PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan
RY vs. VDY.TO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

RY vs. VDY.TO

Last updated Jun 13, 2026

RY (Royal Bank of Canada) is a stock, while VDY.TO (Vanguard FTSE Canadian High Dividend Yield Index ETF) is Dividend fund tracking the FTSE Canada High Dividend Yield Index. Over the past 10 years, RY returned 17.18%/yr vs 13.61%/yr for VDY.TO. A 0.63 correlation means they provide meaningful diversification when combined.

Performance

RY vs. VDY.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Royal Bank of Canada (RY) and Vanguard FTSE Canadian High Dividend Yield Index ETF (VDY.TO). The values are adjusted to include any dividend payments, if applicable.

Loading charts...

Different Trading Currencies

RY is traded in USD, while VDY.TO is traded in CAD. To make them comparable, the VDY.TO values have been converted to USD using the latest available exchange rates.

Returns By Period

In the year-to-date period, RY achieves a 18.68% return, which is significantly lower than VDY.TO's 21.35% return. Over the past 10 years, RY has outperformed VDY.TO with an annualized return of 17.18%, while VDY.TO has yielded a comparatively lower 13.61% annualized return.

RY

1D
0.14%
1M
8.80%
YTD
18.68%
6M
21.99%
1Y
60.93%
3Y*
33.55%
5Y*
18.33%
10Y*
17.18%

VDY.TO

1D
0.47%
1M
3.28%
YTD
21.35%
6M
21.69%
1Y
45.54%
3Y*
25.54%
5Y*
14.55%
10Y*
13.61%
*Multi-year figures are annualized to reflect compound growth (CAGR)

RY vs. VDY.TO - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
RY
Royal Bank of Canada		18.68%46.29%23.80%12.72%-8.00%34.11%8.42%20.17%-12.88%24.95%
VDY.TO
Vanguard FTSE Canadian High Dividend Yield Index ETF		21.35%35.39%11.96%11.05%-6.18%36.67%1.03%26.64%-17.06%16.18%

Correlation

The correlation between RY and VDY.TO is 0.55, 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

0.55

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

0.62

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

0.66

Correlation (10Y)
Calculated over the trailing 10-year period

0.64

Correlation (All Time)
Calculated using the full available price history since Nov 8, 2012

0.63

The correlation between RY and VDY.TO shifts across timeframes, from 0.55 (1 year) to 0.66 (5 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.

Royal Bank of Canada

Vanguard FTSE Canadian High Dividend Yield Index ETF

Often compared with RY:
RY vs. TDRY vs. BNSRY vs. JPMRY vs. BMORY vs. TD.TORY vs. DOL.TORY vs. EQB.TO
Often compared with VDY.TO:
VDY.TO vs. XEI.TOVDY.TO vs. XDIV.TOVDY.TO vs. VCN.TOVDY.TO vs. SCHDVDY.TO vs. XIC.TOVDY.TO vs. VCE.TOVDY.TO vs. ZDV.TO

Return for Risk

RY vs. VDY.TO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
RY
RY Risk / Return Rank: 9797
Overall Rank
RY Sharpe Ratio Rank: 9898
Sharpe Ratio Rank
RY Sortino Ratio Rank: 9999
Sortino Ratio Rank
RY Omega Ratio Rank: 9898
Omega Ratio Rank
RY Calmar Ratio Rank: 9494
Calmar Ratio Rank
RY Martin Ratio Rank: 9797
Martin Ratio Rank
VDY.TO
VDY.TO Risk / Return Rank: 9898
Overall Rank
VDY.TO Sharpe Ratio Rank: 9999
Sharpe Ratio Rank
VDY.TO Sortino Ratio Rank: 9898
Sortino Ratio Rank
VDY.TO Omega Ratio Rank: 9898
Omega Ratio Rank
VDY.TO Calmar Ratio Rank: 9898
Calmar Ratio Rank
VDY.TO Martin Ratio Rank: 9898
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.

RY vs. VDY.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Royal Bank of Canada (RY) 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.

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.

RYVDY.TODifference
Sharpe ratioReturn per unit of total volatility
3.97
4.99

-1.02

Sortino ratioReturn per unit of downside risk
5.70
6.89

-1.19

Omega ratioGain probability vs. loss probability

1.70

1.94

-0.24

Calmar ratioReturn relative to maximum drawdown

5.97

12.92

-6.95

Martin ratioReturn relative to average drawdown

22.22

44.56

-22.34

RY vs. VDY.TO - Sharpe Ratio Comparison

The current RY Sharpe Ratio is 3.97, which is comparable to the VDY.TO Sharpe Ratio of 4.99. The chart below compares the historical Sharpe Ratios of RY and VDY.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.

Loading charts...

Drawdowns

RY vs. VDY.TO - Drawdown Comparison

The maximum RY drawdown since its inception was -62.90%, which is greater than VDY.TO's maximum drawdown of -44.42%. Use the drawdown chart below to compare losses from any high point for RY and VDY.TO.

Loading charts...

Drawdown Indicators

RYVDY.TODifference

Max Drawdown

Largest peak-to-trough decline

-62.90%

-44.42%

-18.48%

Max Drawdown (1Y)

Largest decline over 1 year

-10.04%

-3.59%

-6.45%

Max Drawdown (3Y)

Largest decline over 3 years

-19.88%

-12.92%

-6.96%

Max Drawdown (5Y)

Largest decline over 5 years

-28.36%

-23.69%

-4.67%

Max Drawdown (10Y)

Largest decline over 10 years

-39.95%

-44.42%

+4.47%

Current Drawdown

Current decline from peak

0.00%

0.00%

0.00%

Average Drawdown

Average peak-to-trough decline

-9.32%

-8.79%

-0.53%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.69%

1.04%

+1.65%

Volatility

RY vs. VDY.TO - Volatility Comparison

Royal Bank of Canada (RY) has a higher volatility of 4.01% compared to Vanguard FTSE Canadian High Dividend Yield Index ETF (VDY.TO) at 3.14%. This indicates that RY'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.

Loading charts...

Volatility by Period

RYVDY.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

4.01%

3.14%

+0.87%

Volatility (6M)

Calculated over the trailing 6-month period

11.34%

7.41%

+3.93%

Volatility (1Y)

Calculated over the trailing 1-year period

15.10%

9.31%

+5.79%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

18.00%

13.44%

+4.56%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

19.76%

17.45%

+2.31%

Dividends

RY vs. VDY.TO - Dividend Comparison

RY's dividend yield for the trailing twelve months is around 2.32%, less than VDY.TO's 2.83% yield.

PositionTTM20252024202320222021202020192018201720162015
RY
Royal Bank of Canada		2.32%2.54%3.39%4.29%4.07%3.24%3.88%3.88%4.27%3.22%3.95%5.41%
VDY.TO
Vanguard FTSE Canadian High Dividend Yield Index ETF		2.83%3.59%4.37%4.64%4.42%3.46%4.59%4.25%4.44%3.42%3.25%4.11%

Frequently Asked Questions

RY and VDY.TO have a correlation of 0.55, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Portfolio Optimizer

Find the right allocation for RY and VDY.TO

Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

Open Portfolio Optimizer