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VDY.TO vs. GWO.TO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

VDY.TO vs. GWO.TO

Last updated Jun 14, 2026

VDY.TO (Vanguard FTSE Canadian High Dividend Yield Index ETF) is Dividend fund tracking the FTSE Canada High Dividend Yield Index, while GWO.TO (Great-West Lifeco Inc.) is a stock. Over the past 10 years, VDY.TO returned 14.58%/yr vs 14.86%/yr for GWO.TO. At a 0.49 correlation, their price movements are largely independent.

Performance

VDY.TO vs. GWO.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in Vanguard FTSE Canadian High Dividend Yield Index ETF (VDY.TO) and Great-West Lifeco Inc. (GWO.TO). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, VDY.TO achieves a 23.81% return, which is significantly lower than GWO.TO's 25.54% return. Both investments have delivered pretty close results over the past 10 years, with VDY.TO having a 14.58% annualized return and GWO.TO not far ahead at 14.86%.

VDY.TO

1D
0.65%
1M
5.30%
YTD
23.81%
6M
23.43%
1Y
49.57%
3Y*
27.42%
5Y*
17.91%
10Y*
14.58%

GWO.TO

1D
0.58%
1M
8.18%
YTD
25.54%
6M
27.21%
1Y
69.48%
3Y*
35.82%
5Y*
23.88%
10Y*
14.86%
*Multi-year figures are annualized to reflect compound growth (CAGR)

VDY.TO vs. GWO.TO - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
VDY.TO
Vanguard FTSE Canadian High Dividend Yield Index ETF		23.81%29.21%21.44%8.41%-0.23%36.60%-1.37%21.42%-10.09%8.32%
GWO.TO
Great-West Lifeco Inc.		25.54%48.38%14.28%47.70%-12.58%31.45%-2.64%24.53%-15.76%4.08%

Correlation

The correlation between VDY.TO and GWO.TO is 0.14, which is low. Their price movements are largely independent, making them effective diversification partners.

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

0.14

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

0.24

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

0.39

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

0.45

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

0.49

Over the past year, the correlation between VDY.TO and GWO.TO has dropped to 0.14 - well below their long-term average of 0.49, suggesting their price drivers have been diverging.

Compare stocks, funds, or ETFs

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Vanguard FTSE Canadian High Dividend Yield Index ETF

Great-West Lifeco Inc.

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
Often compared with GWO.TO:
GWO.TO vs. MFC.TOGWO.TO vs. POW.TOGWO.TO vs. SLF.TOGWO.TO vs. ABX.TOGWO.TO vs. CAR-UN.TOGWO.TO vs. FM.TOGWO.TO vs. WELL.TO

Return for Risk

VDY.TO vs. GWO.TO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
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
GWO.TO
GWO.TO Risk / Return Rank: 9797
Overall Rank
GWO.TO Sharpe Ratio Rank: 9898
Sharpe Ratio Rank
GWO.TO Sortino Ratio Rank: 9898
Sortino Ratio Rank
GWO.TO Omega Ratio Rank: 9898
Omega Ratio Rank
GWO.TO Calmar Ratio Rank: 9494
Calmar Ratio Rank
GWO.TO Martin Ratio Rank: 9696
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.

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

This table presents a comparison of risk-adjusted performance metrics for Vanguard FTSE Canadian High Dividend Yield Index ETF (VDY.TO) and Great-West Lifeco Inc. (GWO.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.

VDY.TOGWO.TODifference
Sharpe ratioReturn per unit of total volatility
5.98
4.24

+1.74

Sortino ratioReturn per unit of downside risk
8.59
5.15

+3.45

Omega ratioGain probability vs. loss probability

2.21

1.77

+0.44

Calmar ratioReturn relative to maximum drawdown

15.94

5.76

+10.18

Martin ratioReturn relative to average drawdown

64.95

21.70

+43.25

VDY.TO vs. GWO.TO - Sharpe Ratio Comparison

The current VDY.TO Sharpe Ratio is 5.98, which is higher than the GWO.TO Sharpe Ratio of 4.24. The chart below compares the historical Sharpe Ratios of VDY.TO and GWO.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

VDY.TO vs. GWO.TO - Drawdown Comparison

The maximum VDY.TO drawdown since its inception was -39.21%, smaller than the maximum GWO.TO drawdown of -67.52%. Use the drawdown chart below to compare losses from any high point for VDY.TO and GWO.TO.

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Drawdown Indicators

VDY.TOGWO.TODifference

Max Drawdown

Largest peak-to-trough decline

-39.21%

-67.52%

+28.31%

Max Drawdown (1Y)

Largest decline over 1 year

-3.12%

-12.34%

+9.22%

Max Drawdown (3Y)

Largest decline over 3 years

-10.38%

-12.82%

+2.44%

Max Drawdown (5Y)

Largest decline over 5 years

-16.17%

-27.64%

+11.47%

Max Drawdown (10Y)

Largest decline over 10 years

-39.21%

-44.96%

+5.75%

Current Drawdown

Current decline from peak

0.00%

0.00%

0.00%

Average Drawdown

Average peak-to-trough decline

-4.47%

-11.31%

+6.84%

Ulcer Index

Depth and duration of drawdowns from previous peaks

0.76%

3.27%

-2.51%

Volatility

VDY.TO vs. GWO.TO - Volatility Comparison

The current volatility for Vanguard FTSE Canadian High Dividend Yield Index ETF (VDY.TO) is 3.27%, while Great-West Lifeco Inc. (GWO.TO) has a volatility of 4.80%. This indicates that VDY.TO experiences smaller price fluctuations and is considered to be less risky than GWO.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

VDY.TOGWO.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

3.27%

4.80%

-1.53%

Volatility (6M)

Calculated over the trailing 6-month period

6.96%

12.35%

-5.39%

Volatility (1Y)

Calculated over the trailing 1-year period

8.32%

16.77%

-8.45%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

11.58%

16.64%

-5.06%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

15.95%

20.75%

-4.80%

Dividends

VDY.TO vs. GWO.TO - Dividend Comparison

VDY.TO's dividend yield for the trailing twelve months is around 2.83%, less than GWO.TO's 3.07% yield.

PositionTTM20252024202320222021202020192018201720162015
GWO.TO
Great-West Lifeco Inc.		3.07%3.60%4.66%4.74%6.26%4.75%5.77%4.97%5.52%4.18%3.94%3.78%
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

VDY.TO and GWO.TO have a correlation of 0.14, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

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