.35%
- YTD
- 12.12%
- 6M
- 10.22%
- 1Y
- 28.58%
- 3Y*
- 22.37%
- 5Y*
- 15.58%
- 10Y*
- 14.52%
XDG.TO vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
XDG.TO iShares Core MSCI Global Quality Dividend Index ETF | 9.07% | 13.74% | 17.44% | 7.06% | 1.78% | 15.16% | -1.68% | 17.32% | 0.98% | 2.14% |
^GSPC S&P 500 Index | 11.75% | 11.05% | 33.90% | 21.49% | -13.70% | 25.75% | 14.29% | 22.54% | 1.71% | 4.14% |
Correlation
The correlation between XDG.TO and ^GSPC is 0.42, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.42 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.48 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.57 |
Correlation (All Time) Calculated using the full available price history since Jun 15, 2017 | 0.63 |
Over the past year, the correlation between XDG.TO and ^GSPC has dropped to 0.42 - well below their long-term average of 0.63, suggesting their price drivers have been diverging.
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Return for Risk
XDG.TO vs. ^GSPC — Risk / Return Rank
XDG.TO
^GSPC
XDG.TO vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Core MSCI Global Quality Dividend Index ETF (XDG.TO) and S&P 500 Index (^GSPC). 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.
| XDG.TO | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.53 | ||
| Sortino ratioReturn per unit of downside risk | -0.53 | ||
| Omega ratioGain probability vs. loss probability | 1.34 | 1.47 | -0.13 |
| Calmar ratioReturn relative to maximum drawdown | 2.53 | 3.24 | -0.71 |
| Martin ratioReturn relative to average drawdown | 9.02 | 12.23 | -3.21 |
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
| XDG.TO | ^GSPC | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.93 | 2.46 | -0.53 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.08 | 1.05 | +0.04 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.89 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.70 | 0.99 | -0.29 |
Drawdowns
XDG.TO vs. ^GSPC - Drawdown Comparison
The maximum XDG.TO drawdown since its inception was -27.08%, roughly equal to the maximum ^GSPC drawdown of -27.59%. Use the drawdown chart below to compare losses from any high point for XDG.TO and ^GSPC.
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Drawdown Indicators
| XDG.TO | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -27.08% | -27.59% | +0.51% |
Max Drawdown (1Y)Largest decline over 1 year | -7.87% | -8.86% | +0.99% |
Max Drawdown (3Y)Largest decline over 3 years | -12.33% | -19.23% | +6.90% |
Max Drawdown (5Y)Largest decline over 5 years | -12.33% | -22.60% | +10.27% |
Max Drawdown (10Y)Largest decline over 10 years | — | -27.59% | — |
Current DrawdownCurrent decline from peak | -1.95% | 0.00% | -1.95% |
Average DrawdownAverage peak-to-trough decline | -2.92% | -3.51% | +0.59% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.20% | 2.34% | -0.14% |
Volatility
XDG.TO vs. ^GSPC - Volatility Comparison
iShares Core MSCI Global Quality Dividend Index ETF (XDG.TO) has a higher volatility of 3.12% compared to S&P 500 Index (^GSPC) at 2.69%. This indicates that XDG.TO's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| XDG.TO | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.12% | 2.69% | +0.43% |
Volatility (6M)Calculated over the trailing 6-month period | 8.06% | 8.85% | -0.79% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.31% | 11.70% | -1.39% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.56% | 14.99% | -4.43% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 13.14% | 16.33% | -3.19% |
Frequently Asked Questions
XDG.TO and ^GSPC have a correlation of 0.42, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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