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TQGM.TO vs. VLUE
Performance
Return for Risk
Drawdowns
Volatility
Dividends

TQGM.TO vs. VLUE

Last updated Jul 16, 2026
Documentation

TQGM.TO (TD Q Global Multifactor ETF) and VLUE (iShares MSCI USA Value Factor ETF) are both exchange-traded funds - TQGM.TO is a Multi-factor fund actively managed by TD, while VLUE is a Large Cap Value Equities fund tracking the MSCI USA Enhanced Value Index. TQGM.TO is actively managed, while VLUE is passively managed. Over the past 5 years, TQGM.TO returned 13.39%/yr vs 18.98%/yr for VLUE. At a 0.34 correlation, their price movements are largely independent. TQGM.TO charges 0.45%/yr vs 0.15%/yr for VLUE.

Performance

TQGM.TO vs. VLUE - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in TD Q Global Multifactor ETF (TQGM.TO) and iShares MSCI USA Value Factor ETF (VLUE). The values are adjusted to include any dividend payments, if applicable.

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Different Trading Currencies

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

Returns By Period

In the year-to-date period, TQGM.TO achieves a 14.87% return, which is significantly lower than VLUE's 44.65% return.

TQGM.TO

1D
-0.15%
1M
0.08%
6M
10.95%
YTD
14.87%
1Y
27.71%
3Y*
21.85%
5Y*
13.39%
10Y*
—

VLUE

1D
-2.75%
1M
-4.89%
6M
35.74%
YTD
44.65%
1Y
76.14%
3Y*
32.62%
5Y*
18.98%
10Y*
15.43%
*Multi-year figures are annualized to reflect compound growth (CAGR)

TQGM.TO vs. VLUE - Yearly Performance Comparison

2026 (YTD)2025202420232022202120202019
TQGM.TO
TD Q Global Multifactor ETF		14.87%20.97%25.26%8.13%-4.74%12.19%0.64%0.00%
VLUE
iShares MSCI USA Value Factor ETF		44.65%26.61%16.33%11.55%-8.73%28.87%-2.60%1.46%

Correlation

The correlation between TQGM.TO and VLUE is 0.69, 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

0.69

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

0.44

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

0.37

Correlation (All Time)
Calculated using the full available price history since Nov 19, 2019

0.34

Over the past year, TQGM.TO and VLUE have become more correlated (0.69) than their long-term average of 0.34, meaning their price movements have been converging.

TQGM.TO vs. VLUE - Sectors Allocation Comparison

Sectors
TQGM.TO
VLUE

Technology

19.6%
40.2%

Financial Services

16.3%
11.2%

Industrials

14.8%
8.3%

Consumer Cyclical

12.5%
10.1%

Consumer Defensive

10.1%
4.4%

Communication Services

8.1%
8.9%

Energy

5.2%
3.3%

Healthcare

4.0%
8.2%

Basic Materials

2.4%
1.3%

Utilities

1.1%
2.1%

Real Estate

0.1%
1.9%

Technology

TQGM.TO
19.6%
VLUE
40.2%

Financial Services

TQGM.TO
16.3%
VLUE
11.2%

Industrials

TQGM.TO
14.8%
VLUE
8.3%

Consumer Cyclical

TQGM.TO
12.5%
VLUE
10.1%

Consumer Defensive

TQGM.TO
10.1%
VLUE
4.4%

Communication Services

TQGM.TO
8.1%
VLUE
8.9%

Energy

TQGM.TO
5.2%
VLUE
3.3%

Healthcare

TQGM.TO
4.0%
VLUE
8.2%

Basic Materials

TQGM.TO
2.4%
VLUE
1.3%

Utilities

TQGM.TO
1.1%
VLUE
2.1%

Real Estate

TQGM.TO
0.1%
VLUE
1.9%

Compare stocks, funds, or ETFs

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

TD Q Global Multifactor ETF

iShares MSCI USA Value Factor ETF

Often compared with TQGM.TO:
TQGM.TO vs. TINF.TOTQGM.TO vs. IS.TOTQGM.TO vs. TQCD.TOTQGM.TO vs. ZMI.TOTQGM.TO vs. TBAL.TOTQGM.TO vs. HURA.TOTQGM.TO vs. TCSH.TO
Often compared with VLUE:
VLUE vs. AVLVVLUE vs. VLUVLUE vs. VOOVLUE vs. IUSVVLUE vs. VTVVLUE vs. QVALVLUE vs. SCHV

Return for Risk

TQGM.TO vs. VLUE — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
TQGM.TO
TQGM.TO Risk / Return Rank: 9191
Overall Rank
TQGM.TO Sharpe Ratio Rank: 9191
Sharpe Ratio Rank
TQGM.TO Sortino Ratio Rank: 9292
Sortino Ratio Rank
TQGM.TO Omega Ratio Rank: 9090
Omega Ratio Rank
TQGM.TO Calmar Ratio Rank: 8989
Calmar Ratio Rank
TQGM.TO Martin Ratio Rank: 9191
Martin Ratio Rank
VLUE
VLUE Risk / Return Rank: 9696
Overall Rank
VLUE Sharpe Ratio Rank: 9797
Sharpe Ratio Rank
VLUE Sortino Ratio Rank: 9696
Sortino Ratio Rank
VLUE Omega Ratio Rank: 9595
Omega Ratio Rank
VLUE Calmar Ratio Rank: 9797
Calmar Ratio Rank
VLUE Martin Ratio Rank: 9797
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.

TQGM.TO vs. VLUE - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for TD Q Global Multifactor ETF (TQGM.TO) and iShares MSCI USA Value Factor ETF (VLUE). 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.

TQGM.TOVLUEDifference
Sharpe ratioReturn per unit of total volatility
2.53
3.75

-1.22

Sortino ratioReturn per unit of downside risk
3.69
4.89

-1.21

Omega ratioGain probability vs. loss probability

1.46

1.63

-0.17

Calmar ratioReturn relative to maximum drawdown

4.24

9.91

-5.67

Martin ratioReturn relative to average drawdown

17.23

34.06

-16.83

TQGM.TO vs. VLUE - Sharpe Ratio Comparison

The current TQGM.TO Sharpe Ratio is 2.53, which is lower than the VLUE Sharpe Ratio of 3.75. The chart below compares the historical Sharpe Ratios of TQGM.TO and VLUE, 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

TQGM.TO vs. VLUE - Drawdown Comparison

The maximum TQGM.TO drawdown since its inception was -24.34%, smaller than the maximum VLUE drawdown of -34.15%. Use the drawdown chart below to compare losses from any high point for TQGM.TO and VLUE.

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Drawdown Indicators

TQGM.TOVLUEDifference

Max Drawdown

Largest peak-to-trough decline

-24.34%

-34.15%

+9.81%

Max Drawdown (1Y)

Largest decline over 1 year

-6.57%

-7.73%

+1.16%

Max Drawdown (3Y)

Largest decline over 3 years

-10.38%

-17.03%

+6.65%

Max Drawdown (5Y)

Largest decline over 5 years

-14.62%

-20.58%

+5.96%

Max Drawdown (10Y)

Largest decline over 10 years

—

-34.15%

—

Current Drawdown

Current decline from peak

-0.87%

-7.73%

+6.86%

Average Drawdown

Average peak-to-trough decline

-3.42%

-4.87%

+1.45%

Ulcer Index

Depth and duration of drawdowns from previous peaks

1.61%

2.24%

-0.63%

Volatility

TQGM.TO vs. VLUE - Volatility Comparison

The current volatility for TD Q Global Multifactor ETF (TQGM.TO) is 2.31%, while iShares MSCI USA Value Factor ETF (VLUE) has a volatility of 9.05%. This indicates that TQGM.TO experiences smaller price fluctuations and is considered to be less risky than VLUE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

TQGM.TOVLUEDifference

Volatility (1M)

Calculated over the trailing 1-month period

2.31%

9.05%

-6.74%

Volatility (6M)

Calculated over the trailing 6-month period

8.67%

17.62%

-8.95%

Volatility (1Y)

Calculated over the trailing 1-year period

11.03%

20.46%

-9.43%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

10.85%

19.19%

-8.34%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

12.38%

20.87%

-8.49%

TQGM.TO vs. VLUE - Expense Ratio Comparison

TQGM.TO has a 0.45% expense ratio, which is higher than VLUE's 0.15% expense ratio.

Dividends

TQGM.TO vs. VLUE - Dividend Comparison

TQGM.TO's dividend yield for the trailing twelve months is around 1.19%, less than VLUE's 1.46% yield.

PositionTTM20252024202320222021202020192018201720162015
TQGM.TO
TD Q Global Multifactor ETF		1.19%1.36%2.18%2.67%2.82%2.40%2.17%0.00%0.00%0.00%0.00%0.00%
VLUE
iShares MSCI USA Value Factor ETF		1.46%2.11%2.73%2.66%3.18%2.22%2.42%2.61%2.70%2.14%2.07%2.39%

Frequently Asked Questions

TQGM.TO and VLUE have a correlation of 0.69, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

On fees, VLUE is cheaper at 0.15% per year. The better choice depends on whether you care most about return, fees, risk, or income.

VLUE is cheaper with a 0.15% expense ratio, compared with 0.45% for TQGM.TO.

TQGM.TO is categorized as Multi-factor, while VLUE is Large Cap Value Equities. They also come from different issuers: TD and iShares. Their fees differ too: 0.45% for TQGM.TO and 0.15% for VLUE.

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