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VMO.TO vs. PZW.TO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

VMO.TO vs. PZW.TO

Last updated Jun 26, 2026

VMO.TO (Vanguard Global Momentum Factor ETF) and PZW.TO (Invesco FTSE RAFI Global Small-Mid ETF) are both exchange-traded funds - VMO.TO is a Momentum fund actively managed by Vanguard, while PZW.TO is a Global Equities fund tracking the 50% FTSE RAFI Developed ex US Mid-Small 1500 Index / 50% FTSE RAFI US 1500 Mid-Small Index. VMO.TO is actively managed, while PZW.TO is passively managed. Over the past 10 years, VMO.TO returned 15.85%/yr vs 11.59%/yr for PZW.TO. At a 0.30 correlation, their price movements are largely independent.

Performance

VMO.TO vs. PZW.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in Vanguard Global Momentum Factor ETF (VMO.TO) and Invesco FTSE RAFI Global Small-Mid ETF (PZW.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, VMO.TO achieves a 30.11% return, which is significantly higher than PZW.TO's 16.50% return. Over the past 10 years, VMO.TO has outperformed PZW.TO with an annualized return of 15.85%, while PZW.TO has yielded a comparatively lower 11.59% annualized return.

VMO.TO

1D
1.41%
1M
4.03%
YTD
30.11%
6M
26.24%
1Y
48.97%
3Y*
32.27%
5Y*
17.68%
10Y*
15.85%

PZW.TO

1D
0.69%
1M
2.96%
YTD
16.50%
6M
15.52%
1Y
32.67%
3Y*
21.45%
5Y*
10.50%
10Y*
11.59%
*Multi-year figures are annualized to reflect compound growth (CAGR)

VMO.TO vs. PZW.TO - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
VMO.TO
Vanguard Global Momentum Factor ETF		30.11%21.72%29.69%14.95%-9.07%15.69%21.40%19.57%-5.19%16.82%
PZW.TO
Invesco FTSE RAFI Global Small-Mid ETF		16.50%18.48%16.03%12.88%-10.53%17.53%7.48%18.01%-8.08%13.64%

Correlation

The correlation between VMO.TO and PZW.TO is 0.28, which is low. Their price movements are largely independent, making them effective diversification partners.

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

0.28

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

0.35

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

0.40

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

0.30

Correlation (All Time)
Calculated using the full available price history since Jun 24, 2016

0.30

The correlation between VMO.TO and PZW.TO shifts across timeframes, from 0.28 (1 year) to 0.40 (5 years), reflecting how their relationship changes across market environments.

VMO.TO vs. PZW.TO - Sectors Allocation Comparison

Sectors
VMO.TO
PZW.TO

Industrials

24.5%
19.2%

Healthcare

16.5%
12.7%

Technology

16.0%
12.2%

Financial Services

11.0%
13.3%

Basic Materials

9.5%
7.0%

Consumer Cyclical

7.4%
12.1%

Energy

6.6%
4.1%

Communication Services

4.1%
3.8%

Consumer Defensive

3.7%
4.6%

Real Estate

0.7%
8.8%

Utilities

0.1%
2.3%

Industrials

VMO.TO
24.5%
PZW.TO
19.2%

Healthcare

VMO.TO
16.5%
PZW.TO
12.7%

Technology

VMO.TO
16.0%
PZW.TO
12.2%

Financial Services

VMO.TO
11.0%
PZW.TO
13.3%

Basic Materials

VMO.TO
9.5%
PZW.TO
7.0%

Consumer Cyclical

VMO.TO
7.4%
PZW.TO
12.1%

Energy

VMO.TO
6.6%
PZW.TO
4.1%

Communication Services

VMO.TO
4.1%
PZW.TO
3.8%

Consumer Defensive

VMO.TO
3.7%
PZW.TO
4.6%

Real Estate

VMO.TO
0.7%
PZW.TO
8.8%

Utilities

VMO.TO
0.1%
PZW.TO
2.3%

Compare stocks, funds, or ETFs

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Vanguard Global Momentum Factor ETF

Invesco FTSE RAFI Global Small-Mid ETF

Often compared with VMO.TO:
VMO.TO vs. SPMOVMO.TO vs. XEQT.TOVMO.TO vs. VFV.TOVMO.TO vs. XMTM.TOVMO.TO vs. IDMOVMO.TO vs. VTVMO.TO vs. TEC.TO
Often compared with PZW.TO:
PZW.TO vs. EQL.TOPZW.TO vs. INAI.TOPZW.TO vs. QQC.TOPZW.TO vs. TEQT.TOPZW.TO vs. QQCE.TOPZW.TO vs. XWD.TOPZW.TO vs. VDU.TO

Return for Risk

VMO.TO vs. PZW.TO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
VMO.TO
VMO.TO Risk / Return Rank: 8585
Overall Rank
VMO.TO Sharpe Ratio Rank: 8585
Sharpe Ratio Rank
VMO.TO Sortino Ratio Rank: 7979
Sortino Ratio Rank
VMO.TO Omega Ratio Rank: 7979
Omega Ratio Rank
VMO.TO Calmar Ratio Rank: 9090
Calmar Ratio Rank
VMO.TO Martin Ratio Rank: 9292
Martin Ratio Rank
PZW.TO
PZW.TO Risk / Return Rank: 8383
Overall Rank
PZW.TO Sharpe Ratio Rank: 8282
Sharpe Ratio Rank
PZW.TO Sortino Ratio Rank: 8686
Sortino Ratio Rank
PZW.TO Omega Ratio Rank: 8585
Omega Ratio Rank
PZW.TO Calmar Ratio Rank: 8282
Calmar Ratio Rank
PZW.TO Martin Ratio Rank: 8080
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.

VMO.TO vs. PZW.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Global Momentum Factor ETF (VMO.TO) and Invesco FTSE RAFI Global Small-Mid ETF (PZW.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.

VMO.TOPZW.TODifference
Sharpe ratioReturn per unit of total volatility
2.37
2.31

+0.06

Sortino ratioReturn per unit of downside risk
3.05
3.40

-0.36

Omega ratioGain probability vs. loss probability

1.40

1.45

-0.05

Calmar ratioReturn relative to maximum drawdown

4.89

3.86

+1.03

Martin ratioReturn relative to average drawdown

19.15

13.78

+5.37

VMO.TO vs. PZW.TO - Sharpe Ratio Comparison

The current VMO.TO Sharpe Ratio is 2.37, which is comparable to the PZW.TO Sharpe Ratio of 2.31. The chart below compares the historical Sharpe Ratios of VMO.TO and PZW.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

VMO.TO vs. PZW.TO - Drawdown Comparison

The maximum VMO.TO drawdown since its inception was -30.53%, smaller than the maximum PZW.TO drawdown of -32.45%. Use the drawdown chart below to compare losses from any high point for VMO.TO and PZW.TO.

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Drawdown Indicators

VMO.TOPZW.TODifference

Max Drawdown

Largest peak-to-trough decline

-30.53%

-32.45%

+1.92%

Max Drawdown (1Y)

Largest decline over 1 year

-10.07%

-8.50%

-1.57%

Max Drawdown (3Y)

Largest decline over 3 years

-19.72%

-16.88%

-2.84%

Max Drawdown (5Y)

Largest decline over 5 years

-23.26%

-22.13%

-1.13%

Max Drawdown (10Y)

Largest decline over 10 years

-30.53%

-32.45%

+1.92%

Current Drawdown

Current decline from peak

-1.31%

0.00%

-1.31%

Average Drawdown

Average peak-to-trough decline

-5.20%

-5.72%

+0.52%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.56%

2.38%

+0.18%

Volatility

VMO.TO vs. PZW.TO - Volatility Comparison

Vanguard Global Momentum Factor ETF (VMO.TO) has a higher volatility of 8.56% compared to Invesco FTSE RAFI Global Small-Mid ETF (PZW.TO) at 2.88%. This indicates that VMO.TO's price experiences larger fluctuations and is considered to be riskier than PZW.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

VMO.TOPZW.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

8.56%

2.88%

+5.68%

Volatility (6M)

Calculated over the trailing 6-month period

17.19%

10.42%

+6.77%

Volatility (1Y)

Calculated over the trailing 1-year period

20.77%

14.20%

+6.57%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

18.30%

14.66%

+3.64%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

19.07%

15.91%

+3.16%

Dividends

VMO.TO vs. PZW.TO - Dividend Comparison

VMO.TO's dividend yield for the trailing twelve months is around 0.66%, less than PZW.TO's 1.67% yield.

PositionTTM20252024202320222021202020192018201720162015
PZW.TO
Invesco FTSE RAFI Global Small-Mid ETF		1.67%1.97%2.12%3.23%1.90%1.93%1.52%2.26%1.78%1.57%1.09%0.96%
VMO.TO
Vanguard Global Momentum Factor ETF		0.66%0.85%0.90%1.04%1.67%1.11%0.71%1.71%0.81%1.17%0.51%0.00%

Frequently Asked Questions

VMO.TO and PZW.TO have a correlation of 0.28, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

VMO.TO is categorized as Momentum, while PZW.TO is Global Equities. They also come from different issuers: Vanguard and Invesco.

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