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VFVA vs. ^GSPTSE
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

VFVA vs. ^GSPTSE

Last updated May 21, 2025

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

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

Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: VFVA or ^GSPTSE.

Correlation

The correlation between VFVA and ^GSPTSE is 0.75, 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.

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.

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Key characteristics

Sharpe Ratio

VFVA:

0.09

^GSPTSE:

1.11

Sortino Ratio

VFVA:

0.28

^GSPTSE:

1.60

Omega Ratio

VFVA:

1.04

^GSPTSE:

1.23

Calmar Ratio

VFVA:

0.07

^GSPTSE:

1.32

Martin Ratio

VFVA:

0.22

^GSPTSE:

5.70

Ulcer Index

VFVA:

7.90%

^GSPTSE:

2.95%

Daily Std Dev

VFVA:

22.87%

^GSPTSE:

14.51%

Max Drawdown

VFVA:

-48.57%

^GSPTSE:

-49.99%

Current Drawdown

VFVA:

-9.20%

^GSPTSE:

0.00%

Returns By Period

In the year-to-date period, VFVA achieves a -0.91% return, which is significantly lower than ^GSPTSE's 5.37% return.

VFVA

YTD

-0.91%

1M

12.91%

6M

-5.20%

1Y

2.12%

3Y*

8.65%

5Y*

18.88%

10Y*

N/A

^GSPTSE

YTD

5.37%

1M

7.70%

6M

4.18%

1Y

15.98%

3Y*

8.86%

5Y*

11.85%

10Y*

5.54%

*Annualized

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Vanguard U.S. Value Factor ETF

S&P TSX Composite Index (Canada)

Risk-Adjusted Performance

VFVA vs. ^GSPTSE — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
VFVA
The Risk-Adjusted Performance Rank of VFVA is 2121
Overall Rank
The Sharpe Ratio Rank of VFVA is 2020
Sharpe Ratio Rank
The Sortino Ratio Rank of VFVA is 2121
Sortino Ratio Rank
The Omega Ratio Rank of VFVA is 2121
Omega Ratio Rank
The Calmar Ratio Rank of VFVA is 2121
Calmar Ratio Rank
The Martin Ratio Rank of VFVA is 1919
Martin Ratio Rank
^GSPTSE
The Risk-Adjusted Performance Rank of ^GSPTSE is 9393
Overall Rank
The Sharpe Ratio Rank of ^GSPTSE is 9292
Sharpe Ratio Rank
The Sortino Ratio Rank of ^GSPTSE is 9090
Sortino Ratio Rank
The Omega Ratio Rank of ^GSPTSE is 9292
Omega Ratio Rank
The Calmar Ratio Rank of ^GSPTSE is 9595
Calmar Ratio Rank
The Martin Ratio Rank of ^GSPTSE is 9595
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

VFVA vs. ^GSPTSE - Risk-Adjusted Performance 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.

The current VFVA Sharpe Ratio is 0.09, which is lower than the ^GSPTSE Sharpe Ratio of 1.11. 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.

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Drawdowns

VFVA vs. ^GSPTSE - Drawdown Comparison

The maximum VFVA drawdown since its inception was -48.57%, roughly equal to the maximum ^GSPTSE drawdown of -49.99%. Use the drawdown chart below to compare losses from any high point for VFVA and ^GSPTSE. For additional features, visit the drawdowns tool.

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Volatility

VFVA vs. ^GSPTSE - Volatility Comparison

Vanguard U.S. Value Factor ETF (VFVA) has a higher volatility of 6.14% compared to S&P TSX Composite Index (Canada) (^GSPTSE) at 2.21%. This indicates that VFVA's price experiences larger fluctuations and is considered to be riskier than ^GSPTSE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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