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Vanguard FTSE Canadian High Dividend Yield Index ETF (VDY.TO) Sharpe Ratio: 5.65

ETF · Currency in CAD · Last updated Jun 4, 2026

VDY.TO is a passive ETF by Vanguard tracking the investment results of the FTSE Canada High Dividend Yield Index. VDY.TO launched on Nov 2, 2012 and has a 0.22% expense ratio.

VDY.TO's Sharpe Ratio of 5.65 indicates that for each unit of volatility, it generates 5.65 units of excess return above the risk-free rate. The ratio is calculated using historical daily returns over the past 12 months (as of Jun 4, 2026).

Sharpe uses total volatility (standard deviation) which includes both upside and downside price movements, making it useful for comparing risk-adjusted returns across different assets.

VDY.TO Sharpe Ratio Rank

VDY.TO Sharpe Ratio Rank: 98.098
Exceptional

VDY.TO ranks above 98.0% of all investments in our database based on Sharpe Ratio over the past 12 months, demonstrating exceptional risk-adjusted returns. Securities are ranked from 0 (worst) to 100 (best).

What moves the rank

  • Strong returns with low total volatility → Higher rank
  • High volatility (both upside and downside) → Lower rank
  • Consistent returns → Higher rank than volatile returns of same magnitude
  • Sharp drawdowns increase volatility → Lower rank

What you can do with this information

  • Suitable as a core holding given strong risk-adjusted returns
  • Monitor rank changes to detect deteriorating return-to-volatility profile
  • Exceptional Sharpe ratio supports larger position sizes
  • Compare with category peers to assess whether strength is investment-specific or category-wide

VDY.TO Sharpe Ratio Market Positioning

The chart shows VDY.TO's Sharpe Ratio relative to all ETFs on our platform, with color zones indicating percentile rankings. Higher ratios indicate better risk-adjusted returns.

  • Red zone (bottom 25%): 0.85 or lower
  • Yellow zone (middle 50%): 0.85 to 2.40
  • Green zone (top 25%): 2.40 or higher
  • Top 1%: 7.77+
  • Median: 1.69 — half of all investments score higher

How it compares to other similar ETFs

The table compares Vanguard FTSE Canadian High Dividend Yield Index ETF's Sharpe Ratio with other ETFs in the Dividend category across multiple time periods, showing how VDY.TO's risk-adjusted performance compares to similar funds.

Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Jun 4, 2026.

SymbolName1Y Sharpe Ratio5Y Sharpe Ratio10Y Sharpe RatioAll Time Sharpe Ratio
VDY.TOVanguard FTSE Canadian High Dividend Yield Index ETF5.65
XDIV.TOiShares Core MSCI Canadian Quality Dividend Index ETF4.94
TBNK.TOTD Canadian Bank Dividend Index ETF4.64
FCCD.TOFidelity Canadian High Dividend Index ETF3.87
PDIV.TOPurpose Enhanced Dividend Fund ETF2.78
CWIN.TOHAMILTON CHAMPIONS Enhanced Canadian Dividend ETF Class E Units2.69
CDIV.TOManulife Smart Dividend ETF2.61
DXU.TODynamic Active U.S. Dividend ETF2.46
ZDY.TOBMO US Dividend ETF (CAD)2.28
FCID.TOFidelity International High Dividend ETF2.15

S&P 500 Index

How to choose period

Historical Sharpe Ratio

The chart shows VDY.TO's rolling Sharpe ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to total volatility, while declining trends may signal deteriorating risk-adjusted performance or increased volatility. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.

Identify market cycles by observing when VDY.TO consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.

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Sharpe Ratio Calculator

How does VDY.TO fit in your portfolio?

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