New sources of Canadian capital market monthly return data allow a comparison of Canadian returns with United States exchange-rate-adjusted returns. The results suggest that Canadian Treasury bills and long-term bonds have higher average returns than their U.S. counterparts. U.S. equities have higher returns but, surprisingly, greater risk than Canadian equities. Premiums for inflation, maturity and default in the two markets are quite similar, however.

The statistical characteristics of the Canadian return series (range, standard deviation, correlation, serial correlation) are very similar to those of the U.S. return series. There is some evidence, however, that the variance of monthly equity returns was higher in Canada in the 1980s than in previous years; this pattern was not observed in the United States data.

U.S. monthly returns are not generally a good leading indicator of Canadian returns.