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XEN.TO vs. ^GSPC
Performance
Return for Risk
Drawdowns
Volatility

XEN.TO vs. ^GSPC

Last updated Jun 4, 2026

XEN.TO (iShares Jantzi Social Index ETF) is Canada Equities fund tracking the Morningstar Canada GR CAD, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, XEN.TO returned 12.32%/yr vs 14.52%/yr for ^GSPC. At a 0.43 correlation, their price movements are largely independent.

Performance

XEN.TO vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in iShares Jantzi Social Index ETF (XEN.TO) and S&P 500 Index (^GSPC). The values are adjusted to include any dividend payments, if applicable.

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Different Trading Currencies

XEN.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, XEN.TO achieves a 9.68% return, which is significantly lower than ^GSPC's 12.12% return. Over the past 10 years, XEN.TO has underperformed ^GSPC with an annualized return of 12.32%, while ^GSPC has yielded a comparatively higher 14.52% annualized return.

XEN.TO

1D
-0.09%
1M
3.24%
YTD
9.68%
6M
11.21%
1Y
34.13%
3Y*
22.90%
5Y*
15.29%
10Y*
12.32%

^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%
*Multi-year figures are annualized to reflect compound growth (CAGR)

XEN.TO vs. ^GSPC - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
XEN.TO
iShares Jantzi Social Index ETF		9.68%34.17%16.91%12.18%-3.37%28.00%-0.30%17.34%-7.93%10.65%
^GSPC
S&P 500 Index		11.75%11.05%33.90%21.49%-13.70%25.75%14.29%22.54%1.71%11.82%

Correlation

The correlation between XEN.TO and ^GSPC is 0.58, 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

0.58

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

0.50

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

0.49

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

0.50

Correlation (All Time)
Calculated using the full available price history since Jun 23, 2009

0.43

The correlation between XEN.TO and ^GSPC shifts across timeframes, from 0.43 (all time) to 0.58 (1 year), reflecting how their relationship changes across market environments.

Compare stocks, funds, or ETFs

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iShares Jantzi Social Index ETF

S&P 500 Index

Often compared with XEN.TO:
XEN.TO vs. GEQT.TOXEN.TO vs. XCSR.TOXEN.TO vs. XDSR.TOXEN.TO vs. VFV.TOXEN.TO vs. DMEC.TOXEN.TO vs. XIU.TOXEN.TO vs. XIC.TO
Often compared with ^GSPC:
^GSPC vs. ^IBEX^GSPC vs. AVGO^GSPC vs. SCHD^GSPC vs. GC=F^GSPC vs. TSMU^GSPC vs. QQQ^GSPC vs. ACWI

Return for Risk

XEN.TO vs. ^GSPC — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
XEN.TO
XEN.TO Risk / Return Rank: 8383
Overall Rank
XEN.TO Sharpe Ratio Rank: 8585
Sharpe Ratio Rank
XEN.TO Sortino Ratio Rank: 8383
Sortino Ratio Rank
XEN.TO Omega Ratio Rank: 8484
Omega Ratio Rank
XEN.TO Calmar Ratio Rank: 7878
Calmar Ratio Rank
XEN.TO Martin Ratio Rank: 8686
Martin Ratio Rank
^GSPC
^GSPC Risk / Return Rank: 7373
Overall Rank
^GSPC Sharpe Ratio Rank: 7171
Sharpe Ratio Rank
^GSPC Sortino Ratio Rank: 7171
Sortino Ratio Rank
^GSPC Omega Ratio Rank: 7272
Omega Ratio Rank
^GSPC Calmar Ratio Rank: 6767
Calmar Ratio Rank
^GSPC Martin Ratio Rank: 8181
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.

XEN.TO vs. ^GSPC - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Jantzi Social Index ETF (XEN.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.

XEN.TO^GSPCDifference
Sharpe ratioReturn per unit of total volatility
2.79
2.46

+0.33

Sortino ratioReturn per unit of downside risk
3.72
3.32

+0.41

Omega ratioGain probability vs. loss probability

1.51

1.47

+0.04

Calmar ratioReturn relative to maximum drawdown

4.01

3.24

+0.77

Martin ratioReturn relative to average drawdown

18.09

12.23

+5.87

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

XEN.TO vs. ^GSPC - Sharpe Ratio Comparison

The current XEN.TO Sharpe Ratio is 2.79, which is comparable to the ^GSPC Sharpe Ratio of 2.46. The chart below compares the historical Sharpe Ratios of XEN.TO and ^GSPC, 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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Sharpe Ratios by Period

XEN.TO^GSPCDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

2.79

2.46

+0.33

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

1.11

1.05

+0.06

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.82

0.89

-0.07

Sharpe Ratio (All Time)

Calculated using the full available price history

0.44

0.99

-0.55

Drawdowns

XEN.TO vs. ^GSPC - Drawdown Comparison

The maximum XEN.TO drawdown since its inception was -49.69%, which is greater than ^GSPC's maximum drawdown of -27.59%. Use the drawdown chart below to compare losses from any high point for XEN.TO and ^GSPC.

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Drawdown Indicators

XEN.TO^GSPCDifference

Max Drawdown

Largest peak-to-trough decline

-49.69%

-27.59%

-22.10%

Max Drawdown (1Y)

Largest decline over 1 year

-8.55%

-8.86%

+0.31%

Max Drawdown (3Y)

Largest decline over 3 years

-13.31%

-19.23%

+5.92%

Max Drawdown (5Y)

Largest decline over 5 years

-17.79%

-22.60%

+4.81%

Max Drawdown (10Y)

Largest decline over 10 years

-36.24%

-27.59%

-8.65%

Current Drawdown

Current decline from peak

-0.09%

0.00%

-0.09%

Average Drawdown

Average peak-to-trough decline

-7.65%

-3.51%

-4.14%

Ulcer Index

Depth and duration of drawdowns from previous peaks

1.89%

2.34%

-0.45%

Volatility

XEN.TO vs. ^GSPC - Volatility Comparison

The current volatility for iShares Jantzi Social Index ETF (XEN.TO) is 2.49%, while S&P 500 Index (^GSPC) has a volatility of 2.69%. This indicates that XEN.TO experiences smaller price fluctuations and is considered to be less risky 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

XEN.TO^GSPCDifference

Volatility (1M)

Calculated over the trailing 1-month period

2.49%

2.69%

-0.20%

Volatility (6M)

Calculated over the trailing 6-month period

9.88%

8.85%

+1.03%

Volatility (1Y)

Calculated over the trailing 1-year period

12.30%

11.70%

+0.60%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

13.91%

14.99%

-1.08%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

15.07%

16.33%

-1.26%

Frequently Asked Questions

XEN.TO and ^GSPC have a correlation of 0.58, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

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