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^SPTSX60 vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^SPTSX60 and ^GSPC is 0.69, 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

^SPTSX60 vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P/TSX 60 Index (^SPTSX60) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%SeptemberOctoberNovemberDecember2025February
3.13%
6.72%
^SPTSX60
^GSPC

Key characteristics

Sharpe Ratio

^SPTSX60:

1.82

^GSPC:

1.62

Sortino Ratio

^SPTSX60:

2.54

^GSPC:

2.20

Omega Ratio

^SPTSX60:

1.32

^GSPC:

1.30

Calmar Ratio

^SPTSX60:

3.72

^GSPC:

2.46

Martin Ratio

^SPTSX60:

10.38

^GSPC:

10.01

Ulcer Index

^SPTSX60:

1.78%

^GSPC:

2.08%

Daily Std Dev

^SPTSX60:

10.11%

^GSPC:

12.88%

Max Drawdown

^SPTSX60:

-49.15%

^GSPC:

-56.78%

Current Drawdown

^SPTSX60:

-2.74%

^GSPC:

-2.13%

Returns By Period

The year-to-date returns for both investments are quite close, with ^SPTSX60 having a 2.16% return and ^GSPC slightly higher at 2.24%. Over the past 10 years, ^SPTSX60 has underperformed ^GSPC with an annualized return of 5.53%, while ^GSPC has yielded a comparatively higher 11.04% annualized return.


^SPTSX60

YTD

2.16%

1M

-0.25%

6M

8.60%

1Y

17.54%

5Y*

7.37%

10Y*

5.53%

^GSPC

YTD

2.24%

1M

-1.20%

6M

6.72%

1Y

18.21%

5Y*

12.53%

10Y*

11.04%

*Annualized

Compare stocks, funds, or ETFs

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Risk-Adjusted Performance

^SPTSX60 vs. ^GSPC — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^SPTSX60
The Risk-Adjusted Performance Rank of ^SPTSX60 is 9090
Overall Rank
The Sharpe Ratio Rank of ^SPTSX60 is 8888
Sharpe Ratio Rank
The Sortino Ratio Rank of ^SPTSX60 is 8989
Sortino Ratio Rank
The Omega Ratio Rank of ^SPTSX60 is 8888
Omega Ratio Rank
The Calmar Ratio Rank of ^SPTSX60 is 9898
Calmar Ratio Rank
The Martin Ratio Rank of ^SPTSX60 is 8989
Martin Ratio Rank

^GSPC
The Risk-Adjusted Performance Rank of ^GSPC is 8383
Overall Rank
The Sharpe Ratio Rank of ^GSPC is 8181
Sharpe Ratio Rank
The Sortino Ratio Rank of ^GSPC is 8080
Sortino Ratio Rank
The Omega Ratio Rank of ^GSPC is 8282
Omega Ratio Rank
The Calmar Ratio Rank of ^GSPC is 8787
Calmar Ratio Rank
The Martin Ratio Rank of ^GSPC is 8888
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

^SPTSX60 vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P/TSX 60 Index (^SPTSX60) and S&P 500 (^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.


Sharpe ratio
The chart of Sharpe ratio for ^SPTSX60, currently valued at 1.02, compared to the broader market-0.500.000.501.001.502.002.501.021.47
The chart of Sortino ratio for ^SPTSX60, currently valued at 1.45, compared to the broader market0.001.002.003.001.451.99
The chart of Omega ratio for ^SPTSX60, currently valued at 1.18, compared to the broader market1.001.101.201.301.401.501.181.27
The chart of Calmar ratio for ^SPTSX60, currently valued at 1.02, compared to the broader market0.001.002.003.001.022.19
The chart of Martin ratio for ^SPTSX60, currently valued at 4.72, compared to the broader market0.005.0010.0015.0020.004.728.89
^SPTSX60
^GSPC

The current ^SPTSX60 Sharpe Ratio is 1.82, which is comparable to the ^GSPC Sharpe Ratio of 1.62. The chart below compares the historical Sharpe Ratios of ^SPTSX60 and ^GSPC, 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 Ratio0.001.002.003.004.00SeptemberOctoberNovemberDecember2025February
1.02
1.47
^SPTSX60
^GSPC

Drawdowns

^SPTSX60 vs. ^GSPC - Drawdown Comparison

The maximum ^SPTSX60 drawdown since its inception was -49.15%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ^SPTSX60 and ^GSPC. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%SeptemberOctoberNovemberDecember2025February
-3.13%
-2.13%
^SPTSX60
^GSPC

Volatility

^SPTSX60 vs. ^GSPC - Volatility Comparison

S&P/TSX 60 Index (^SPTSX60) and S&P 500 (^GSPC) have volatilities of 3.57% and 3.43%, 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%SeptemberOctoberNovemberDecember2025February
3.57%
3.43%
^SPTSX60
^GSPC
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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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