L.TO vs. VSP.TO
L.TO (Loblaw Companies Limited) is a stock, while VSP.TO (Vanguard S&P 500 Index ETF (CAD-hedged)) is S&P 500 fund tracking the S&P 500 Index (CAD-hedged). Over the past 10 years, L.TO returned 26.53%/yr vs 13.26%/yr for VSP.TO. At a 0.18 correlation, their price movements are largely independent.
Performance
L.TO vs. VSP.TO - Performance Comparison
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Returns By Period
In the year-to-date period, L.TO achieves a 6.02% return, which is significantly lower than VSP.TO's 7.86% return. Over the past 10 years, L.TO has outperformed VSP.TO with an annualized return of 26.53%, while VSP.TO has yielded a comparatively lower 13.26% annualized return.
L.TO
- 1D
- -0.02%
- 1M
- 2.17%
- 6M
- 5.27%
- YTD
- 6.02%
- 1Y
- 19.74%
- 3Y*
- 34.31%
- 5Y*
- 32.79%
- 10Y*
- 26.53%
- ALL TIME*
- 21.12%
VSP.TO
- 1D
- -0.26%
- 1M
- -0.82%
- 6M
- 7.02%
- YTD
- 7.86%
- 1Y
- 16.95%
- 3Y*
- 17.42%
- 5Y*
- 11.13%
- 10Y*
- 13.26%
- ALL TIME*
- 13.64%
L.TO vs. VSP.TO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
L.TO Loblaw Companies Limited | 6.02% | 34.69% | 54.55% | 13.67% | 21.98% | 76.92% | 1.32% | 17.76% | 51.51% | 4.10% |
VSP.TO Vanguard S&P 500 Index ETF (CAD-hedged) | 7.86% | 15.49% | 23.68% | 24.16% | -19.23% | 27.90% | 15.31% | 30.20% | -6.76% | 21.05% |
Correlation
The correlation between L.TO and VSP.TO is -0.17, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.17 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.09 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.11 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.15 |
Correlation (All Time) Calculated using the full available price history since Nov 8, 2012 | 0.18 |
The correlation between L.TO and VSP.TO shifts across timeframes, from -0.17 (1 year) to 0.18 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
L.TO vs. VSP.TO — Risk / Return Rank
L.TO
VSP.TO
L.TO vs. VSP.TO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Loblaw Companies Limited (L.TO) and Vanguard S&P 500 Index ETF (CAD-hedged) (VSP.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.
| L.TO | VSP.TO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.38 | ||
| Sortino ratioReturn per unit of downside risk | -0.50 | ||
| Omega ratioGain probability vs. loss probability | 1.17 | 1.24 | -0.07 |
| Calmar ratioReturn relative to maximum drawdown | 1.36 | 1.81 | -0.45 |
| Martin ratioReturn relative to average drawdown | 3.08 | 7.11 | -4.03 |
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Drawdowns
L.TO vs. VSP.TO - Drawdown Comparison
The maximum L.TO drawdown since its inception was -44.67%, which is greater than VSP.TO's maximum drawdown of -35.55%. Use the drawdown chart below to compare losses from any high point for L.TO and VSP.TO.
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Drawdown Indicators
| L.TO | VSP.TO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -44.67% | -35.55% | -9.12% |
Max Drawdown (1Y)Largest decline over 1 year | -14.53% | -9.40% | -5.13% |
Max Drawdown (3Y)Largest decline over 3 years | -14.53% | -18.85% | +4.32% |
Max Drawdown (5Y)Largest decline over 5 years | -14.53% | -25.54% | +11.01% |
Max Drawdown (10Y)Largest decline over 10 years | -18.54% | -35.55% | +17.01% |
Current DrawdownCurrent decline from peak | -5.02% | -3.63% | -1.39% |
Average DrawdownAverage peak-to-trough decline | -7.02% | -4.00% | -3.02% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.43% | 2.39% | +4.04% |
Volatility
L.TO vs. VSP.TO - Volatility Comparison
Loblaw Companies Limited (L.TO) has a higher volatility of 6.33% compared to Vanguard S&P 500 Index ETF (CAD-hedged) (VSP.TO) at 2.91%. This indicates that L.TO's price experiences larger fluctuations and is considered to be riskier than VSP.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| L.TO | VSP.TO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.33% | 2.91% | +3.42% |
Volatility (6M)Calculated over the trailing 6-month period | 16.97% | 10.72% | +6.25% |
Volatility (1Y)Calculated over the trailing 1-year period | 21.44% | 13.05% | +8.39% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.06% | 16.97% | +2.09% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.46% | 18.01% | +2.45% |
Dividends
L.TO vs. VSP.TO - Dividend Comparison
L.TO's dividend yield for the trailing twelve months is around 0.88%, more than VSP.TO's 0.87% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
L.TO Loblaw Companies Limited | 0.88% | 2.19% | 4.20% | 5.43% | 5.28% | 5.40% | 8.15% | 7.40% | 6.45% | 7.84% | 7.27% | 7.61% |
VSP.TO Vanguard S&P 500 Index ETF (CAD-hedged) | 0.87% | 0.92% | 1.07% | 1.17% | 1.37% | 1.08% | 1.27% | 1.53% | 1.76% | 1.46% | 1.72% | 1.76% |
Frequently Asked Questions
L.TO and VSP.TO have a correlation of -0.17, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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