SLF vs. VDE
SLF (Sun Life Financial Inc.) is a stock, while VDE (Vanguard Energy ETF) is Energy Equities fund tracking the MSCI US Investable Market Energy 25/50 Index. Over the past 10 years, SLF returned 12.26%/yr vs 9.70%/yr for VDE. At a 0.47 correlation, their price movements are largely independent.
Performance
SLF vs. VDE - Performance Comparison
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Returns By Period
In the year-to-date period, SLF achieves a 17.89% return, which is significantly lower than VDE's 32.24% return. Over the past 10 years, SLF has outperformed VDE with an annualized return of 12.26%, while VDE has yielded a comparatively lower 9.70% annualized return.
SLF
- 1D
- -0.87%
- 1M
- 0.92%
- YTD
- 17.89%
- 6M
- 27.23%
- 1Y
- 15.84%
- 3Y*
- 18.09%
- 5Y*
- 10.73%
- 10Y*
- 12.26%
VDE
- 1D
- 1.13%
- 1M
- -2.17%
- YTD
- 32.24%
- 6M
- 29.32%
- 1Y
- 45.53%
- 3Y*
- 17.97%
- 5Y*
- 20.43%
- 10Y*
- 9.70%
SLF vs. VDE - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SLF Sun Life Financial Inc. | 17.89% | 9.72% | 19.48% | 17.77% | -12.89% | 29.71% | 1.55% | 42.69% | -16.37% | 11.18% |
VDE Vanguard Energy ETF | 32.24% | 7.11% | 6.75% | 0.03% | 62.89% | 56.31% | -33.02% | 9.28% | -19.95% | -2.50% |
Correlation
The correlation between SLF and VDE is -0.12, 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 | -0.12 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.16 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.34 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.43 |
Correlation (All Time) Calculated using the full available price history since Sep 30, 2004 | 0.47 |
The correlation between SLF and VDE shifts across timeframes, from -0.12 (1 year) to 0.47 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
SLF vs. VDE — Risk / Return Rank
SLF
VDE
SLF vs. VDE - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Sun Life Financial Inc. (SLF) and Vanguard Energy ETF (VDE). 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.
| SLF | VDE | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.46 | ||
| Sortino ratioReturn per unit of downside risk | -1.76 | ||
| Omega ratioGain probability vs. loss probability | 1.16 | 1.36 | -0.20 |
| Calmar ratioReturn relative to maximum drawdown | 1.07 | 3.88 | -2.81 |
| Martin ratioReturn relative to average drawdown | 2.30 | 11.42 | -9.11 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| SLF | VDE | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.79 | 2.25 | -1.46 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.56 | 0.78 | -0.22 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.54 | 0.33 | +0.21 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.42 | 0.28 | +0.14 |
Drawdowns
SLF vs. VDE - Drawdown Comparison
The maximum SLF drawdown since its inception was -78.60%, which is greater than VDE's maximum drawdown of -74.20%. Use the drawdown chart below to compare losses from any high point for SLF and VDE.
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Drawdown Indicators
| SLF | VDE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -78.60% | -74.20% | -4.40% |
Max Drawdown (1Y)Largest decline over 1 year | -14.91% | -11.80% | -3.11% |
Max Drawdown (3Y)Largest decline over 3 years | -14.91% | -21.41% | +6.50% |
Max Drawdown (5Y)Largest decline over 5 years | -30.77% | -26.58% | -4.19% |
Max Drawdown (10Y)Largest decline over 10 years | -50.84% | -69.29% | +18.45% |
Current DrawdownCurrent decline from peak | -0.87% | -6.43% | +5.56% |
Average DrawdownAverage peak-to-trough decline | -16.88% | -19.96% | +3.08% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.90% | 4.00% | +2.90% |
Volatility
SLF vs. VDE - Volatility Comparison
The current volatility for Sun Life Financial Inc. (SLF) is 7.05%, while Vanguard Energy ETF (VDE) has a volatility of 7.99%. This indicates that SLF experiences smaller price fluctuations and is considered to be less risky than VDE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SLF | VDE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.05% | 7.99% | -0.94% |
Volatility (6M)Calculated over the trailing 6-month period | 14.08% | 16.33% | -2.25% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.08% | 20.38% | -0.30% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.42% | 26.40% | -6.98% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 22.89% | 29.93% | -7.04% |
Dividends
SLF vs. VDE - Dividend Comparison
SLF's dividend yield for the trailing twelve months is around 3.68%, more than VDE's 2.37% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SLF Sun Life Financial Inc. | 3.68% | 4.03% | 4.00% | 4.98% | 4.59% | 3.32% | 3.69% | 3.47% | 4.71% | 3.17% | 3.98% | 4.64% |
VDE Vanguard Energy ETF | 2.37% | 3.11% | 3.23% | 3.34% | 3.65% | 4.13% | 4.76% | 3.42% | 3.35% | 2.90% | 2.31% | 3.17% |
Frequently Asked Questions
SLF and VDE have a correlation of -0.12, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
VDE has higher volatility (7.99%) compared to SLF (7.05%). In terms of maximum drawdown, SLF dropped -78.60% vs VDE's -74.20%.
VDE currently has the higher Sharpe Ratio (2.25 vs 0.79), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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