VFVA vs. ^GSPTSE

Last updated Jun 3, 2026

VFVA (Vanguard U.S. Value Factor ETF) is Mid Cap Value Equities fund actively managed by Vanguard, while ^GSPTSE (S&P TSX Composite Index (Canada)) is an index. Over the past 5 years, VFVA returned 9.83%/yr vs 9.07%/yr for ^GSPTSE. A 0.72 correlation means they provide meaningful diversification when combined.

Performance

VFVA vs. ^GSPTSE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard U.S. Value Factor ETF (VFVA) and S&P TSX Composite Index (Canada) (^GSPTSE). The values are adjusted to include any dividend payments, if applicable.

Different Trading Currencies

VFVA is traded in USD, while ^GSPTSE is traded in CAD. To make them comparable, the ^GSPTSE values have been converted to USD using the latest available exchange rates.

Returns By Period

In the year-to-date period, VFVA achieves a 10.97% return, which is significantly higher than ^GSPTSE's 10.05% return.

VFVA

• 1D: -0.19%
• 1M: 1.33%
• YTD: 10.97%
• 6M: 13.44%
• 1Y: 32.32%
• 3Y*: 17.86%
• 5Y*: 9.83%
• 10Y*: —

^GSPTSE

• 1D: 1.28%
• 1M: 1.96%
• YTD: 10.05%
• 6M: 14.40%
• 1Y: 32.20%
• 3Y*: 19.47%
• 5Y*: 9.07%
• 10Y*: 8.74%

*Multi-year figures are annualized to reflect compound growth (CAGR)

VFVA vs. ^GSPTSE - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
VFVA Vanguard U.S. Value Factor ETF	10.97%	14.77%	7.67%	17.37%	-3.96%	36.94%	2.28%	25.42%	-15.61%
^GSPTSE S&P TSX Composite Index (Canada)	10.05%	34.39%	8.67%	10.58%	-14.77%	22.64%	4.21%	25.08%	-14.97%

Correlation

The correlation between VFVA and ^GSPTSE is 0.53, 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	0.53
Correlation (3Y) Calculated over the trailing 3-year period	0.66
Correlation (5Y) Calculated over the trailing 5-year period	0.74
Correlation (All Time) Calculated using the full available price history since Feb 16, 2018	0.72

The correlation between VFVA and ^GSPTSE shifts across timeframes, from 0.53 (1 year) to 0.74 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

VFVA vs. ^GSPTSE — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

VFVA

VFVA Risk / Return Rank: 66
VFVA Sharpe Ratio Rank: 63
VFVA Sortino Ratio Rank: 67
VFVA Omega Ratio Rank: 61
VFVA Calmar Ratio Rank: 73
VFVA Martin Ratio Rank: 64

^GSPTSE

^GSPTSE Risk / Return Rank: 88
^GSPTSE Sharpe Ratio Rank: 85
^GSPTSE Sortino Ratio Rank: 85
^GSPTSE Omega Ratio Rank: 88
^GSPTSE Calmar Ratio Rank: 88
^GSPTSE Martin Ratio Rank: 93

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.

VFVA vs. ^GSPTSE - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard U.S. Value Factor ETF (VFVA) and S&P TSX Composite Index (Canada) (^GSPTSE). 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.

	VFVA	^GSPTSE	Difference
Sharpe ratio Return per unit of total volatility	2.12	2.26	-0.14
Sortino ratio Return per unit of downside risk	3.09	2.93	+0.16
Omega ratio Gain probability vs. loss probability	1.37	1.40	-0.03
Calmar ratio Return relative to maximum drawdown	3.73	3.36	+0.37
Martin ratio Return relative to average drawdown	11.86	13.80	-1.95
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

VFVA vs. ^GSPTSE - Sharpe Ratio Comparison

The current VFVA Sharpe Ratio is 2.12, which is comparable to the ^GSPTSE Sharpe Ratio of 2.26. The chart below compares the historical Sharpe Ratios of VFVA and ^GSPTSE, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	VFVA	^GSPTSE	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.12	2.26	-0.14
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.49	0.54	-0.05
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.47	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.43	0.35	+0.09

Drawdowns

VFVA vs. ^GSPTSE - Drawdown Comparison

The maximum VFVA drawdown since its inception was -48.58%, roughly equal to the maximum ^GSPTSE drawdown of -47.98%. Use the drawdown chart below to compare losses from any high point for VFVA and ^GSPTSE.

Drawdown Indicators

	VFVA	^GSPTSE	Difference
Max Drawdown Largest peak-to-trough decline	-48.58%	-47.98%	-0.60%
Max Drawdown (1Y) Largest decline over 1 year	-8.55%	-9.62%	+1.07%
Max Drawdown (3Y) Largest decline over 3 years	-24.07%	-13.81%	-10.26%
Max Drawdown (5Y) Largest decline over 5 years	-24.07%	-25.50%	+1.43%
Max Drawdown (10Y) Largest decline over 10 years	—	-42.97%	—
Current Drawdown Current decline from peak	-0.19%	0.00%	-0.19%
Average Drawdown Average peak-to-trough decline	-7.31%	-13.49%	+6.18%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.69%	2.34%	+0.35%

Volatility

VFVA vs. ^GSPTSE - Volatility Comparison

The current volatility for Vanguard U.S. Value Factor ETF (VFVA) is 3.21%, while S&P TSX Composite Index (Canada) (^GSPTSE) has a volatility of 3.58%. This indicates that VFVA experiences smaller price fluctuations and is considered to be less risky than ^GSPTSE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	VFVA	^GSPTSE	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.21%	3.58%	-0.37%
Volatility (6M) Calculated over the trailing 6-month period	9.71%	11.61%	-1.90%
Volatility (1Y) Calculated over the trailing 1-year period	15.29%	14.31%	+0.98%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	20.17%	17.06%	+3.11%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	24.32%	18.73%	+5.59%

Frequently Asked Questions

Can I hold both VFVA and ^GSPTSE in my portfolio?

VFVA and ^GSPTSE have a correlation of 0.53, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, VFVA or ^GSPTSE?

^GSPTSE has higher volatility (3.58%) compared to VFVA (3.21%). In terms of maximum drawdown, VFVA dropped -48.58% vs ^GSPTSE's -47.98%.

Which has better risk-adjusted returns?

^GSPTSE currently has the higher Sharpe Ratio (2.26 vs 2.12), 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.