^SPTSX60 vs. RY
Compare and contrast key facts about S&P/TSX 60 Index (^SPTSX60) and Royal Bank of Canada (RY).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^SPTSX60 or RY.
Key characteristics
| ^SPTSX60 | RY | |
|---|---|---|
| YTD Return | 9.65% | 24.37% |
| 1Y Return | 13.37% | 42.41% |
| 3Y Return (Ann) | 3.66% | 10.01% |
| 5Y Return (Ann) | 7.06% | 14.36% |
| 10Y Return (Ann) | 4.48% | 9.36% |
| Sharpe Ratio | 1.11 | 2.36 |
| Daily Std Dev | 11.39% | 17.37% |
| Max Drawdown | -49.15% | -63.05% |
| Current Drawdown | -1.02% | 0.00% |
Correlation
The correlation between ^SPTSX60 and RY is 0.73, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
^SPTSX60 vs. RY - Performance Comparison
In the year-to-date period, ^SPTSX60 achieves a 9.65% return, which is significantly lower than RY's 24.37% return. Over the past 10 years, ^SPTSX60 has underperformed RY with an annualized return of 4.48%, while RY has yielded a comparatively higher 9.36% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
^SPTSX60 vs. RY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P/TSX 60 Index (^SPTSX60) and Royal Bank of Canada (RY). 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.
Drawdowns
^SPTSX60 vs. RY - Drawdown Comparison
The maximum ^SPTSX60 drawdown since its inception was -49.15%, smaller than the maximum RY drawdown of -63.05%. Use the drawdown chart below to compare losses from any high point for ^SPTSX60 and RY. For additional features, visit the drawdowns tool.
Volatility
^SPTSX60 vs. RY - Volatility Comparison
S&P/TSX 60 Index (^SPTSX60) has a higher volatility of 3.62% compared to Royal Bank of Canada (RY) at 3.20%. This indicates that ^SPTSX60's price experiences larger fluctuations and is considered to be riskier than RY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.