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

VMO.TO vs. VVL.TO

Last updated Apr 2, 2026

Compare and contrast key facts about Vanguard Global Momentum Factor ETF CAD (VMO.TO) and Vanguard Global Value Factor ETF CAD (VVL.TO).

VMO.TO and VVL.TO are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. VMO.TO is an actively managed fund by Vanguard. It was launched on Jun 14, 2016. VVL.TO is an actively managed fund by Vanguard. It was launched on Jun 14, 2016.

Performance

VMO.TO vs. VVL.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in Vanguard Global Momentum Factor ETF CAD (VMO.TO) and Vanguard Global Value Factor ETF CAD (VVL.TO). The values are adjusted to include any dividend payments, if applicable.

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

2026 (YTD)202520242023202220212020201920182017
VMO.TO
Vanguard Global Momentum Factor ETF CAD		7.02%23.20%29.68%14.93%-9.09%15.67%21.39%19.55%-5.19%16.81%
VVL.TO
Vanguard Global Value Factor ETF CAD		4.22%21.53%14.96%16.51%0.45%29.74%-3.32%13.38%-9.42%12.32%

Returns By Period

In the year-to-date period, VMO.TO achieves a 7.02% return, which is significantly higher than VVL.TO's 4.22% return.

VMO.TO

1D
1.91%
1M
-3.89%
YTD
7.02%
6M
8.01%
1Y
35.97%
3Y*
24.86%
5Y*
14.23%
10Y*
—

VVL.TO

1D
0.41%
1M
-2.75%
YTD
4.22%
6M
8.25%
1Y
26.07%
3Y*
18.69%
5Y*
13.36%
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

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Vanguard Global Momentum Factor ETF CAD

Vanguard Global Value Factor ETF CAD

Often compared with VMO.TO:
VMO.TO vs. SPMOVMO.TO vs. VFV.TOVMO.TO vs. XEQT.TOVMO.TO vs. IDMOVMO.TO vs. VTVMO.TO vs. XMTM.TOVMO.TO vs. TEC.TO
Often compared with VVL.TO:
VVL.TO vs. VFV.TOVVL.TO vs. XEQT.TOVVL.TO vs. VTVVVL.TO vs. VTVVL.TO vs. ZID.TOVVL.TO vs. SCHDVVL.TO vs. VGG.TO

VMO.TO vs. VVL.TO - Expense Ratio Comparison

Both VMO.TO and VVL.TO have an expense ratio of 0.38%.

VMO.TO
Vanguard Global Momentum Factor ETF CAD
VVL.TO
Vanguard Global Value Factor ETF CAD

Return for Risk

VMO.TO vs. VVL.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: 8282
Overall Rank
VMO.TO Sharpe Ratio Rank: 8181
Sharpe Ratio Rank
VMO.TO Sortino Ratio Rank: 7979
Sortino Ratio Rank
VMO.TO Omega Ratio Rank: 7676
Omega Ratio Rank
VMO.TO Calmar Ratio Rank: 8787
Calmar Ratio Rank
VMO.TO Martin Ratio Rank: 8787
Martin Ratio Rank
VVL.TO
VVL.TO Risk / Return Rank: 6969
Overall Rank
VVL.TO Sharpe Ratio Rank: 7272
Sharpe Ratio Rank
VVL.TO Sortino Ratio Rank: 7171
Sortino Ratio Rank
VVL.TO Omega Ratio Rank: 7171
Omega Ratio Rank
VVL.TO Calmar Ratio Rank: 6666
Calmar Ratio Rank
VVL.TO Martin Ratio Rank: 6565
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. VVL.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Global Momentum Factor ETF CAD (VMO.TO) and Vanguard Global Value Factor ETF CAD (VVL.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.

VMO.TOVVL.TODifference

Sharpe ratio

Return per unit of total volatility

1.60

1.32

+0.28

Sortino ratio

Return per unit of downside risk

2.12

1.84

+0.27

Omega ratio

Gain probability vs. loss probability

1.30

1.27

+0.02

Calmar ratio

Return relative to maximum drawdown

2.87

1.76

+1.11

Martin ratio

Return relative to average drawdown

11.12

6.95

+4.17

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

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

The current VMO.TO Sharpe Ratio is 1.60, which is comparable to the VVL.TO Sharpe Ratio of 1.32. The chart below compares the historical Sharpe Ratios of VMO.TO and VVL.TO, 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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Sharpe Ratios by Period

VMO.TOVVL.TODifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

1.60

1.32

+0.28

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.82

0.84

-0.02

Sharpe Ratio (All Time)

Calculated using the full available price history

0.80

0.63

+0.17

Correlation

The correlation between VMO.TO and VVL.TO is 0.60, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Dividends

VMO.TO vs. VVL.TO - Dividend Comparison

VMO.TO's dividend yield for the trailing twelve months is around 0.80%, less than VVL.TO's 1.81% yield.

TTM2025202420232022202120202019201820172016
VMO.TO
Vanguard Global Momentum Factor ETF CAD		0.80%0.85%0.90%1.03%1.65%1.09%0.70%1.70%0.80%1.15%0.51%
VVL.TO
Vanguard Global Value Factor ETF CAD		1.81%1.89%2.19%2.65%2.52%1.48%1.67%2.60%2.11%1.33%0.59%

Drawdowns

VMO.TO vs. VVL.TO - Drawdown Comparison

The maximum VMO.TO drawdown since its inception was -30.53%, smaller than the maximum VVL.TO drawdown of -43.93%. Use the drawdown chart below to compare losses from any high point for VMO.TO and VVL.TO.

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Drawdown Indicators

VMO.TOVVL.TODifference

Max Drawdown

Largest peak-to-trough decline

-30.53%

-43.93%

+13.40%

Max Drawdown (1Y)

Largest decline over 1 year

-12.29%

-14.38%

+2.09%

Max Drawdown (5Y)

Largest decline over 5 years

-23.27%

-18.10%

-5.17%

Current Drawdown

Current decline from peak

-4.38%

-4.45%

+0.07%

Average Drawdown

Average peak-to-trough decline

-5.28%

-5.79%

+0.51%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.17%

3.64%

-0.47%

Volatility

VMO.TO vs. VVL.TO - Volatility Comparison

Vanguard Global Momentum Factor ETF CAD (VMO.TO) has a higher volatility of 9.18% compared to Vanguard Global Value Factor ETF CAD (VVL.TO) at 5.16%. This indicates that VMO.TO's price experiences larger fluctuations and is considered to be riskier than VVL.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.TOVVL.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

9.18%

5.16%

+4.02%

Volatility (6M)

Calculated over the trailing 6-month period

15.91%

10.49%

+5.42%

Volatility (1Y)

Calculated over the trailing 1-year period

22.60%

19.81%

+2.79%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

17.55%

16.08%

+1.47%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

17.87%

18.85%

-0.98%