VFVA vs. ^GSPTSE
VFVA (Vanguard U.S. Value Factor ETF) is Mid Cap Value Equities fund actively managed by Vanguard, while ^GSPTSE (S&P/TSX Composite Index) is an index. Over the past 5 years, VFVA returned 10.26%/yr vs 8.47%/yr for ^GSPTSE. A 0.63 correlation means they provide meaningful diversification when combined.
Performance
VFVA vs. ^GSPTSE - Performance Comparison
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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 10.62% return, which is significantly higher than ^GSPTSE's 6.53% return.
VFVA
- 1D
- 0.92%
- 1M
- 1.12%
- YTD
- 10.62%
- 6M
- 9.71%
- 1Y
- 27.81%
- 3Y*
- 17.65%
- 5Y*
- 10.26%
- 10Y*
- —
^GSPTSE
- 1D
- -0.10%
- 1M
- -1.41%
- YTD
- 6.53%
- 6M
- 5.80%
- 1Y
- 27.37%
- 3Y*
- 18.64%
- 5Y*
- 8.47%
- 10Y*
- 8.58%
VFVA vs. ^GSPTSE - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
VFVA Vanguard U.S. Value Factor ETF | 10.62% | 14.77% | 7.67% | 17.37% | -3.96% | 36.94% | 2.28% | 25.42% | -18.90% |
^GSPTSE S&P/TSX Composite Index | 6.53% | 34.38% | 8.78% | 10.75% | -14.10% | 21.80% | 4.65% | 24.25% | -13.65% |
Correlation
The correlation between VFVA and ^GSPTSE is 0.50, 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 | 0.50 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.61 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.65 |
Correlation (All Time) Calculated using the full available price history since Feb 15, 2018 | 0.63 |
The correlation between VFVA and ^GSPTSE shifts across timeframes, from 0.50 (1 year) to 0.65 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
VFVA vs. ^GSPTSE — Risk / Return Rank
VFVA
^GSPTSE
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 (^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.
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.
| VFVA | ^GSPTSE | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.15 | ||
| Sortino ratioReturn per unit of downside risk | +0.07 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 1.35 | -0.03 |
| Calmar ratioReturn relative to maximum drawdown | 3.27 | 2.81 | +0.46 |
| Martin ratioReturn relative to average drawdown | 10.32 | 11.55 | -1.22 |
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Drawdowns
VFVA vs. ^GSPTSE - Drawdown Comparison
The maximum VFVA drawdown since its inception was -48.58%, smaller than the maximum ^GSPTSE drawdown of -62.74%. Use the drawdown chart below to compare losses from any high point for VFVA and ^GSPTSE.
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Drawdown Indicators
| VFVA | ^GSPTSE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -48.58% | -62.74% | +14.16% |
Max Drawdown (1Y)Largest decline over 1 year | -8.55% | -9.78% | +1.23% |
Max Drawdown (3Y)Largest decline over 3 years | -24.07% | -13.73% | -10.34% |
Max Drawdown (5Y)Largest decline over 5 years | -24.07% | -25.26% | +1.19% |
Max Drawdown (10Y)Largest decline over 10 years | — | -42.79% | — |
Current DrawdownCurrent decline from peak | -2.03% | -2.93% | +0.90% |
Average DrawdownAverage peak-to-trough decline | -7.32% | -16.33% | +9.01% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.70% | 2.38% | +0.32% |
Volatility
VFVA vs. ^GSPTSE - Volatility Comparison
The current volatility for Vanguard U.S. Value Factor ETF (VFVA) is 3.78%, while S&P/TSX Composite Index (^GSPTSE) has a volatility of 4.22%. 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.
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Volatility by Period
| VFVA | ^GSPTSE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.78% | 4.22% | -0.44% |
Volatility (6M)Calculated over the trailing 6-month period | 9.93% | 11.12% | -1.19% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.31% | 13.91% | +1.40% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.14% | 14.85% | +5.29% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 24.30% | 16.57% | +7.73% |
Frequently Asked Questions
VFVA and ^GSPTSE have a correlation of 0.50, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^GSPTSE has higher volatility (4.22%) compared to VFVA (3.78%). In terms of maximum drawdown, VFVA dropped -48.58% vs ^GSPTSE's -62.74%.
^GSPTSE currently has the higher Sharpe Ratio (1.98 vs 1.83), 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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