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

VMO.TO vs. XEG.TO

Last updated Jun 4, 2026

VMO.TO (Vanguard Global Momentum Factor ETF CAD) and XEG.TO (iShares S&P/TSX Capped Energy Index ETF) are both exchange-traded funds - VMO.TO is a Momentum fund actively managed by Vanguard, while XEG.TO is a Energy Equities fund tracking the S&P/TSX Capped Energy Index. VMO.TO is actively managed, while XEG.TO is passively managed. Over the past 5 years, VMO.TO returned 17.80%/yr vs 29.48%/yr for XEG.TO. At a 0.29 correlation, their price movements are largely independent. VMO.TO charges 0.38%/yr vs 0.61%/yr for XEG.TO.

Performance

VMO.TO vs. XEG.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 iShares S&P/TSX Capped Energy Index ETF (XEG.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 25.71% return, which is significantly lower than XEG.TO's 44.34% return.

VMO.TO

1D
0.55%
1M
7.68%
YTD
25.71%
6M
24.99%
1Y
48.00%
3Y*
31.06%
5Y*
17.80%
10Y*
—

XEG.TO

1D
1.17%
1M
-0.04%
YTD
44.34%
6M
39.73%
1Y
70.40%
3Y*
28.08%
5Y*
29.48%
10Y*
11.85%
*Multi-year figures are annualized to reflect compound growth (CAGR)

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

2026 (YTD)202520242023202220212020201920182017
VMO.TO
Vanguard Global Momentum Factor ETF CAD		25.71%23.20%29.68%14.93%-9.09%15.67%21.39%19.55%-5.19%16.81%
XEG.TO
iShares S&P/TSX Capped Energy Index ETF		44.34%16.72%14.08%3.52%53.25%83.71%-34.41%8.98%-27.05%-11.18%

Correlation

The correlation between VMO.TO and XEG.TO is -0.04, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

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

-0.04

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

0.14

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

0.29

Correlation (All Time)
Calculated using the full available price history since Jun 27, 2016

0.29

The correlation between VMO.TO and XEG.TO shifts across timeframes, from -0.04 (1 year) to 0.29 (5 years), reflecting how their relationship changes across market environments.

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

Sectors
VMO.TO
XEG.TO

Industrials

24.5%

-

Healthcare

16.5%

-

Technology

16.0%

-

Financial Services

11.0%

-

Basic Materials

9.5%

-

Consumer Cyclical

7.4%

-

Energy

6.6%
100.0%

Communication Services

4.1%

-

Consumer Defensive

3.7%

-

Real Estate

0.7%

-

Utilities

0.1%

-

Industrials

VMO.TO
24.5%
XEG.TO

-

Healthcare

VMO.TO
16.5%
XEG.TO

-

Technology

VMO.TO
16.0%
XEG.TO

-

Financial Services

VMO.TO
11.0%
XEG.TO

-

Basic Materials

VMO.TO
9.5%
XEG.TO

-

Consumer Cyclical

VMO.TO
7.4%
XEG.TO

-

Energy

VMO.TO
6.6%
XEG.TO
100.0%

Communication Services

VMO.TO
4.1%
XEG.TO

-

Consumer Defensive

VMO.TO
3.7%
XEG.TO

-

Real Estate

VMO.TO
0.7%
XEG.TO

-

Utilities

VMO.TO
0.1%
XEG.TO

-

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

Vanguard Global Momentum Factor ETF CAD

iShares S&P/TSX Capped Energy Index 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 XEG.TO:
XEG.TO vs. XLEXEG.TO vs. XEQT.TOXEG.TO vs. CNQ.TOXEG.TO vs. HXE.TOXEG.TO vs. ZEO.TOXEG.TO vs. XDIV.TOXEG.TO vs. XCG.TO

Return for Risk

VMO.TO vs. XEG.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: 7878
Overall Rank
VMO.TO Sharpe Ratio Rank: 7676
Sharpe Ratio Rank
VMO.TO Sortino Ratio Rank: 7171
Sortino Ratio Rank
VMO.TO Omega Ratio Rank: 7070
Omega Ratio Rank
VMO.TO Calmar Ratio Rank: 8585
Calmar Ratio Rank
VMO.TO Martin Ratio Rank: 8888
Martin Ratio Rank
XEG.TO
XEG.TO Risk / Return Rank: 8686
Overall Rank
XEG.TO Sharpe Ratio Rank: 8989
Sharpe Ratio Rank
XEG.TO Sortino Ratio Rank: 8080
Sortino Ratio Rank
XEG.TO Omega Ratio Rank: 8080
Omega Ratio Rank
XEG.TO Calmar Ratio Rank: 9292
Calmar Ratio Rank
XEG.TO Martin Ratio Rank: 8787
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. XEG.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 iShares S&P/TSX Capped Energy Index ETF (XEG.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.TOXEG.TODifference
Sharpe ratioReturn per unit of total volatility
2.51
3.11

-0.60

Sortino ratioReturn per unit of downside risk
3.28
3.66

-0.38

Omega ratioGain probability vs. loss probability

1.43

1.49

-0.06

Calmar ratioReturn relative to maximum drawdown

4.79

6.36

-1.57

Martin ratioReturn relative to average drawdown

19.35

19.02

+0.33

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. XEG.TO - Sharpe Ratio Comparison

The current VMO.TO Sharpe Ratio is 2.51, which is comparable to the XEG.TO Sharpe Ratio of 3.11. The chart below compares the historical Sharpe Ratios of VMO.TO and XEG.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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Sharpe Ratios by Period

VMO.TOXEG.TODifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

2.51

3.11

-0.60

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

1.01

1.04

-0.02

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

—

0.36

—

Sharpe Ratio (All Time)

Calculated using the full available price history

0.89

0.28

+0.61

Drawdowns

VMO.TO vs. XEG.TO - Drawdown Comparison

The maximum VMO.TO drawdown since its inception was -30.53%, smaller than the maximum XEG.TO drawdown of -87.74%. Use the drawdown chart below to compare losses from any high point for VMO.TO and XEG.TO.

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Drawdown Indicators

VMO.TOXEG.TODifference

Max Drawdown

Largest peak-to-trough decline

-30.53%

-87.74%

+57.21%

Max Drawdown (1Y)

Largest decline over 1 year

-10.07%

-11.12%

+1.05%

Max Drawdown (3Y)

Largest decline over 3 years

-19.72%

-25.67%

+5.95%

Max Drawdown (5Y)

Largest decline over 5 years

-23.27%

-28.42%

+5.15%

Max Drawdown (10Y)

Largest decline over 10 years

—

-79.66%

—

Current Drawdown

Current decline from peak

0.00%

-4.00%

+4.00%

Average Drawdown

Average peak-to-trough decline

-5.21%

-29.19%

+23.98%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.49%

3.71%

-1.22%

Volatility

VMO.TO vs. XEG.TO - Volatility Comparison

The current volatility for Vanguard Global Momentum Factor ETF CAD (VMO.TO) is 6.22%, while iShares S&P/TSX Capped Energy Index ETF (XEG.TO) has a volatility of 9.31%. This indicates that VMO.TO experiences smaller price fluctuations and is considered to be less risky than XEG.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.TOXEG.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

6.22%

9.31%

-3.09%

Volatility (6M)

Calculated over the trailing 6-month period

15.58%

18.99%

-3.41%

Volatility (1Y)

Calculated over the trailing 1-year period

19.21%

22.76%

-3.55%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

17.66%

28.62%

-10.96%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

17.91%

33.41%

-15.50%

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

VMO.TO has a 0.38% expense ratio, which is lower than XEG.TO's 0.61% expense ratio.

Dividends

VMO.TO vs. XEG.TO - Dividend Comparison

VMO.TO's dividend yield for the trailing twelve months is around 0.68%, less than XEG.TO's 2.65% yield.

PositionTTM20252024202320222021202020192018201720162015
VMO.TO
Vanguard Global Momentum Factor ETF CAD		0.68%0.85%0.90%1.03%1.65%1.09%0.70%1.70%0.80%1.15%0.51%0.00%
XEG.TO
iShares S&P/TSX Capped Energy Index ETF		2.65%3.63%3.46%4.26%3.31%1.64%2.96%2.70%2.25%1.41%1.40%3.58%

Frequently Asked Questions

VMO.TO and XEG.TO have a correlation of -0.04, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

On fees, VMO.TO is cheaper at 0.38% per year. The better choice depends on whether you care most about return, fees, risk, or income.

VMO.TO is cheaper with a 0.38% expense ratio, compared with 0.61% for XEG.TO.

VMO.TO is categorized as Momentum, while XEG.TO is Energy Equities. They also come from different issuers: Vanguard and iShares. Their fees differ too: 0.38% for VMO.TO and 0.61% for XEG.TO.

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