XQLT.TO vs. ^GSPC
XQLT.TO (iShares MSCI USA Quality Factor Index ETF) is Large Cap Growth Equities fund tracking the MSCI USA Sector Neutral Quality Index, while ^GSPC (S&P 500 Index) is an index. Over the past 5 years, XQLT.TO returned 14.41%/yr vs 14.72%/yr for ^GSPC. A 0.58 correlation means they provide meaningful diversification when combined.
Performance
XQLT.TO vs. ^GSPC - Performance Comparison
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Different Trading Currencies
XQLT.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
The year-to-date returns for both stocks are quite close, with XQLT.TO having a 11.36% return and ^GSPC slightly lower at 11.24%.
XQLT.TO
- 1D
- -0.94%
- 1M
- 2.34%
- YTD
- 11.36%
- 6M
- 10.73%
- 1Y
- 24.97%
- 3Y*
- 21.15%
- 5Y*
- 14.41%
- 10Y*
- —
^GSPC
- 1D
- -1.55%
- 1M
- 1.29%
- YTD
- 11.24%
- 6M
- 9.77%
- 1Y
- 25.97%
- 3Y*
- 22.19%
- 5Y*
- 14.72%
- 10Y*
- 14.84%
XQLT.TO vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
XQLT.TO iShares MSCI USA Quality Factor Index ETF | 11.36% | 7.09% | 32.36% | 28.08% | -17.15% | 27.90% | 11.61% | 9.78% |
^GSPC S&P 500 Index | 11.24% | 11.07% | 33.75% | 21.28% | -14.34% | 26.83% | 13.50% | 6.96% |
Correlation
The correlation between XQLT.TO and ^GSPC is 0.76, 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 | 0.76 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.71 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.67 |
Correlation (All Time) Calculated using the full available price history since Sep 12, 2019 | 0.58 |
The correlation between XQLT.TO and ^GSPC shifts across timeframes, from 0.58 (all time) to 0.76 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
XQLT.TO vs. ^GSPC — Risk / Return Rank
XQLT.TO
^GSPC
XQLT.TO vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA Quality Factor Index ETF (XQLT.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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| XQLT.TO | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.06 | ||
| Sortino ratioReturn per unit of downside risk | +0.21 | ||
| Omega ratioGain probability vs. loss probability | 1.37 | 1.35 | +0.02 |
| Calmar ratioReturn relative to maximum drawdown | 3.00 | 2.84 | +0.16 |
| Martin ratioReturn relative to average drawdown | 11.46 | 10.55 | +0.90 |
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Drawdowns
XQLT.TO vs. ^GSPC - Drawdown Comparison
The maximum XQLT.TO drawdown since its inception was -25.12%, smaller than the maximum ^GSPC drawdown of -48.87%. Use the drawdown chart below to compare losses from any high point for XQLT.TO and ^GSPC.
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Drawdown Indicators
| XQLT.TO | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -25.12% | -48.87% | +23.75% |
Max Drawdown (1Y)Largest decline over 1 year | -8.35% | -9.17% | +0.82% |
Max Drawdown (3Y)Largest decline over 3 years | -18.95% | -19.59% | +0.64% |
Max Drawdown (5Y)Largest decline over 5 years | -25.12% | -23.14% | -1.98% |
Max Drawdown (10Y)Largest decline over 10 years | — | -27.97% | — |
Current DrawdownCurrent decline from peak | -1.24% | -1.55% | +0.31% |
Average DrawdownAverage peak-to-trough decline | -5.17% | -9.65% | +4.48% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.18% | 2.47% | -0.29% |
Volatility
XQLT.TO vs. ^GSPC - Volatility Comparison
The current volatility for iShares MSCI USA Quality Factor Index ETF (XQLT.TO) is 4.14%, while S&P 500 Index (^GSPC) has a volatility of 5.21%. This indicates that XQLT.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
| XQLT.TO | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.14% | 5.21% | -1.07% |
Volatility (6M)Calculated over the trailing 6-month period | 9.80% | 10.35% | -0.55% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.09% | 12.96% | -0.87% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.65% | 17.97% | -2.32% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.43% | 19.16% | -2.73% |
Frequently Asked Questions
XQLT.TO and ^GSPC have a correlation of 0.76, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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