VFVA vs. ^GSPTSE

Last updated Apr 2, 2026

Compare and contrast key facts about Vanguard U.S. Value Factor ETF (VFVA) and S&P TSX Composite Index (Canada) (^GSPTSE).

VFVA is an actively managed fund by Vanguard. It was launched on Feb 13, 2018.

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.

VFVA vs. ^GSPTSE - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
VFVA Vanguard U.S. Value Factor ETF	2.10%	14.77%	7.67%	17.37%	-3.96%	36.94%	2.28%	25.42%	-15.61%
^GSPTSE S&P TSX Composite Index (Canada)	2.71%	34.39%	8.67%	10.58%	-14.77%	22.64%	4.21%	25.08%	-14.97%

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 2.10% return, which is significantly lower than ^GSPTSE's 2.71% return.

VFVA

• 1D: 0.20%
• 1M: -4.12%
• YTD: 2.10%
• 6M: 6.23%
• 1Y: 20.92%
• 3Y*: 14.37%
• 5Y*: 9.69%
• 10Y*: —

^GSPTSE

• 1D: 0.69%
• 1M: -6.01%
• YTD: 2.71%
• 6M: 9.87%
• 1Y: 35.57%
• 3Y*: 16.86%
• 5Y*: 9.41%
• 10Y*: 8.66%

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

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: 52
VFVA Sharpe Ratio Rank: 50
VFVA Sortino Ratio Rank: 53
VFVA Omega Ratio Rank: 53
VFVA Calmar Ratio Rank: 50
VFVA Martin Ratio Rank: 53

^GSPTSE

^GSPTSE Risk / Return Rank: 94
^GSPTSE Sharpe Ratio Rank: 95
^GSPTSE Sortino Ratio Rank: 95
^GSPTSE Omega Ratio Rank: 96
^GSPTSE Calmar Ratio Rank: 92
^GSPTSE Martin Ratio Rank: 92

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	0.94	2.09	-1.14
Sortino ratio Return per unit of downside risk	1.45	2.73	-1.28
Omega ratio Gain probability vs. loss probability	1.21	1.41	-0.20
Calmar ratio Return relative to maximum drawdown	1.35	3.35	-2.00
Martin ratio Return relative to average drawdown	5.36	14.88	-9.52
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 0.94, which is lower than the ^GSPTSE Sharpe Ratio of 2.09. The chart below compares the historical Sharpe Ratios of VFVA and ^GSPTSE, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	VFVA	^GSPTSE	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.94	2.09	-1.14
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.48	0.56	-0.07
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.46	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.39	0.39	0.00

Correlation

The correlation between VFVA and ^GSPTSE is 0.73, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

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%	-49.99%	+1.41%
Max Drawdown (1Y) Largest decline over 1 year	-15.54%	-11.07%	-4.47%
Max Drawdown (5Y) Largest decline over 5 years	-24.07%	-17.57%	-6.50%
Max Drawdown (10Y) Largest decline over 10 years	—	-37.43%	—
Current Drawdown Current decline from peak	-6.24%	-4.58%	-1.66%
Average Drawdown Average peak-to-trough decline	-7.43%	-11.55%	+4.12%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.91%	2.50%	+1.41%

Volatility

VFVA vs. ^GSPTSE - Volatility Comparison

The current volatility for Vanguard U.S. Value Factor ETF (VFVA) is 4.33%, while S&P TSX Composite Index (Canada) (^GSPTSE) has a volatility of 5.87%. 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	4.33%	5.87%	-1.54%
Volatility (6M) Calculated over the trailing 6-month period	11.07%	12.09%	-1.02%
Volatility (1Y) Calculated over the trailing 1-year period	22.24%	17.16%	+5.08%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	20.25%	17.03%	+3.22%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	24.51%	18.78%	+5.73%