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DRFG.TO vs. HEQT.TO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

DRFG.TO vs. HEQT.TO

Last updated Jul 16, 2026
Documentation

DRFG.TO (Desjardins RI Global Multifactor Fossil Fuel Reserves Free ETF) and HEQT.TO (Horizons All-Equity Asset Allocation ETF) are both Global Equities funds. Both are actively managed. Over the past 5 years, DRFG.TO returned 13.64%/yr vs 12.70%/yr for HEQT.TO. At a 0.46 correlation, their price movements are largely independent.

Performance

DRFG.TO vs. HEQT.TO - 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 Horizons All-Equity Asset Allocation ETF (HEQT.TO). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

The year-to-date returns for both investments are quite close, with DRFG.TO having a 14.93% return and HEQT.TO slightly higher at 15.01%.

DRFG.TO

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

HEQT.TO

1D
0.08%
1M
0.06%
6M
10.97%
YTD
15.01%
1Y
28.87%
3Y*
21.12%
5Y*
12.70%
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

DRFG.TO vs. HEQT.TO - 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%4.27%
HEQT.TO
Horizons All-Equity Asset Allocation ETF		15.01%19.82%23.83%22.29%-18.95%22.54%16.34%7.44%

Correlation

The correlation between DRFG.TO and HEQT.TO is 0.72, 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

0.72

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

0.57

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

0.48

Correlation (All Time)
Calculated using the full available price history since Sep 18, 2019

0.46

Over the past year, DRFG.TO and HEQT.TO have become more correlated (0.72) than their long-term average of 0.46, meaning their price movements have been converging.

Compare stocks, funds, or ETFs

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

Desjardins RI Global Multifactor Fossil Fuel Reserves Free ETF

Horizons All-Equity Asset Allocation ETF

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Return for Risk

DRFG.TO vs. HEQT.TO — 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
HEQT.TO
HEQT.TO Risk / Return Rank: 8686
Overall Rank
HEQT.TO Sharpe Ratio Rank: 8787
Sharpe Ratio Rank
HEQT.TO Sortino Ratio Rank: 8787
Sortino Ratio Rank
HEQT.TO Omega Ratio Rank: 8787
Omega Ratio Rank
HEQT.TO Calmar Ratio Rank: 8181
Calmar Ratio Rank
HEQT.TO Martin Ratio Rank: 8888
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. HEQT.TO - 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 Horizons All-Equity Asset Allocation ETF (HEQT.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.

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.TOHEQT.TODifference
Sharpe ratioReturn per unit of total volatility
2.36
2.27

+0.08

Sortino ratioReturn per unit of downside risk
3.28
3.15

+0.13

Omega ratioGain probability vs. loss probability

1.43

1.42

+0.01

Calmar ratioReturn relative to maximum drawdown

3.63

3.42

+0.22

Martin ratioReturn relative to average drawdown

14.41

14.73

-0.32

DRFG.TO vs. HEQT.TO - Sharpe Ratio Comparison

The current DRFG.TO Sharpe Ratio is 2.36, which is comparable to the HEQT.TO Sharpe Ratio of 2.27. The chart below compares the historical Sharpe Ratios of DRFG.TO and HEQT.TO, 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. HEQT.TO - Drawdown Comparison

The maximum DRFG.TO drawdown since its inception was -27.73%, smaller than the maximum HEQT.TO drawdown of -31.82%. Use the drawdown chart below to compare losses from any high point for DRFG.TO and HEQT.TO.

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Drawdown Indicators

DRFG.TOHEQT.TODifference

Max Drawdown

Largest peak-to-trough decline

-27.73%

-31.82%

+4.09%

Max Drawdown (1Y)

Largest decline over 1 year

-8.40%

-8.49%

+0.09%

Max Drawdown (3Y)

Largest decline over 3 years

-16.44%

-15.33%

-1.11%

Max Drawdown (5Y)

Largest decline over 5 years

-21.09%

-24.89%

+3.80%

Current Drawdown

Current decline from peak

-2.04%

-1.19%

-0.85%

Average Drawdown

Average peak-to-trough decline

-4.62%

-5.11%

+0.49%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.11%

1.96%

+0.15%

Volatility

DRFG.TO vs. HEQT.TO - Volatility Comparison

Desjardins RI Global Multifactor Fossil Fuel Reserves Free ETF (DRFG.TO) and Horizons All-Equity Asset Allocation ETF (HEQT.TO) have volatilities of 3.20% and 3.20%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

DRFG.TOHEQT.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

3.20%

3.20%

0.00%

Volatility (6M)

Calculated over the trailing 6-month period

10.81%

10.70%

+0.11%

Volatility (1Y)

Calculated over the trailing 1-year period

12.96%

12.76%

+0.20%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

12.73%

15.01%

-2.28%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

14.25%

16.84%

-2.59%

Dividends

DRFG.TO vs. HEQT.TO - Dividend Comparison

DRFG.TO's dividend yield for the trailing twelve months is around 1.56%, less than HEQT.TO's 1.62% yield.

PositionTTM2025202420232022202120202019
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%
HEQT.TO
Horizons All-Equity Asset Allocation ETF		1.62%1.70%1.67%0.84%0.03%0.02%1.40%0.22%

Frequently Asked Questions

DRFG.TO and HEQT.TO have a correlation of 0.72, 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 Horizons.

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