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Relative Intelligence · Life Insurance

How Sun Life Financial (SLF) compares with the whole market and its popular alternatives

Built by QuantCommons' quantitative engine, this page is about relative opportunity, not data on SLF alone. It places SLF (Sun Life Financial Inc.) against 19 popular alternatives, its neighboring categories and the entire market of over 10,000 U.S.-listed stocks and ETFs, and surfaces what has done better on consistent outperformance, return for the risk taken, behavior in real market crashes and diversification. The result is a clearer view of where SLF stands in the market, and of the alternatives worth a closer look.

Period covered: SLF's full trading record, from March 2000 through September 2026. The crash tests reach back to 2000 using older funds and the S&P 500. All returns include reinvested dividends. Data as of October 20, 2026.

Data as of October 20, 2026. Full tables and charts read best on a larger screen.

Rank the market against SLF →Chart SLF vs. 19 alternatives →
On this page12 sections

Key findings

How much would $10,000 in SLF have grown?

This chart tracks a hypothetical $10,000 investment in SLF over the past 26 years, with dividends reinvested, alongside the same amount in the S&P 500, investments that ended ahead of SLF over the same span and SLF's popular alternatives, among those that traded for the entire period. A second view covers the past 5 years, the period the better options further down the page are judged on. It shows not only where each investment ended up but also how smooth or uneven the path was.

Choose a period

From the end of September 2000 to the end of September 2026. The scale is logarithmic, so equal steps up the chart are equal percentage gains. Hover over a fund in the key to pick out its line. 574 of the 1,261 stocks and funds worth at least $500 million that traded the whole period ended ahead of SLF; the chart shows 5, closest alternatives first. The other 3 lines are popular alternatives, shown for context.

$5,000$10,000$20,000$50,000$100,000$200,000$500,0002000200420082012201620202024$10,000$100,0002000200720142021
  • BLK$562,061+5,521% total · +16.8% a year
  • RY$339,535+3,295% total · +14.5% a year
  • TD$220,226+2,102% total · +12.6% a year
  • GL$170,782+1,608% total · +11.5% a year
  • AFL$118,413+1,084% total · +10.0% a year
  • SLF$101,648+916% total · +9.3% a year
  • MFC$98,587+886% total · +9.2% a year
  • SPY (S&P 500)$84,332+743% total · +8.5% a year
  • MET$74,791+648% total · +8.0% a year
  • UNM$60,632+506% total · +7.2% a year
Change the dates or add tickers to this chart in EasyCompare

From the end of September 2021 to the end of September 2026. Hover over a fund in the key to pick out its line. 936 of the 3,628 stocks and funds worth at least $500 million that traded the whole period ended ahead of SLF; the chart shows 5, closest alternatives first. The other 3 lines are popular alternatives, shown for context.

$0$10,000$20,000$30,000$40,000$50,000$60,000$70,000202120222023202420252026$0$20,000$40,000$60,000$80,000202120222023202420252026
  • JXN$63,053+531% total · +44.5% a year
  • UNM$40,709+307% total · +32.4% a year
  • MFC$28,001+180% total · +22.9% a year
  • AFL$24,008+140% total · +19.1% a year
  • RY$23,646+136% total · +18.8% a year
  • TD$21,998+120% total · +17.1% a year
  • AMP$20,051+101% total · +14.9% a year
  • EQH$19,636+96.4% total · +14.4% a year
  • SPY (S&P 500)$19,000+90.0% total · +13.7% a year
  • SLF$18,746+87.5% total · +13.4% a year
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SLF at a glance

This section summarizes the key facts about the stock, its returns over periods from one to ten years and the risk it has carried, with dividends reinvested throughout. These figures serve as the baseline for every comparison that follows.

The company

Market value
$44B
Industry
Insurance - Diversified
Price history from
March 2000

Returns

Past 1 year
+35.5%total return
Past 3 years
+96.3%+25.2% a year
Past 5 years
+74.1%+11.7% a year
Past 10 years
+255%+13.5% a year
Best calendar year
+52.5%2012
Worst calendar year
−57.0%2008
Losing years
7 of 25full calendar years

Risk

Volatility
19.4%typical yearly swing, 5 years
Sharpe ratio
0.67return per unit of risk, 5 years
Worst decline ever
−78.8%Oct 2007 to Mar 2009
From its all-time high
−4.4%below the peak

SLF against the whole market

Where SLF ranks among every stock and fund, and what across the market has done better.

How does SLF rank among all stocks?

This section ranks SLF on return, volatility, risk-adjusted return and worst decline against every stock worth at least $300 million with enough history. Where the comparisons with its popular alternatives show how SLF stacks up against its peers, these rankings show where it stands in the market as a whole.

Ranked against U.S.-listed stocks worth at least $300M that have enough history for each measure, so the count changes from row to row; smaller stocks are left out. Lower volatility and smaller declines rank higher.

MeasureSLFRankStanding
1-year return+35.5%839 of 3,287top 26%
3-year return+96.3%950 of 3,017top 31%
5-year return+74.1%869 of 2,893top 30%
10-year return+255%699 of 2,202top 32%
Volatility, 5 years19.4%79 of 2,893top 3%
Sharpe ratio, 5 years0.67524 of 2,893top 18%
Worst decline, past 10 years−50.8%493 of 2,187top 23%

What has beaten SLF on both return and risk?

Each dot is an investment, placed by how much it earned a year over the past 5 years (higher is better) and how much its price swung, its volatility (further left is calmer). SLF sits where the dashed lines cross. Anything in the green box above and to the left earned more than SLF with smaller swings, a better trade-off over this period on both counts. Past results are no promise, but a name in the box is worth a closer look.

Annual return is the annualized total return with dividends reinvested, and volatility the annualized swing in daily prices, both over 5 years. Labeled dots are the strongest picks from the table below and the names called out above, colored by how close they sit to SLF; faint dots are 39 more of the 76 in the green region (the strongest, one per fund family). 3,633 stocks and funds worth at least $500 million were screened. Hover over a dot for its figures.

10.0%12.5%15.0%17.5%20.0%22.5%25.0%27.5%30.0%32.5%10.0%15.0%20.0%25.0%30.0%35.0%Volatility over 5 years (annualized)Annual return over 5 yearsMore return, less volatility than SLFKO: +14.7% a year, volatility 16.8%EQL: +13.5% a year, volatility 14.5%DGT: +13.8% a year, volatility 15.1%DYNF: +14.7% a year, volatility 17.5%EFV: +13.6% a year, volatility 15.9%ATO: +14.9% a year, volatility 18.4%FNDF: +13.6% a year, volatility 16.3%AVLV: +14.0% a year, volatility 16.9%PVAL: +16.1% a year, volatility 15.1%HDV: +12.9% a year, volatility 13.0%AVDV: +13.9% a year, volatility 17.4%RWL: +13.7% a year, volatility 14.4%FDVV: +13.2% a year, volatility 14.6%DBEF: +13.1% a year, volatility 13.8%FDL: +13.9% a year, volatility 14.4%JQUA: +13.6% a year, volatility 15.7%EMLP: +14.9% a year, volatility 14.5%USMC: +14.1% a year, volatility 16.4%GCOW: +14.1% a year, volatility 13.6%IDMO: +13.3% a year, volatility 18.2%FTGC: +12.9% a year, volatility 15.6%WTV: +13.4% a year, volatility 17.0%DIVI: +13.4% a year, volatility 15.5%HDEF: +12.8% a year, volatility 14.2%FLQL: +13.8% a year, volatility 16.3%PWV: +13.5% a year, volatility 14.2%AUSF: +13.2% a year, volatility 13.6%VFMF: +14.3% a year, volatility 17.6%HLAL: +14.0% a year, volatility 18.0%DTH: +13.0% a year, volatility 15.1%EWJV: +14.9% a year, volatility 18.2%JNJ: +12.7% a year, volatility 17.9%FYLD: +13.1% a year, volatility 16.0%SIXA: +12.8% a year, volatility 12.7%IDOG: +14.1% a year, volatility 15.6%VSLU: +13.7% a year, volatility 16.2%EPD: +16.4% a year, volatility 17.1%MLPA: +15.2% a year, volatility 17.2%TPYP: +16.9% a year, volatility 17.3%SLF: +11.7% a year, volatility 19.4%SPY (S&P 500): +12.7% a year, volatility 17.1%RY: +17.3% a year, volatility 18.2%TD: +15.8% a year, volatility 20.0%MFC: +22.6% a year, volatility 24.0%UNM: +30.6% a year, volatility 29.3%AFL: +19.0% a year, volatility 20.8%BRK-B: +13.4% a year, volatility 17.1%CB: +15.7% a year, volatility 20.4%TRV: +22.4% a year, volatility 22.3%THG: +14.4% a year, volatility 22.9%WRB: +18.9% a year, volatility 22.9%AIZ: +13.3% a year, volatility 25.3%IVV: +12.8% a year, volatility 17.0%VLUE: +15.9% a year, volatility 18.4%DIVB: +13.9% a year, volatility 15.4%AMGN: +19.6% a year, volatility 24.9%IOO: +15.7% a year, volatility 17.2%RS: +24.8% a year, volatility 28.1%DGRO: +10.9% a year, volatility 13.7%NXTG: +16.2% a year, volatility 19.1%LVHI: +17.0% a year, volatility 11.1%SDCI: +20.6% a year, volatility 18.4%SLFSPY (S&P 500)RYTDMFCUNMAFLBRK-BCBTRVTHGWRBAIZVLUEDIVBAMGNIOORSDGROLVHISDCI10.0%15.0%20.0%25.0%30.0%35.0%10.0%15.0%20.0%25.0%30.0%35.0%Volatility over 5 years (annualized)Annual return over 5 yearsMore return, less volatility than SLFKO: +14.7% a year, volatility 16.8%EQL: +13.5% a year, volatility 14.5%DGT: +13.8% a year, volatility 15.1%DYNF: +14.7% a year, volatility 17.5%EFV: +13.6% a year, volatility 15.9%ATO: +14.9% a year, volatility 18.4%FNDF: +13.6% a year, volatility 16.3%AVLV: +14.0% a year, volatility 16.9%PVAL: +16.1% a year, volatility 15.1%HDV: +12.9% a year, volatility 13.0%AVDV: +13.9% a year, volatility 17.4%RWL: +13.7% a year, volatility 14.4%FDVV: +13.2% a year, volatility 14.6%DBEF: +13.1% a year, volatility 13.8%FDL: +13.9% a year, volatility 14.4%JQUA: +13.6% a year, volatility 15.7%EMLP: +14.9% a year, volatility 14.5%USMC: +14.1% a year, volatility 16.4%GCOW: +14.1% a year, volatility 13.6%IDMO: +13.3% a year, volatility 18.2%FTGC: +12.9% a year, volatility 15.6%WTV: +13.4% a year, volatility 17.0%DIVI: +13.4% a year, volatility 15.5%HDEF: +12.8% a year, volatility 14.2%FLQL: +13.8% a year, volatility 16.3%PWV: +13.5% a year, volatility 14.2%AUSF: +13.2% a year, volatility 13.6%VFMF: +14.3% a year, volatility 17.6%HLAL: +14.0% a year, volatility 18.0%DTH: +13.0% a year, volatility 15.1%EWJV: +14.9% a year, volatility 18.2%JNJ: +12.7% a year, volatility 17.9%FYLD: +13.1% a year, volatility 16.0%SIXA: +12.8% a year, volatility 12.7%IDOG: +14.1% a year, volatility 15.6%VSLU: +13.7% a year, volatility 16.2%EPD: +16.4% a year, volatility 17.1%MLPA: +15.2% a year, volatility 17.2%TPYP: +16.9% a year, volatility 17.3%SLF: +11.7% a year, volatility 19.4%SPY (S&P 500): +12.7% a year, volatility 17.1%RY: +17.3% a year, volatility 18.2%TD: +15.8% a year, volatility 20.0%MFC: +22.6% a year, volatility 24.0%UNM: +30.6% a year, volatility 29.3%AFL: +19.0% a year, volatility 20.8%BRK-B: +13.4% a year, volatility 17.1%CB: +15.7% a year, volatility 20.4%TRV: +22.4% a year, volatility 22.3%THG: +14.4% a year, volatility 22.9%WRB: +18.9% a year, volatility 22.9%AIZ: +13.3% a year, volatility 25.3%IVV: +12.8% a year, volatility 17.0%VLUE: +15.9% a year, volatility 18.4%DIVB: +13.9% a year, volatility 15.4%AMGN: +19.6% a year, volatility 24.9%IOO: +15.7% a year, volatility 17.2%RS: +24.8% a year, volatility 28.1%DGRO: +10.9% a year, volatility 13.7%NXTG: +16.2% a year, volatility 19.1%LVHI: +17.0% a year, volatility 11.1%SDCI: +20.6% a year, volatility 18.4%SLFSPY (S&P 500)RYTDMFCUNMAFLBRK-BCBTRVTHGWRBAIZVLUEAMGNRSDGROLVHISDCI
  • Popular alternatives
  • Same and neighboring categories, and shared themes
  • The whole market
  • Others in the green region
  • 1 with more than 1.6× SLF's volatility is in the table only

Is there a better investment than SLF?

Investments that beat SLF over the past 5 years on return, volatility, drawdowns, consistency, crash losses or fees, from its popular alternatives out to the whole market.

How this works

The table below lists investments that beat SLF over the past 5 years on at least one of these measures: a higher annual return with lower volatility, a higher annual return at similar volatility, a similar return with lower volatility, a higher Sharpe ratio with a smaller worst decline, a higher total return in most periods from 3 months to 10 years, or smaller losses in recent market crashes. It checks SLF's popular alternatives first, then the rest of its own and neighboring categories, then every stock and fund worth at least $500 million, and shows the strongest few in each group. The full list of those with a higher return and lower volatility than SLF follows the table.

Annual return is the annualized total return with dividends reinvested. Annual return, volatility and the Sharpe ratio cover 5 years; the worst decline covers the past 10 years. Green marks a better figure than SLF's. "On the frontier" means no other option shown or tested earned more with less volatility. Funds that hold the same thing are shown once. Beyond the popular alternatives, nothing with more than 1.5× SLF's volatility counts as better.

These figures cover the past 5 years. Green marks a better figure than SLF's.

Screen the whole market against SLF for any period in BetterThanSPYOpen these 21 in EasyCompare
InvestmentWhy it is betterPast 5 yearsDownsideLong runFit
Annual return?higher is betterVolatility?lower is calmerSharpe?return per unit of riskWorst decline?past 10 years10Y returntotalCorr. with SLF?lower diversifies moreExpenseper year
SLFSun Life Financial Inc. · this page
+11.7%19.4%0.67−50.8%+255%1.00—
SPYState Street SPDR S&P 500 ETF · S&P 500
+12.7%17.1%0.79−33.7%+321%0.670.09%
Popular alternativesbest 6 shownThe investments people most often weigh against SLF. 7 of 16 passed at least one test.
RYRoyal Bank of Canada · Banks
On the frontierHigher return, lower volatilityHigher Sharpe, smaller worst decline+17.3%18.2%0.97−40.0%+352%0.68—
TDThe Toronto-Dominion Bank · Banks
Higher return, similar volatilityHigher Sharpe, smaller worst declineHigher return in most periods+15.8%20.0%0.84−42.0%+310%0.66—
MFCManulife Financial Corporation · Life Insurance
Higher return in most periods+22.6%24.0%0.97−57.5%+373%0.73—
UNMUnum Group · Life Insurance
Higher return in most periods+30.6%29.3%1.06−81.0%+256%0.19—
JXNJackson Financial Inc. · Life Insurance
Higher return in most periods+41.7%43.3%1.03−48.4%—0.31—
AFLAflac Incorporated · Life Insurance
Higher return, similar volatility+19.0%20.8%0.95−54.9%+335%0.58—
Same and neighboring categories, and shared themesbest 6 shownEverything else in Life Insurance and Insurance and the categories next to it (Property & Casualty Insurance, Asset Management, Retirement Services), plus SLF's specific themes. 14 of 64 passed at least one test.
BRK-BBerkshire Hathaway Inc. · Insurance
Higher return, lower volatilityHigher Sharpe, smaller worst declineSmaller losses in recent crashes+13.4%17.1%0.82−29.6%+274%0.49—
CBChubb Limited · Property & Casualty Insurance
Higher return, similar volatilityHigher Sharpe, smaller worst declineSmaller losses in recent crashes+15.7%20.4%0.82−42.6%+248%0.53—
TRVThe Travelers Companies, Inc. · Property & Casualty Insurance
Higher return in most periodsSmaller losses in recent crashes+22.4%22.3%1.02−46.3%+347%0.57—
THGThe Hanover Insurance Group, Inc. · Property & Casualty Insurance
Higher return in most periodsSmaller losses in recent crashes+14.4%22.9%0.70−40.1%+291%0.42—
WRBW. R. Berkley Corporation · Property & Casualty Insurance
Higher Sharpe, smaller worst declineSmaller losses in recent crashes+18.9%22.9%0.87−45.3%+443%0.39—
AIZAssurant, Inc. · Property & Casualty Insurance
Higher return in most periods+13.3%25.3%0.62−44.6%+312%0.45—
The whole marketbest 8 shownEvery other stock and fund worth at least $500 million. 271 of 3,553 passed at least one test.
IVViShares Core S&P 500 ETF · US Large-Cap Equity
Higher return, lower volatilityHigher Sharpe, smaller worst declineSmaller losses in recent crashes+12.8%17.0%0.80−33.9%+324%0.670.03%
VLUEiShares MSCI USA Value Factor ETF · US Large-Cap Value
Higher return, lower volatilityHigher Sharpe, smaller worst declineHigher return in most periods+15.9%18.4%0.90−39.5%+286%0.570.15%
DIVBiShares Core Dividend ETF · Dividend & Income
Higher return, lower volatilityHigher Sharpe, smaller worst declineHigher return in most periods+13.9%15.4%0.93−36.9%—0.660.05%
AMGNAmgen Inc. · Biotechnology
Higher Sharpe, smaller worst declineHigher return in most periodsSmaller losses in recent crashes+19.6%24.9%0.85−24.9%+266%0.09—
IOOiShares Global 100 ETF · Global Equity
Higher return, lower volatilityHigher Sharpe, smaller worst declineSmaller losses in recent crashes+15.7%17.2%0.94−31.4%+361%0.620.40%
RSReliance Steel & Aluminum Co. · Metals & Mining
Higher Sharpe, smaller worst declineHigher return in most periodsSmaller losses in recent crashes+24.8%28.1%0.93−40.8%+626%0.35—
DGROiShares Core Dividend Growth ETF · US Dividend Equity
Similar return, lower volatilityHigher Sharpe, smaller worst declineSmaller losses in recent crashes+10.9%13.7%0.83−35.1%+267%0.680.08%
NXTGFirst Trust Indxx NextG ETF · Technology
Higher return, similar volatilityHigher Sharpe, smaller worst declineHigher return in most periods+16.2%19.1%0.89−33.6%+330%0.560.70%
What these numbers mean for SLF
Annual return
SLF returned 11.7% a year over the past 5 years with dividends reinvested, against 12.7% a year for the S&P 500. At that pace, $10,000 became about $17,400. Annual return is the steady yearly rate that would produce the same total result, so investments held over the same span compare fairly. Guide: What is performance and return? →
Volatility
SLF's volatility over the past 5 years was 19.4%, 1.1 times the S&P 500's 17.1%. Volatility measures how widely returns swing around their average: in roughly two years out of three, SLF's return lands within 19.4% of its average, either way. The higher it is, the rougher the ride and the harder it is to hold through a slump. Guide: Understanding and measuring risk (volatility) →
Sharpe ratio
SLF's Sharpe ratio over the past 5 years was 0.67, against 0.79 for the S&P 500, so SLF earned less for each unit of risk than an index fund did. The Sharpe ratio is the return earned above cash for each unit of volatility: two investments with the same return are not equal if one got there with far bigger swings. Guide: Balancing reward with risk (Sharpe ratio) →
Worst decline
SLF's worst fall from a peak to a low over the past 10 years was 50.8%, against 33.7% for the S&P 500. Losses and gains are not symmetric: climbing back from a 50.8% fall takes a 103% gain. Guide: Market crash risk and tail risk →
Correlation
Over the past 5 years, SLF's monthly returns had a correlation of 0.67 with the S&P 500. Correlation runs from 1 (moving in lockstep) through 0 (unrelated) to −1 (moving in opposite directions). They often move together: some diversification next to an index fund, but not a cushion. In the table, the correlation column measures each option against SLF instead: the lower it is, the more that option would diversify a SLF holding. Guide: Correlation and diversification →
Show all 76 stocks and funds worth at least $500 million that earned more than SLF with less volatility

Out of 3,633 tested over 5 years. The strongest 47 are listed, best first, with funds that hold the same thing listed once.

#InvestmentFound inAnnual returnVolatilitySharpeWorst decline10Y returnCorr. with SLFExpense
1
IVViShares Core S&P 500 ETF · US Large-Cap Equity
Whole market+12.8%17.0%0.80−33.9%+324%0.670.03%
2
VLUEiShares MSCI USA Value Factor ETF · US Large-Cap Value
Whole market+15.9%18.4%0.90−39.5%+286%0.570.15%
3
DIVBiShares Core Dividend ETF · Dividend & Income
Whole market+13.9%15.4%0.93−36.9%—0.660.05%
4
BRK-BBerkshire Hathaway Inc. · Insurance
Same or nearby category+13.4%17.1%0.82−29.6%+274%0.49—
5
IOOiShares Global 100 ETF · Global Equity
Whole market+15.7%17.2%0.94−31.4%+361%0.620.40%
6
LVHIFranklin International Low Volatility High Dividend Index ETF · International Equity
Whole market+17.0%11.1%1.48−32.4%+194%0.570.40%
7
KOThe Coca-Cola Company · Food & Beverages
Whole market+14.7%16.8%0.91−37.0%+204%0.39—
8
RYRoyal Bank of Canada · Banks
Popular alternative+17.3%18.2%0.97−40.0%+352%0.68—
9
EQLALPS Equal Sector Weight ETF · Broad Market
Whole market+13.5%14.5%0.94−34.2%+387%0.700.19%
10
DGTState Street SPDR Global Dow ETF · International
Whole market+13.8%15.1%0.94−34.4%+261%0.720.50%
11
DYNFiShares U.S. Equity Factor Rotation Active ETF · US Multifactor Equity
Whole market+14.7%17.5%0.87−34.7%—0.650.26%
12
SDCIUSCF SummerHaven Dynamic Commodity Strategy No K-1 Fund · Bonds
Whole market+20.6%18.4%1.12−45.7%—0.150.80%
13
EFViShares MSCI EAFE Value ETF · International Equity
Whole market+13.6%15.9%0.88−43.2%+157%0.670.31%
14
ATOAtmos Energy Corporation · Gas Utilities
Whole market+14.9%18.4%0.85−32.9%+194%0.49—
15
FNDFSchwab Fundamental International Large Company Index ETF · International Equity
Whole market+13.6%16.3%0.87−40.2%+194%0.660.25%
16
AVLVAvantis U.S. Large Cap Value ETF · US Large-Cap Value
Whole market+14.0%16.9%0.86−19.5%—0.650.15%
17
PVALPutnam Focused Large Cap Value ETF · US Large-Cap Value
Whole market+16.1%15.1%1.07−41.3%—0.670.56%
18
HDViShares Core High Dividend ETF · US Dividend Equity
Whole market+12.9%13.0%1.00−37.0%+172%0.490.08%
19
AVDVAvantis International Small Cap Value ETF · International Equity
Whole market+13.9%17.4%0.84−43.0%—0.580.36%
20
RWLInvesco S&P 500 Revenue ETF · US Large-Cap Equity
Whole market+13.7%14.4%0.97−36.1%+287%0.690.39%
21
FDVVFidelity High Dividend ETF · US Dividend Equity
Whole market+13.2%14.6%0.92−40.2%+253%0.670.15%
22
DBEFXtrackers MSCI EAFE Hedged Equity ETF · International Equity
Whole market+13.1%13.8%0.96−32.5%+206%0.640.35%
23
FDLFirst Trust Morningstar Dividend Leaders Index Fund · US Dividend Equity
Whole market+13.9%14.4%0.98−41.4%+199%0.470.43%
24
JQUAJPMorgan U.S. Quality Factor ETF · US Quality Equity
Whole market+13.6%15.7%0.89−32.9%—0.690.12%
25
EMLPFirst Trust North American Energy Infrastructure Fund · Energy Infrastructure
Whole market+14.9%14.5%1.04−43.6%+150%0.560.95%
26
USMCPrincipal U.S. Mega-Cap ETF · Broad Market
Whole market+14.1%16.4%0.89−30.0%—0.650.12%
27
GCOWPacer Global Cash Cows Dividend ETF · International
Whole market+14.1%13.6%1.04−37.6%+168%0.510.60%
28
IDMOInvesco S&P International Developed Momentum ETF · International Equity
Whole market+13.3%18.2%0.78−31.3%+229%0.710.25%
29
FTGCFirst Trust Global Tactical Commodity Strategy Fund · Alternatives
Whole market+12.9%15.6%0.86−35.9%+139%0.100.98%
30
WTVWisdomTree U.S. Value Fund · Broad Market
Whole market+13.4%17.0%0.83−42.2%+303%0.650.12%
31
DIVIFranklin International Core Dividend Tilt Index ETF · International
Whole market+13.4%15.5%0.89−27.7%+184%0.660.09%
32
HDEFXtrackers MSCI EAFE High Dividend Yield Equity ETF · International
Whole market+12.8%14.2%0.92−36.4%+134%0.640.09%
33
FLQLFranklin U.S. Large Cap Multifactor Index ETF · Broad Market
Whole market+13.8%16.3%0.88−33.6%—0.650.15%
34
PWVInvesco Large Cap Value ETF · Broad Market
Whole market+13.5%14.2%0.97−37.6%+223%0.650.55%
35
AUSFGlobal X - Adaptive U.S. Factor ETF · International
Whole market+13.2%13.6%0.99−44.2%—0.530.27%
36
VFMFVanguard U.S. Multifactor ETF · Broad Market
Whole market+14.3%17.6%0.85−41.3%—0.630.18%
37
HLALWahed FTSE USA Shariah ETF · Broad Market
Whole market+14.0%18.0%0.82−33.6%—0.590.50%
38
DTHWisdomTree International High Dividend Fund · International
Whole market+13.0%15.1%0.89−40.8%+131%0.630.58%
39
EWJViShares MSCI Japan Value ETF · International
Whole market+14.9%18.2%0.86−30.1%—0.490.15%
40
JNJJohnson & Johnson · Pharmaceuticals
Whole market+12.7%17.9%0.76−27.4%+196%0.19—
41
FYLDCambria Foreign Shareholder Yield ETF · Dividend & Income
Whole market+13.1%16.0%0.85−44.6%+203%0.590.59%
42
SIXAETC 6 Meridian Mega Cap Equity ETF · Broad Market
Whole market+12.8%12.7%1.01−18.4%—0.630.31%
43
IDOGALPS International Sector Dividend Dogs ETF · International
Whole market+14.1%15.6%0.93−37.3%+180%0.590.50%
44
VSLUApplied Finance Valuation Large Cap ETF · Broad Market
Whole market+13.7%16.2%0.88−23.8%—0.640.49%
45
EPDEnterprise Products Partners L.P. · Oil & Gas Midstream
Whole market+16.4%17.1%0.98−58.1%+178%0.38—
46
MLPAGlobal X - MLP ETF · Energy
Whole market+15.2%17.2%0.91−74.3%+80.0%0.360.77%
47
TPYPTortoise North American Pipeline ETF · Energy
Whole market+16.9%17.3%0.99−51.9%+184%0.520.40%

SLF against its popular alternatives

The investments people most often weigh against SLF, compared period by period and year by year.

How do SLF's risk and return compare with its alternatives?

This map plots each investment's annual return over the past 5 years against its volatility, the size of its typical price swings. Investments toward the upper left earned more for a smoother ride, and those toward the lower right earned less for a rougher one. The dashed lines cross at SLF, which divides the map into what did better or worse on each measure.

Green points earned more than SLF with less volatility; red points earned less with more. Hover over a point for its figures. Total returns with dividends reinvested, annualized.

15.0%20.0%25.0%30.0%35.0%40.0%45.0%−10.0%0.0%10.0%20.0%30.0%40.0%50.0%Volatility over 5 years (annualized)Annual return over 5 yearsHigher return, lower volatilityLower return, higher volatilitySLF: 11.7% a year, volatility 19.4%SPY (S&P 500): 12.7% a year, volatility 17.1%RY: 17.3% a year, volatility 18.2%BLK: 7.1% a year, volatility 27.1%LNC: −7.4% a year, volatility 42.7%VOYA: 8.8% a year, volatility 28.9%PRU: 5.2% a year, volatility 25.5%BHF: −1.7% a year, volatility 42.6%TD: 15.8% a year, volatility 20.0%MFC: 22.6% a year, volatility 24.0%JXN: 41.7% a year, volatility 43.3%UNM: 30.6% a year, volatility 29.3%EQH: 12.6% a year, volatility 32.9%AFL: 19.0% a year, volatility 20.8%AMP: 12.1% a year, volatility 27.8%MET: 12.0% a year, volatility 25.4%PFG: 13.0% a year, volatility 26.5%GL: 12.4% a year, volatility 35.6%SLFSPY (S&P 500)RYBLKLNCVOYAPRUBHFTDMFCJXNUNMEQHAFLAMPMETPFGGL10.0%20.0%30.0%40.0%50.0%−10.0%0.0%10.0%20.0%30.0%40.0%50.0%Volatility over 5 years (annualized)Annual return over 5 yearsHigher return, lower volatilityLower return, higher volatilitySLF: 11.7% a year, volatility 19.4%SPY (S&P 500): 12.7% a year, volatility 17.1%RY: 17.3% a year, volatility 18.2%BLK: 7.1% a year, volatility 27.1%LNC: −7.4% a year, volatility 42.7%VOYA: 8.8% a year, volatility 28.9%PRU: 5.2% a year, volatility 25.5%BHF: −1.7% a year, volatility 42.6%TD: 15.8% a year, volatility 20.0%MFC: 22.6% a year, volatility 24.0%JXN: 41.7% a year, volatility 43.3%UNM: 30.6% a year, volatility 29.3%EQH: 12.6% a year, volatility 32.9%AFL: 19.0% a year, volatility 20.8%AMP: 12.1% a year, volatility 27.8%MET: 12.0% a year, volatility 25.4%PFG: 13.0% a year, volatility 26.5%GL: 12.4% a year, volatility 35.6%SLFSPY (S&P 500)RYBLKLNCVOYAPRUBHFTDMFCJXNUNMEQHAFL
All figures
InvestmentAnnual returnVolatility
JXN Jackson Financial Inc.+41.7%43.3%
UNM Unum Group+30.6%29.3%
MFC Manulife Financial Corporation+22.6%24.0%
AFL Aflac Incorporated+19.0%20.8%
RY Royal Bank of Canada+17.3%18.2%
TD The Toronto-Dominion Bank+15.8%20.0%
PFG Principal Financial Group, Inc.+13.0%26.5%
SPY S&P 500State Street SPDR S&P 500 ETF+12.7%17.1%
EQH Equitable Holdings, Inc.+12.6%32.9%
GL Globe Life Inc.+12.4%35.6%
AMP Ameriprise Financial, Inc.+12.1%27.8%
MET MetLife, Inc.+12.0%25.4%
SLF This pageSun Life Financial Inc.+11.7%19.4%
VOYA Voya Financial, Inc.+8.8%28.9%
BLK BlackRock, Inc.+7.1%27.1%
PRU Prudential Financial, Inc.+5.2%25.5%
BHF Brighthouse Financial, Inc.−1.7%42.6%
LNC Lincoln National Corporation−7.4%42.7%
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Has SLF consistently beaten its popular alternatives?

This section compares SLF with the investments people most often weigh against it, checking each one over eight periods from one month to ten years. Counting how often an alternative earned more than SLF helps separate lasting outperformance from a single strong stretch.

A green cell means the alternative earned more than SLF over that period. "Qualified" marks those that did so in at least 3 of 5 short-term periods and 2 of 3 long-term periods.

InvestmentPeriods outperformed Short termLong termRisk · 5 yearsFund
1M3M6MYTD1Y3Y5Y10YVolatilitylower is calmerSharpehigher is betterWorst declinepast 10 yearsExpenseAssetsOverlapsame sectors
SLF Sun Life Financial Inc. (this page)—−2.2%−0.4%+15.2%+30.4%+35.5%+96.3%+74.1%+255%19.4%0.67−50.8%—$44B—
TD QualifiedThe Toronto-Dominion Bank5/5 short3/3 longAll-weather−0.9%+2.1%+16.3%+33.1%+57.5%+141%+109%+310%20.0%0.84−42.0%—$206B—
MFC QualifiedManulife Financial Corporation4/5 short3/3 longAll-weather−0.2%+5.5%+17.4%+26.1%+44.8%+189%+177%+373%24.0%0.97−57.5%—$74B—
JXN QualifiedJackson Financial Inc.4/5 short2/3 long−1.1%+6.7%+18.9%+24.3%+37.6%+269%+472%—43.3%1.03−48.4%—$8.8B—
UNM QualifiedUnum Group3/5 short2/3 long−0.1%+5.8%+19.3%+23.2%+26.4%+106%+279%+256%29.3%1.06−81.0%—$15B—
EQH QualifiedEquitable Holdings, Inc.3/5 short2/3 long+0.3%+13.0%+31.5%+15.0%+15.6%+116%+81.1%—32.9%0.53−61.3%—$15B—
RY Banks - DiversifiedRoyal Bank of Canada1/5 short3/3 long−3.5%−4.8%+12.0%+18.9%+39.2%+173%+122%+352%18.2%0.97−40.0%—$276B—
AFL Insurance - LifeAflac Incorporated1/5 short2/3 long+4.4%−2.6%+6.0%+10.8%+12.9%+65.2%+139%+335%20.8%0.95−54.9%—$60B—
AMP Asset ManagementAmeriprise Financial, Inc.0/5 short2/3 long−9.0%−7.0%+7.5%−0.3%+4.5%+62.6%+76.8%+507%27.8%0.55−53.9%—$43B—
MET Insurance - LifeMetLife, Inc.3/5 short1/3 long+4.7%+9.5%+32.0%+28.6%+32.2%+84.0%+76.5%+240%25.4%0.58−55.2%—$64B—
BLK Asset ManagementBlackRock, Inc.2/5 short1/3 long+3.5%+7.6%+8.8%+5.7%−0.6%+96.3%+41.1%+313%27.1%0.39−43.9%—$175B—
PFG Asset ManagementPrincipal Financial Group, Inc.1/5 short1/3 long−7.3%−2.9%+14.0%+23.7%+41.4%+76.3%+84.6%+196%26.5%0.60−64.7%—$23B—
GL Insurance - LifeGlobe Life Inc.1/5 short1/3 long−1.2%−7.7%+12.8%+23.6%+26.3%+58.0%+79.7%+188%35.6%0.56−61.6%—$13B—
LNC Insurance - LifeLincoln National Corporation0/5 short1/3 long−4.1%−3.9%+9.0%−8.0%+6.2%+111%−32.1%+20.1%42.7%0.04−79.2%—$7.6B—
CRBG Asset ManagementCorebridge Financial, Inc.3/5 short0/3 long+0.4%+12.7%+32.2%+18.2%+13.8%+98.8%————−36.3%—$16B—
VOYA Insurance - LifeVoya Financial, Inc.1/5 short0/3 long−4.9%−2.6%+28.0%+28.6%+32.6%+55.8%+52.3%+253%28.9%0.44−52.1%—$8.7B—
BAM Asset ManagementBrookfield Asset Management Ltd.1/5 short0/3 long−0.6%−2.1%−4.5%−11.4%−12.5%+67.9%————−30.4%—$73B—
PRU Insurance - LifePrudential Financial, Inc.0/5 short0/3 long−2.8%−1.2%+15.2%+5.2%+19.6%+47.5%+29.0%+117%25.5%0.33−65.9%—$40B—
BHF Insurance - LifeBrighthouse Financial, Inc.0/5 short0/3 long−4.4%−26.6%−23.0%−26.2%+2.2%+3.1%−8.1%—42.6%0.17−76.9%—$2.7B—
FG Insurance - LifeF&G Annuities & Life, Inc.0/5 short0/3 long−11.9%−33.9%−24.1%−30.9%−29.0%−25.8%————−58.8%—$2.7B—
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How did SLF do year by year?

This table shows each investment's total return in every full calendar year since 2001, along with where SLF ranked among its popular alternatives each year. Annual results reveal how consistently each one kept pace with SLF and how far its good and bad years diverged, detail that multiyear averages tend to smooth over.

Newest year first. Green marks a year in which the fund came out ahead of SLF; gray means the two finished within a fraction of a point. The rank row places SLF among the alternatives that traded the full year; dark green is the top quarter and red the bottom quarter.

InvestmentYears ahead of SLF2025202420232022202120202019201820172016201520142013201220112010200920082007200620052004200320022001
SLF This pageSun Life Financial Inc.—+9.7%+19.5%+16.9%−12.9%+29.7%+2.0%+42.7%−16.6%+10.3%+27.6%−10.2%+5.9%+39.3%+52.5%−34.9%+10.2%+31.1%−57.0%+35.5%+8.2%+22.7%+38.3%+51.6%−18.9%−17.2%
Rank among alternativesTop quarter in 4 of 2510 of 2013 of 2011 of 2015 of 1711 of 166 of 165 of 165 of 1513 of 148 of 147 of 147 of 1410 of 131 of 1312 of 1310 of 137 of 1310 of 133 of 1311 of 137 of 123 of 123 of 1210 of 129 of 10
SPY S&P 500State Street SPDR S&P 500 ETF13 of 25+17.7%+24.9%+26.2%−18.2%+28.7%+18.3%+31.2%−4.6%+21.7%+12.0%+1.2%+13.5%+32.3%+16.0%+1.9%+15.1%+26.4%−36.8%+5.1%+15.9%+4.8%+10.7%+28.2%−21.6%−11.7%
TD The Toronto-Dominion Bank16 of 25+85.3%−13.4%+4.5%−12.2%+41.3%+5.6%+17.5%−12.1%+22.9%+30.9%−14.9%+5.0%+16.1%+16.8%+4.1%+22.7%+85.4%−46.8%+20.4%+16.1%+30.7%+29.7%+61.4%−11.7%−7.2%
MFC Manulife Financial Corporation12 of 25+22.9%+45.2%+31.0%−1.3%+12.1%−7.1%+49.2%−29.3%+20.9%+23.6%−19.0%−0.6%+49.7%+33.5%−36.0%−3.3%+12.5%−56.9%+23.2%+17.2%+29.8%+45.7%+51.7%−15.4%−16.0%
JXN Jackson Financial Inc.4 of 4+26.9%+76.4%+57.2%−11.6%—————————————————————
UNM Unum Group11 of 25+8.6%+66.3%+13.7%+73.5%+11.9%−16.2%+2.7%−45.2%+27.2%+35.1%−2.6%+1.2%+71.9%+0.9%−11.6%+25.9%+6.9%−20.6%+16.1%−7.4%+28.9%+16.0%−7.6%−32.1%+0.8%
EQH Equitable Holdings, Inc.6 of 7+3.2%+45.0%+19.6%−10.2%+31.0%+6.5%+53.1%——————————————————
RY Royal Bank of Canada16 of 25+46.3%+23.8%+12.2%−8.0%+34.1%+8.4%+20.2%−12.9%+23.9%+31.8%−19.3%+6.7%+16.0%+23.3%+1.2%+1.4%+89.3%−39.4%+10.7%+26.0%+50.7%+15.9%+33.6%+15.8%−0.9%
AFL Aflac Incorporated11 of 25+8.9%+28.1%+17.3%+26.4%+34.6%−13.6%+18.6%+6.2%+29.0%+19.1%+0.5%−6.2%+28.9%+26.4%−21.3%+24.8%+4.3%−25.5%+38.3%+0.4%+17.6%+11.2%+21.4%+23.7%−31.6%
AMP Ameriprise Financial, Inc.13 of 20−6.7%+42.1%+24.0%+5.0%+57.9%+19.8%+64.0%−36.8%+56.4%+7.7%−17.8%+17.2%+88.4%+29.5%−12.3%+50.7%+70.6%−56.9%+2.1%+34.3%—————
MET MetLife, Inc.12 of 25−0.8%+27.7%−5.5%+19.2%+37.5%−3.4%+28.8%−15.8%+8.4%+15.9%−8.3%+3.0%+67.5%+7.9%−28.3%+27.9%+3.7%−42.2%+5.6%+21.7%+22.2%+21.8%+25.4%−13.9%−8.8%
BLK BlackRock, Inc.16 of 25+6.6%+29.3%+17.9%−20.4%+29.4%+47.2%+31.9%−21.6%+38.2%+14.6%−2.4%+15.7%+57.0%+19.8%−3.6%−15.9%+76.6%−37.0%+45.1%+41.8%+42.4%+47.6%+35.9%−5.5%−0.7%
PFG Principal Financial Group, Inc.11 of 24+18.4%+1.9%−2.8%+20.1%+51.4%−5.2%+29.7%−35.0%+25.5%+33.1%−10.8%+8.0%+77.2%+19.4%−22.3%+38.2%+8.6%−66.5%+18.8%+25.5%+17.3%+25.6%+11.3%+26.6%—
GL Globe Life Inc.12 of 25+26.5%−7.5%+1.8%+29.7%−0.5%−8.9%+42.3%−17.2%+23.9%+30.3%+6.3%+5.0%+53.2%+20.5%+10.2%+37.6%−0.5%−25.2%−4.3%+15.6%−1.9%+26.6%+25.9%−6.2%+3.2%
LNC Lincoln National Corporation12 of 25+48.0%+24.8%−5.5%−53.5%+39.5%−11.1%+17.9%−32.0%+18.0%+35.0%−11.5%+13.1%+102%+35.3%−29.6%+11.9%+33.5%−66.4%−10.3%+28.6%+17.2%+19.2%+32.9%−32.8%+5.4%
CRBG Corebridge Financial, Inc.2 of 3+3.9%+42.9%+25.3%——————————————————————
VOYA Voya Financial, Inc.6 of 12+11.1%−3.4%+20.7%−6.1%+14.0%−2.5%+52.8%−18.8%+26.3%+6.4%−12.8%+20.7%—————————————
BAM Brookfield Asset Management Ltd.2 of 3−0.3%+39.7%+45.6%——————————————————————
PRU Prudential Financial, Inc.12 of 24+0.2%+19.4%+10.1%−3.9%+45.3%−11.4%+20.1%−26.5%+13.6%+32.5%−7.4%+0.7%+77.1%+9.9%−12.1%+20.5%+66.8%−66.3%+9.7%+18.7%+34.5%+33.3%+33.4%−3.1%—
BHF Brighthouse Financial, Inc.3 of 8+34.9%−9.2%+3.2%−1.0%+43.1%−7.7%+28.7%−48.0%—————————————————
FG F&G Annuities & Life, Inc.1 of 3−23.6%−8.0%+137%——————————————————————
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Risk and diversification

How SLF has fallen, how it held up in crashes beside the S&P 500 and its popular alternatives, and what moves independently of it.

What were SLF's worst declines?

A drawdown is the decline from a peak to the lowest point before a new high. This section presents SLF's five deepest drawdowns since it began trading in 2000, alongside the S&P 500's return over the same dates, and how long each took to recover. Together, these figures show how much an investor could have lost and how long it took to get back to even.

Green means SLF fell less than the S&P 500 over the same dates. Based on daily closing prices with dividends reinvested.

DuringSLF fellS&P 500, same datesPeakLowTime to the lowBack at the peakTime to recover
2008 financial crisis−78.8%−54.7%Oct 2007Mar 200917 monthsNov 20167.7 years
Covid crash−50.8%−33.6%Feb 2020Mar 20201 monthJan 202110 months
Dot-com bust−42.3%−38.2%Dec 2000Oct 200222 monthsOct 200312 months
2022 bear market−30.8%−21.2%Feb 2022Oct 20228 monthsFeb 202416 months
Late-2018 sell-off−25.0%−15.5%Jan 2018Dec 201811 monthsJul 20197 months

How did SLF do in stock market crashes?

This section measures how far SLF, the S&P 500 and each alternative fell from peak to trough during every major market crash since 2000. A smaller decline means an investment held up better, and comparing results across crashes shows whether that resilience was consistent or a one-off.

Note: SLF began trading on March 23, 2000, so its row reads "Not yet trading" for the dot-com bust. The older alternatives and the S&P 500 show how those crashes played out.

Newest crash first. Each figure is the fund's deepest fall within the crash window; green means a smaller fall than SLF.

InvestmentHeld up better2023 regional bank crisisMar 20232022 bear marketJan 2022Covid crashFeb 2020Late-2018 sell-offSep 2018February 2018 volatility shockFeb 20182015 China and oil sell-offAug 20152011 euro debt crisisJul 20112010 flash crashMay 20102008 financial crisisOct 2007Dot-com bustMar 2000
SLF This pageSun Life Financial Inc.—−5.5%−30.8%−50.2%−20.3%−4.5%−23.8%−20.3%−1.4%−78.8%Not yet trading
SPY S&P 500State Street SPDR S&P 500 ETF7 of 9−3.4%−24.5%−33.7%−19.3%−6.5%−12.8%−17.9%−1.5%−55.2%−47.5%
TD The Toronto-Dominion Bank6 of 9−6.7%−29.0%−41.0%−20.9%−5.5%−18.1%−19.6%0.0%−63.4%−44.1%
MFC Manulife Financial Corporation3 of 9−6.1%−27.1%−55.1%−25.9%−2.6%−35.4%−35.3%0.0%−83.8%−42.9%
JXN Jackson Financial Inc.0 of 2−14.2%−48.4%————————
UNM Unum Group2 of 9−16.7%−14.8%−65.5%−32.2%−9.2%−34.8%−21.4%−1.0%−69.1%−47.6%
EQH Equitable Holdings, Inc.0 of 4−17.7%−30.6%−61.3%−33.2%——————
RY Royal Bank of Canada7 of 9−3.8%−26.0%−40.0%−17.1%−5.7%−23.1%−21.8%0.0%−63.1%−21.6%
AFL Aflac Incorporated3 of 9−6.0%−19.9%−51.0%−13.2%−6.4%−15.8%−31.4%−4.3%−82.7%−36.7%
AMP Ameriprise Financial, Inc.0 of 9−14.9%−31.5%−53.9%−35.3%−8.9%−38.2%−32.3%−2.6%−81.1%—
MET MetLife, Inc.1 of 9−12.6%−19.5%−55.0%−20.9%−6.9%−36.5%−36.3%−3.4%−82.3%—
BLK BlackRock, Inc.4 of 9−7.2%−40.8%−42.3%−25.2%−7.1%−19.9%−23.9%0.0%−60.4%−33.0%
PFG Principal Financial Group, Inc.1 of 9−13.3%−21.1%−56.3%−31.5%−9.0%−39.9%−26.8%−2.4%−91.5%—
GL Globe Life Inc.4 of 9−9.8%−16.6%−47.7%−20.5%−8.7%−22.7%−20.9%−3.3%−73.7%−27.4%
LNC Lincoln National Corporation0 of 9−21.0%−40.4%−72.0%−30.6%−11.1%−45.9%−48.5%−3.0%−92.4%−52.1%
CRBG Corebridge Financial, Inc.0 of 1−14.3%—————————
VOYA Voya Financial, Inc.1 of 6−11.2%−23.3%−52.1%−28.6%−8.9%−43.1%————
BAM Brookfield Asset Management Ltd.0 of 1−7.1%—————————
PRU Prudential Financial, Inc.1 of 9−13.3%−27.4%−58.2%−26.8%−11.9%−35.8%−27.9%−3.1%−88.3%—
BHF Brighthouse Financial, Inc.0 of 5−18.0%−35.2%−65.9%−37.4%−10.8%—————
FG F&G Annuities & Life, Inc.0 of 1−9.9%—————————
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How closely does SLF move with the S&P 500?

Upside capture measures how much of the S&P 500's gains an investment kept in the months the market rose, and downside capture how much of its losses it took in the months the market fell. An investment that captures more of the gains than the losses has compounded ahead of the market over time. This section compares SLF with its popular alternatives on both measures, and on beta (how strongly each has moved with the market), over the past 10 years.

Monthly total returns over the past 10 years, measured against SPY. 100% capture or a beta of 1.00 means moving in line with the S&P 500. Green marks a better figure than SLF's: more upside, less downside or a higher capture ratio. Sorted by capture ratio.

InvestmentUpside captureDownside captureCapture ratioBeta
SLF This pageSun Life Financial Inc.87%85%1.020.96
AFL Aflac Incorporated83%71%1.170.79
RY Royal Bank of Canada97%88%1.110.88
TD The Toronto-Dominion Bank89%80%1.100.88
MFC Manulife Financial Corporation110%110%1.001.10
GL Globe Life Inc.72%72%1.000.79
UNM Unum Group88%90%0.980.96
MET MetLife, Inc.91%97%0.941.03
AMP Ameriprise Financial, Inc.141%152%0.931.41
VOYA Voya Financial, Inc.111%128%0.871.17
PFG Principal Financial Group, Inc.103%124%0.831.22
BLK BlackRock, Inc.127%157%0.811.30
PRU Prudential Financial, Inc.102%146%0.701.25
LNC Lincoln National Corporation119%211%0.561.67
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What diversifies SLF?

Correlation measures how closely two investments move together, on a scale from 1 (in lockstep) through 0 (unrelated) to -1 (in opposite directions). This section lists large ETFs and stocks whose returns have had a low correlation with SLF's. Because such investments tend not to fall at the same time, pairing SLF with them can reduce a portfolio's overall swings.

Only ETFs with at least $1.0B in assets and stocks worth at least $10B, with a correlation below 0.5 over the past 5 years and a positive return, are included, ranked by Sharpe ratio; funds that hold the same thing are shown once. The year columns are the years in which SLF lost money. The last two columns show a portfolio that is 80% SLF and 20% the other investment, rebalanced monthly.

ETFs

InvestmentCorrelation5Y returnSharpe202220182015201120082002200180/20 mix volatility80/20 mix annual return
SLF Sun Life Financial Inc. (this page)1.00+74.1%0.67−12.9%−16.6%−10.2%−34.9%−57.0%−18.9%−17.2%21.0%+13.4%
DXJ InternationalWisdomTree Japan Hedged Equity Fund0.37+225%1.34+6.0%−19.8%+7.7%−16.1%−20.8%——17.9%+16.4%
HDV Dividend & IncomeiShares Core High Dividend ETF0.49+83.3%1.00+7.1%−3.0%−0.3%————18.3%+13.4%
MLPX EnergyGlobal X - MLP & Energy Infrastructure ETF0.49+135%0.97+21.5%−15.5%−35.3%————18.9%+15.1%
SMH TechnologyVanEck Semiconductor ETF0.47+323%0.97−33.5%−9.1%−0.3%+6.8%−44.7%−47.0%−14.6%20.9%+18.7%
GLD CommoditiesSPDR Gold Shares0.04+126%0.96−0.8%−1.9%−10.7%+9.6%+4.9%——17.3%+15.0%
FLTW TechnologyFranklin FTSE Taiwan ETF0.49+168%0.94−27.5%−9.3%—————19.9%+15.8%
XLE EnergyState Street Energy Select Sector SPDR ETF0.23+177%0.93+64.4%−18.2%−21.5%+2.8%−39.0%−14.8%−18.2%18.7%+16.0%
AMLP EnergyAlerian MLP ETF0.34+111%0.89+25.5%−12.6%−25.7%+10.2%———18.4%+14.8%

Stocks

InvestmentCorrelation5Y returnSharpe202220182015201120082002200180/20 mix volatility80/20 mix annual return
SLF Sun Life Financial Inc. (this page)1.00+74.1%0.67−12.9%−16.6%−10.2%−34.9%−57.0%−18.9%−17.2%21.0%+13.4%
CAH Medical - DistributionCardinal Health, Inc.0.38+479%1.55+54.1%−24.5%+12.6%+8.1%−39.6%−8.3%−2.5%19.4%+18.5%
CLS Hardware, Equipment & PartsCelestica Inc.0.26+3,143%1.47+1.3%−16.3%−6.0%−24.4%−20.5%−65.1%−25.6%22.8%+31.4%
FIX Engineering & ConstructionComfort Systems USA, Inc.0.42+1,636%1.46+17.0%+0.8%+67.7%−17.0%−15.2%−9.4%+73.7%22.1%+27.2%
MCK Medical - DistributionMcKesson Corporation0.19+413%1.44+51.8%−28.4%−4.5%+11.8%−40.4%−27.2%+4.9%18.4%+18.1%
MPC Oil & Gas Refining & MarketingMarathon Petroleum Corporation0.17+690%1.41+86.6%−8.2%+17.4%————19.0%+20.8%
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Common questions

What was SLF's worst drawdown?

SLF's deepest decline since it began trading in 2000 was 78.8%, from October 2007 to March 2009. It took about eight years from the low to climb back to its old high.

What were SLF's best and worst years?

Over 25 full calendar years, SLF's best year was 2012, when it returned 52.5%. Its worst was 2008, with a return of -57.0%.

Is there a better investment than SLF?

Among SLF's popular alternatives, RY earned more than SLF with less volatility over the past 5 years: 17.3% a year at 18.2% volatility, against 11.7% a year at 19.4%. Looking beyond its popular alternatives, BRK-B (insurance) earned more than SLF with less volatility over the past 5 years: 13.4% a year at 17.1% volatility, against 11.7% a year at 19.4%.

Is SLF more volatile than the S&P 500?

Yes. SLF's volatility over the past 5 years was 19.4%, 1.1 times the S&P 500's 17.1%. Volatility measures how widely returns swing around their average: in roughly two years out of three, SLF's return lands within 19.4% of its average, either way. The higher it is, the rougher the ride and the harder it is to hold through a slump.

What is SLF's Sharpe ratio?

SLF's Sharpe ratio over the past 5 years was 0.67, against 0.79 for the S&P 500, so SLF earned less for each unit of risk than an index fund did. The Sharpe ratio is the return earned above cash for each unit of volatility: two investments with the same return are not equal if one got there with far bigger swings.

How correlated is SLF with the S&P 500?

Over the past 5 years, SLF's monthly returns had a correlation of 0.67 with the S&P 500. Correlation runs from 1 (moving in lockstep) through 0 (unrelated) to −1 (moving in opposite directions). They often move together: some diversification next to an index fund, but not a cushion. In the table, the correlation column measures each option against SLF instead: the lower it is, the more that option would diversify a SLF holding.

What are the best alternatives to SLF?

Of the 19 popular alternatives we compared, five outperformed SLF in at least 3 of 5 short-term and 2 of 3 long-term timeframes, with dividends reinvested: TD, MFC and JXN.

Did SLF outperform the S&P 500?

SLF finished ahead of the S&P 500 (SPY) in 12 of 25 full calendar years. In 2025, it returned +9.7%, against +17.7% for the index.

How did SLF do in stock market crashes?

SLF fell less than the S&P 500 (SPY) in one of the nine major crashes it has traded through, and further in seven. The clearest case was the 2008 financial crisis, when SLF fell 78.8% and the S&P 500 fell 55.2%.

What diversifies SLF?

These had a low correlation with SLF over the past 5 years and still earned a positive 5-year return: among large ETFs, DXJ (correlation 0.37), HDV (correlation 0.49) and MLPX (correlation 0.49); among large stocks, CAH (correlation 0.38), CLS (correlation 0.26) and FIX (correlation 0.42). A correlation near zero means the two have moved largely independently.

How we measure

More research

Popular alternatives to SLF

Other stocks and ETFs