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BNS vs. VDY.TO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


BNSVDY.TO
YTD Return0.84%8.04%
1Y Return-2.03%12.61%
3Y Return (Ann)-3.06%9.33%
5Y Return (Ann)3.23%10.67%
10Y Return (Ann)1.25%7.50%
Sharpe Ratio-0.101.19
Daily Std Dev19.12%10.95%
Max Drawdown-63.79%-39.21%
Current Drawdown-26.84%-0.29%

Correlation

-0.50.00.51.00.8

The correlation between BNS and VDY.TO is 0.83, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

BNS vs. VDY.TO - Performance Comparison

In the year-to-date period, BNS achieves a 0.84% return, which is significantly lower than VDY.TO's 8.04% return. Over the past 10 years, BNS has underperformed VDY.TO with an annualized return of 1.25%, while VDY.TO has yielded a comparatively higher 7.50% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


50.00%60.00%70.00%80.00%90.00%100.00%110.00%FebruaryMarchAprilMayJuneJuly
55.00%
111.08%
BNS
VDY.TO

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


The Bank of Nova Scotia

Vanguard FTSE Canadian High Dividend Yield Index ETF

Risk-Adjusted Performance

BNS vs. VDY.TO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for The Bank of Nova Scotia (BNS) and Vanguard FTSE Canadian High Dividend Yield Index ETF (VDY.TO). 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.


BNS
Sharpe ratio
The chart of Sharpe ratio for BNS, currently valued at 0.02, compared to the broader market-2.00-1.000.001.002.003.000.02
Sortino ratio
The chart of Sortino ratio for BNS, currently valued at 0.17, compared to the broader market-4.00-2.000.002.004.000.17
Omega ratio
The chart of Omega ratio for BNS, currently valued at 1.02, compared to the broader market0.501.001.502.001.02
Calmar ratio
The chart of Calmar ratio for BNS, currently valued at 0.01, compared to the broader market0.002.004.006.000.01
Martin ratio
The chart of Martin ratio for BNS, currently valued at 0.05, compared to the broader market-30.00-20.00-10.000.0010.0020.000.05
VDY.TO
Sharpe ratio
The chart of Sharpe ratio for VDY.TO, currently valued at 0.55, compared to the broader market-2.00-1.000.001.002.003.000.55
Sortino ratio
The chart of Sortino ratio for VDY.TO, currently valued at 0.88, compared to the broader market-4.00-2.000.002.004.000.88
Omega ratio
The chart of Omega ratio for VDY.TO, currently valued at 1.11, compared to the broader market0.501.001.502.001.11
Calmar ratio
The chart of Calmar ratio for VDY.TO, currently valued at 0.34, compared to the broader market0.002.004.006.000.34
Martin ratio
The chart of Martin ratio for VDY.TO, currently valued at 1.69, compared to the broader market-30.00-20.00-10.000.0010.0020.001.69

BNS vs. VDY.TO - Sharpe Ratio Comparison

The current BNS Sharpe Ratio is -0.10, which is lower than the VDY.TO Sharpe Ratio of 1.19. The chart below compares the 12-month rolling Sharpe Ratio of BNS and VDY.TO.


Rolling 12-month Sharpe Ratio-0.500.000.501.00FebruaryMarchAprilMayJuneJuly
0.02
0.55
BNS
VDY.TO

Dividends

BNS vs. VDY.TO - Dividend Comparison

BNS's dividend yield for the trailing twelve months is around 6.75%, more than VDY.TO's 4.62% yield.


TTM20232022202120202019201820172016201520142013
BNS
The Bank of Nova Scotia
6.75%6.41%6.40%4.03%4.95%3.53%5.10%3.74%3.98%6.61%4.11%2.82%
VDY.TO
Vanguard FTSE Canadian High Dividend Yield Index ETF
4.62%4.64%4.42%3.58%4.59%4.25%4.44%3.82%3.25%4.11%3.25%2.51%

Drawdowns

BNS vs. VDY.TO - Drawdown Comparison

The maximum BNS drawdown since its inception was -63.79%, which is greater than VDY.TO's maximum drawdown of -39.21%. Use the drawdown chart below to compare losses from any high point for BNS and VDY.TO. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%FebruaryMarchAprilMayJuneJuly
-26.84%
-4.65%
BNS
VDY.TO

Volatility

BNS vs. VDY.TO - Volatility Comparison

The Bank of Nova Scotia (BNS) has a higher volatility of 4.11% compared to Vanguard FTSE Canadian High Dividend Yield Index ETF (VDY.TO) at 3.16%. This indicates that BNS's price experiences larger fluctuations and is considered to be riskier than VDY.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%FebruaryMarchAprilMayJuneJuly
4.11%
3.16%
BNS
VDY.TO