^GSPTSE vs. VFVA

Last updated Apr 2, 2026

Compare and contrast key facts about S&P TSX Composite Index (Canada) (^GSPTSE) and Vanguard U.S. Value Factor ETF (VFVA).

VFVA is an actively managed fund by Vanguard. It was launched on Feb 13, 2018.

Performance

^GSPTSE vs. VFVA - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in S&P TSX Composite Index (Canada) (^GSPTSE) and Vanguard U.S. Value Factor ETF (VFVA). The values are adjusted to include any dividend payments, if applicable.

^GSPTSE vs. VFVA - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
^GSPTSE S&P TSX Composite Index (Canada)	3.93%	28.25%	17.99%	8.12%	-8.66%	21.74%	2.17%	19.13%	-7.04%
VFVA Vanguard U.S. Value Factor ETF	3.40%	9.51%	16.92%	14.78%	2.88%	35.70%	0.55%	19.26%	-7.72%

Different Trading Currencies

^GSPTSE is traded in CAD, while VFVA is traded in USD. To make them comparable, the VFVA values have been converted to CAD using the latest available exchange rates.

Returns By Period

In the year-to-date period, ^GSPTSE achieves a 3.93% return, which is significantly higher than VFVA's 3.40% return.

^GSPTSE

• 1D: 0.58%
• 1M: -4.58%
• YTD: 3.93%
• 6M: 9.47%
• 1Y: 31.66%
• 3Y*: 17.92%
• 5Y*: 11.66%
• 10Y*: 9.38%

VFVA

• 1D: 0.06%
• 1M: -2.56%
• YTD: 3.40%
• 6M: 5.93%
• 1Y: 17.48%
• 3Y*: 15.44%
• 5Y*: 11.96%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

Return for Risk

^GSPTSE vs. VFVA — Risk / Return Rank

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

^GSPTSE

^GSPTSE Risk / Return Rank: 94
^GSPTSE Sharpe Ratio Rank: 95
^GSPTSE Sortino Ratio Rank: 95
^GSPTSE Omega Ratio Rank: 96
^GSPTSE Calmar Ratio Rank: 92
^GSPTSE Martin Ratio Rank: 92

VFVA

VFVA Risk / Return Rank: 52
VFVA Sharpe Ratio Rank: 50
VFVA Sortino Ratio Rank: 53
VFVA Omega Ratio Rank: 53
VFVA Calmar Ratio Rank: 50
VFVA Martin Ratio Rank: 53

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

^GSPTSE vs. VFVA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P TSX Composite Index (Canada) (^GSPTSE) and Vanguard U.S. Value Factor ETF (VFVA). 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.

	^GSPTSE	VFVA	Difference
Sharpe ratio Return per unit of total volatility	2.07	0.79	+1.28
Sortino ratio Return per unit of downside risk	2.64	1.20	+1.44
Omega ratio Gain probability vs. loss probability	1.41	1.17	+0.24
Calmar ratio Return relative to maximum drawdown	2.92	1.10	+1.82
Martin ratio Return relative to average drawdown	12.92	3.87	+9.06
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^GSPTSE vs. VFVA - Sharpe Ratio Comparison

The current ^GSPTSE Sharpe Ratio is 2.07, which is higher than the VFVA Sharpe Ratio of 0.79. The chart below compares the historical Sharpe Ratios of ^GSPTSE and VFVA, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	^GSPTSE	VFVA	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.07	0.79	+1.28
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.90	0.67	+0.23
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.63	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.43	0.50	-0.08

Correlation

The correlation between ^GSPTSE and VFVA is 0.65, 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.

Drawdowns

^GSPTSE vs. VFVA - Drawdown Comparison

The maximum ^GSPTSE drawdown since its inception was -49.99%, which is greater than VFVA's maximum drawdown of -42.82%. Use the drawdown chart below to compare losses from any high point for ^GSPTSE and VFVA.

Drawdown Indicators

	^GSPTSE	VFVA	Difference
Max Drawdown Largest peak-to-trough decline	-49.99%	-48.58%	-1.41%
Max Drawdown (1Y) Largest decline over 1 year	-11.07%	-15.54%	+4.47%
Max Drawdown (5Y) Largest decline over 5 years	-17.57%	-24.07%	+6.50%
Max Drawdown (10Y) Largest decline over 10 years	-37.43%	—	—
Current Drawdown Current decline from peak	-4.58%	-6.24%	+1.66%
Average Drawdown Average peak-to-trough decline	-11.55%	-7.43%	-4.12%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.50%	3.91%	-1.41%

Volatility

^GSPTSE vs. VFVA - Volatility Comparison

S&P TSX Composite Index (Canada) (^GSPTSE) has a higher volatility of 5.56% compared to Vanguard U.S. Value Factor ETF (VFVA) at 4.55%. This indicates that ^GSPTSE's price experiences larger fluctuations and is considered to be riskier than VFVA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^GSPTSE	VFVA	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.56%	4.55%	+1.01%
Volatility (6M) Calculated over the trailing 6-month period	10.92%	11.37%	-0.45%
Volatility (1Y) Calculated over the trailing 1-year period	15.37%	22.23%	-6.86%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	13.07%	18.03%	-4.96%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.06%	22.07%	-7.01%