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^GSPTSE vs. IVV
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^GSPTSE and IVV is 0.67, 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.


-0.50.00.51.00.7

Performance

^GSPTSE vs. IVV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P TSX Composite Index (Canada) (^GSPTSE) and iShares Core S&P 500 ETF (IVV). The values are adjusted to include any dividend payments, if applicable.

200.00%300.00%400.00%500.00%600.00%JulyAugustSeptemberOctoberNovemberDecember
177.05%
567.93%
^GSPTSE
IVV

Key characteristics

Sharpe Ratio

^GSPTSE:

1.77

IVV:

2.12

Sortino Ratio

^GSPTSE:

2.43

IVV:

2.83

Omega Ratio

^GSPTSE:

1.32

IVV:

1.39

Calmar Ratio

^GSPTSE:

2.64

IVV:

3.15

Martin Ratio

^GSPTSE:

11.43

IVV:

13.87

Ulcer Index

^GSPTSE:

1.57%

IVV:

1.91%

Daily Std Dev

^GSPTSE:

10.16%

IVV:

12.51%

Max Drawdown

^GSPTSE:

-49.99%

IVV:

-55.25%

Current Drawdown

^GSPTSE:

-3.49%

IVV:

-1.83%

Returns By Period

In the year-to-date period, ^GSPTSE achieves a 18.31% return, which is significantly lower than IVV's 26.81% return. Over the past 10 years, ^GSPTSE has underperformed IVV with an annualized return of 5.44%, while IVV has yielded a comparatively higher 13.14% annualized return.


^GSPTSE

YTD

18.31%

1M

-2.71%

6M

13.35%

1Y

18.48%

5Y*

7.66%

10Y*

5.44%

IVV

YTD

26.81%

1M

-0.36%

6M

10.00%

1Y

26.45%

5Y*

14.80%

10Y*

13.14%

*Annualized

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Risk-Adjusted Performance

^GSPTSE vs. IVV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P TSX Composite Index (Canada) (^GSPTSE) and iShares Core S&P 500 ETF (IVV). 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.


Sharpe ratio
The chart of Sharpe ratio for ^GSPTSE, currently valued at 0.77, compared to the broader market-0.500.000.501.001.502.002.500.772.33
The chart of Sortino ratio for ^GSPTSE, currently valued at 1.10, compared to the broader market-1.000.001.002.003.001.103.08
The chart of Omega ratio for ^GSPTSE, currently valued at 1.14, compared to the broader market0.901.001.101.201.301.401.141.44
The chart of Calmar ratio for ^GSPTSE, currently valued at 0.71, compared to the broader market0.001.002.003.000.713.45
The chart of Martin ratio for ^GSPTSE, currently valued at 4.50, compared to the broader market0.005.0010.0015.004.5015.27
^GSPTSE
IVV

The current ^GSPTSE Sharpe Ratio is 1.77, which is comparable to the IVV Sharpe Ratio of 2.12. The chart below compares the historical Sharpe Ratios of ^GSPTSE and IVV, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.77
2.33
^GSPTSE
IVV

Drawdowns

^GSPTSE vs. IVV - Drawdown Comparison

The maximum ^GSPTSE drawdown since its inception was -49.99%, smaller than the maximum IVV drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for ^GSPTSE and IVV. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.07%
-1.83%
^GSPTSE
IVV

Volatility

^GSPTSE vs. IVV - Volatility Comparison

S&P TSX Composite Index (Canada) (^GSPTSE) and iShares Core S&P 500 ETF (IVV) have volatilities of 4.17% and 4.03%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
4.17%
4.03%
^GSPTSE
IVV
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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