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FLUS.TO vs. DRFU.TO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

FLUS.TO vs. DRFU.TO

Last updated Jul 16, 2026
Documentation

FLUS.TO (Franklin U.S. Large Cap Multifactor Index ETF) and DRFU.TO (Desjardins RI USA Multifactor - Net-Zero Emissions Pathway ETF) are both Large Cap Blend Equities funds. FLUS.TO is passively managed, while DRFU.TO is actively managed. Over the past 5 years, FLUS.TO returned 15.53%/yr vs 14.84%/yr for DRFU.TO. At a 0.23 correlation, their price movements are largely independent.

Performance

FLUS.TO vs. DRFU.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in Franklin U.S. Large Cap Multifactor Index ETF (FLUS.TO) and Desjardins RI USA Multifactor - Net-Zero Emissions Pathway ETF (DRFU.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 stocks are quite close, with FLUS.TO having a 15.43% return and DRFU.TO slightly lower at 15.27%.

FLUS.TO

1D
-0.09%
1M
-0.12%
6M
12.31%
YTD
15.43%
1Y
23.07%
3Y*
22.24%
5Y*
15.53%
10Y*
—

DRFU.TO

1D
0.00%
1M
1.19%
6M
14.40%
YTD
15.27%
1Y
28.90%
3Y*
24.00%
5Y*
14.84%
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

FLUS.TO vs. DRFU.TO - Yearly Performance Comparison

2026 (YTD)20252024202320222021202020192018
FLUS.TO
Franklin U.S. Large Cap Multifactor Index ETF		15.43%10.51%34.62%20.97%-9.96%25.50%8.45%21.86%-6.98%
DRFU.TO
Desjardins RI USA Multifactor - Net-Zero Emissions Pathway ETF		15.27%12.18%37.32%5.44%-9.19%29.41%7.31%21.84%-8.47%

Correlation

The correlation between FLUS.TO and DRFU.TO is 0.36, which is low. Their price movements are largely independent, making them effective diversification partners.

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

0.36

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

0.37

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

0.26

Correlation (All Time)
Calculated using the full available price history since Sep 24, 2018

0.23

The correlation between FLUS.TO and DRFU.TO shifts across timeframes, from 0.23 (all time) to 0.37 (3 years), reflecting how their relationship changes across market environments.

Compare stocks, funds, or ETFs

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

Franklin U.S. Large Cap Multifactor Index ETF

Desjardins RI USA Multifactor - Net-Zero Emissions Pathway ETF

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Return for Risk

FLUS.TO vs. DRFU.TO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
FLUS.TO
FLUS.TO Risk / Return Rank: 5858
Overall Rank
FLUS.TO Sharpe Ratio Rank: 5555
Sharpe Ratio Rank
FLUS.TO Sortino Ratio Rank: 5656
Sortino Ratio Rank
FLUS.TO Omega Ratio Rank: 6363
Omega Ratio Rank
FLUS.TO Calmar Ratio Rank: 5757
Calmar Ratio Rank
FLUS.TO Martin Ratio Rank: 5757
Martin Ratio Rank
DRFU.TO
DRFU.TO Risk / Return Rank: 8989
Overall Rank
DRFU.TO Sharpe Ratio Rank: 8282
Sharpe Ratio Rank
DRFU.TO Sortino Ratio Rank: 9292
Sortino Ratio Rank
DRFU.TO Omega Ratio Rank: 9595
Omega Ratio Rank
DRFU.TO Calmar Ratio Rank: 8989
Calmar Ratio Rank
DRFU.TO Martin Ratio Rank: 8989
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.

FLUS.TO vs. DRFU.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Franklin U.S. Large Cap Multifactor Index ETF (FLUS.TO) and Desjardins RI USA Multifactor - Net-Zero Emissions Pathway ETF (DRFU.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.

FLUS.TODRFU.TODifference
Sharpe ratioReturn per unit of total volatility
1.54
2.09

-0.55

Sortino ratioReturn per unit of downside risk
2.22
3.61

-1.40

Omega ratioGain probability vs. loss probability

1.31

1.61

-0.30

Calmar ratioReturn relative to maximum drawdown

2.35

4.25

-1.90

Martin ratioReturn relative to average drawdown

8.15

15.34

-7.18

FLUS.TO vs. DRFU.TO - Sharpe Ratio Comparison

The current FLUS.TO Sharpe Ratio is 1.54, which is comparable to the DRFU.TO Sharpe Ratio of 2.09. The chart below compares the historical Sharpe Ratios of FLUS.TO and DRFU.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

FLUS.TO vs. DRFU.TO - Drawdown Comparison

The maximum FLUS.TO drawdown since its inception was -28.24%, which is greater than DRFU.TO's maximum drawdown of -19.89%. Use the drawdown chart below to compare losses from any high point for FLUS.TO and DRFU.TO.

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Drawdown Indicators

FLUS.TODRFU.TODifference

Max Drawdown

Largest peak-to-trough decline

-28.24%

-19.89%

-8.35%

Max Drawdown (1Y)

Largest decline over 1 year

-9.85%

-6.89%

-2.96%

Max Drawdown (3Y)

Largest decline over 3 years

-18.82%

-19.89%

+1.07%

Max Drawdown (5Y)

Largest decline over 5 years

-19.11%

-19.89%

+0.78%

Current Drawdown

Current decline from peak

-1.57%

0.00%

-1.57%

Average Drawdown

Average peak-to-trough decline

-3.68%

-4.92%

+1.24%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.84%

1.90%

+0.94%

Volatility

FLUS.TO vs. DRFU.TO - Volatility Comparison

Franklin U.S. Large Cap Multifactor Index ETF (FLUS.TO) has a higher volatility of 4.56% compared to Desjardins RI USA Multifactor - Net-Zero Emissions Pathway ETF (DRFU.TO) at 2.67%. This indicates that FLUS.TO's price experiences larger fluctuations and is considered to be riskier than DRFU.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

FLUS.TODRFU.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

4.56%

2.67%

+1.89%

Volatility (6M)

Calculated over the trailing 6-month period

11.48%

11.39%

+0.09%

Volatility (1Y)

Calculated over the trailing 1-year period

15.02%

13.99%

+1.03%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

14.98%

16.37%

-1.39%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

15.95%

16.49%

-0.54%

Dividends

FLUS.TO vs. DRFU.TO - Dividend Comparison

FLUS.TO's dividend yield for the trailing twelve months is around 0.57%, less than DRFU.TO's 1.01% yield.

PositionTTM202520242023202220212020201920182017
DRFU.TO
Desjardins RI USA Multifactor - Net-Zero Emissions Pathway ETF		1.01%0.76%0.60%0.80%1.05%1.08%1.38%1.37%0.41%0.00%
FLUS.TO
Franklin U.S. Large Cap Multifactor Index ETF		0.57%0.74%0.94%1.24%1.77%1.80%1.67%1.89%1.72%0.60%

Frequently Asked Questions

FLUS.TO and DRFU.TO have a correlation of 0.36, 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: Franklin and Desjardins.

Portfolio Optimizer

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