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DRFG.TO vs. CIE.NEO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

DRFG.TO vs. CIE.NEO

Last updated Jul 16, 2026
Documentation

DRFG.TO (Desjardins RI Global Multifactor Fossil Fuel Reserves Free ETF) and CIE.NEO (iShares International Fundamental Common Class) are both Global Equities funds. DRFG.TO is actively managed, while CIE.NEO is passively managed. Over the past 5 years, DRFG.TO returned 13.64%/yr vs 15.96%/yr for CIE.NEO. At a 0.41 correlation, their price movements are largely independent.

Performance

DRFG.TO vs. CIE.NEO - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in Desjardins RI Global Multifactor Fossil Fuel Reserves Free ETF (DRFG.TO) and iShares International Fundamental Common Class (CIE.NEO). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, DRFG.TO achieves a 14.93% return, which is significantly lower than CIE.NEO's 18.56% return.

DRFG.TO

1D
-0.34%
1M
-0.56%
6M
12.15%
YTD
14.93%
1Y
30.39%
3Y*
23.96%
5Y*
13.64%
10Y*
—

CIE.NEO

1D
0.13%
1M
-0.59%
6M
13.24%
YTD
18.56%
1Y
37.24%
3Y*
23.77%
5Y*
15.96%
10Y*
12.01%
*Multi-year figures are annualized to reflect compound growth (CAGR)

DRFG.TO vs. CIE.NEO - Yearly Performance Comparison

2026 (YTD)2025202420232022202120202019
DRFG.TO
Desjardins RI Global Multifactor Fossil Fuel Reserves Free ETF		14.93%24.31%26.78%12.68%-12.16%17.99%7.88%8.78%
CIE.NEO
iShares International Fundamental Common Class		18.56%34.92%12.83%15.59%-2.83%14.42%1.33%4.37%

Correlation

The correlation between DRFG.TO and CIE.NEO is 0.65, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.65

Correlation (3Y)
Calculated over the trailing 3-year period

0.47

Correlation (5Y)
Calculated over the trailing 5-year period

0.40

Correlation (All Time)
Calculated using the full available price history since Mar 6, 2019

0.41

Over the past year, DRFG.TO and CIE.NEO have become more correlated (0.65) than their long-term average of 0.41, meaning their price movements have been converging.

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Desjardins RI Global Multifactor Fossil Fuel Reserves Free ETF

iShares International Fundamental Common Class

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CIE.NEO vs. PXFCIE.NEO vs. VGG.TOCIE.NEO vs. SPYCIE.NEO vs. FCCM.NEOCIE.NEO vs. DFIVCIE.NEO vs. XMW.TOCIE.NEO vs. XEQT.TO

Return for Risk

DRFG.TO vs. CIE.NEO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
DRFG.TO
DRFG.TO Risk / Return Rank: 8787
Overall Rank
DRFG.TO Sharpe Ratio Rank: 8989
Sharpe Ratio Rank
DRFG.TO Sortino Ratio Rank: 8888
Sortino Ratio Rank
DRFG.TO Omega Ratio Rank: 8787
Omega Ratio Rank
DRFG.TO Calmar Ratio Rank: 8484
Calmar Ratio Rank
DRFG.TO Martin Ratio Rank: 8787
Martin Ratio Rank
CIE.NEO
CIE.NEO Risk / Return Rank: 8888
Overall Rank
CIE.NEO Sharpe Ratio Rank: 9191
Sharpe Ratio Rank
CIE.NEO Sortino Ratio Rank: 9191
Sortino Ratio Rank
CIE.NEO Omega Ratio Rank: 9292
Omega Ratio Rank
CIE.NEO Calmar Ratio Rank: 8080
Calmar Ratio Rank
CIE.NEO Martin Ratio Rank: 8585
Martin Ratio Rank
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.

DRFG.TO vs. CIE.NEO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Desjardins RI Global Multifactor Fossil Fuel Reserves Free ETF (DRFG.TO) and iShares International Fundamental Common Class (CIE.NEO). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

DRFG.TOCIE.NEODifference
Sharpe ratioReturn per unit of total volatility
2.36
2.50

-0.15

Sortino ratioReturn per unit of downside risk
3.28
3.46

-0.18

Omega ratioGain probability vs. loss probability

1.43

1.49

-0.06

Calmar ratioReturn relative to maximum drawdown

3.63

3.39

+0.25

Martin ratioReturn relative to average drawdown

14.41

13.70

+0.71

DRFG.TO vs. CIE.NEO - Sharpe Ratio Comparison

The current DRFG.TO Sharpe Ratio is 2.36, which is comparable to the CIE.NEO Sharpe Ratio of 2.50. The chart below compares the historical Sharpe Ratios of DRFG.TO and CIE.NEO, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

DRFG.TO vs. CIE.NEO - Drawdown Comparison

The maximum DRFG.TO drawdown since its inception was -27.73%, smaller than the maximum CIE.NEO drawdown of -40.08%. Use the drawdown chart below to compare losses from any high point for DRFG.TO and CIE.NEO.

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Drawdown Indicators

DRFG.TOCIE.NEODifference

Max Drawdown

Largest peak-to-trough decline

-27.73%

-40.08%

+12.35%

Max Drawdown (1Y)

Largest decline over 1 year

-8.40%

-11.10%

+2.70%

Max Drawdown (3Y)

Largest decline over 3 years

-16.44%

-15.44%

-1.00%

Max Drawdown (5Y)

Largest decline over 5 years

-21.09%

-20.55%

-0.54%

Max Drawdown (10Y)

Largest decline over 10 years

—

-40.08%

—

Current Drawdown

Current decline from peak

-2.04%

-1.72%

-0.32%

Average Drawdown

Average peak-to-trough decline

-4.62%

-7.09%

+2.47%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.11%

2.73%

-0.62%

Volatility

DRFG.TO vs. CIE.NEO - Volatility Comparison

The current volatility for Desjardins RI Global Multifactor Fossil Fuel Reserves Free ETF (DRFG.TO) is 3.20%, while iShares International Fundamental Common Class (CIE.NEO) has a volatility of 3.52%. This indicates that DRFG.TO experiences smaller price fluctuations and is considered to be less risky than CIE.NEO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

DRFG.TOCIE.NEODifference

Volatility (1M)

Calculated over the trailing 1-month period

3.20%

3.52%

-0.32%

Volatility (6M)

Calculated over the trailing 6-month period

10.81%

12.92%

-2.11%

Volatility (1Y)

Calculated over the trailing 1-year period

12.96%

15.02%

-2.06%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

12.73%

14.07%

-1.34%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

14.25%

18.03%

-3.78%

Dividends

DRFG.TO vs. CIE.NEO - Dividend Comparison

DRFG.TO's dividend yield for the trailing twelve months is around 1.56%, less than CIE.NEO's 2.17% yield.

PositionTTM20252024202320222021202020192018201720162015
CIE.NEO
iShares International Fundamental Common Class		2.17%2.53%2.82%3.08%3.32%2.89%2.15%3.63%3.12%2.67%2.80%2.44%
DRFG.TO
Desjardins RI Global Multifactor Fossil Fuel Reserves Free ETF		1.56%2.14%1.40%1.49%1.58%1.37%1.59%1.68%0.00%0.00%0.00%0.00%

Frequently Asked Questions

DRFG.TO and CIE.NEO have a correlation of 0.65, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

They also come from different issuers: Desjardins and iShares.

Portfolio Optimizer

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