PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
VUN.TO vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VUN.TOSPY
YTD Return16.56%14.55%
1Y Return27.18%24.41%
3Y Return (Ann)12.15%10.17%
5Y Return (Ann)14.49%15.27%
10Y Return (Ann)14.41%12.82%
Sharpe Ratio2.792.30
Daily Std Dev9.88%11.28%
Max Drawdown-28.19%-55.19%
Current Drawdown-0.24%0.00%

Correlation

-0.50.00.51.00.9

The correlation between VUN.TO and SPY is 0.87, 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

VUN.TO vs. SPY - Performance Comparison

In the year-to-date period, VUN.TO achieves a 16.56% return, which is significantly higher than SPY's 14.55% return. Over the past 10 years, VUN.TO has outperformed SPY with an annualized return of 14.41%, while SPY has yielded a comparatively lower 12.82% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


200.00%220.00%240.00%260.00%280.00%2024FebruaryMarchAprilMayJune
252.30%
289.74%
VUN.TO
SPY

Compare stocks, funds, or ETFs

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


Vanguard US Total Market Index ETF

SPDR S&P 500 ETF

VUN.TO vs. SPY - Expense Ratio Comparison

VUN.TO has a 0.17% expense ratio, which is higher than SPY's 0.09% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


VUN.TO
Vanguard US Total Market Index ETF
Expense ratio chart for VUN.TO: current value at 0.17% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.17%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

VUN.TO vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard US Total Market Index ETF (VUN.TO) and SPDR S&P 500 ETF (SPY). 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.


VUN.TO
Sharpe ratio
The chart of Sharpe ratio for VUN.TO, currently valued at 2.08, compared to the broader market0.002.004.006.002.08
Sortino ratio
The chart of Sortino ratio for VUN.TO, currently valued at 2.95, compared to the broader market0.005.0010.002.95
Omega ratio
The chart of Omega ratio for VUN.TO, currently valued at 1.37, compared to the broader market0.501.001.502.002.503.003.501.37
Calmar ratio
The chart of Calmar ratio for VUN.TO, currently valued at 1.66, compared to the broader market0.005.0010.0015.0020.001.66
Martin ratio
The chart of Martin ratio for VUN.TO, currently valued at 7.63, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.63
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 2.34, compared to the broader market0.002.004.006.002.34
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 3.29, compared to the broader market0.005.0010.003.29
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.42, compared to the broader market0.501.001.502.002.503.003.501.42
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 2.24, compared to the broader market0.005.0010.0015.0020.002.24
Martin ratio
The chart of Martin ratio for SPY, currently valued at 9.05, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.05

VUN.TO vs. SPY - Sharpe Ratio Comparison

The current VUN.TO Sharpe Ratio is 2.79, which roughly equals the SPY Sharpe Ratio of 2.30. The chart below compares the 12-month rolling Sharpe Ratio of VUN.TO and SPY.


Rolling 12-month Sharpe Ratio1.502.002.503.002024FebruaryMarchAprilMayJune
2.08
2.34
VUN.TO
SPY

Dividends

VUN.TO vs. SPY - Dividend Comparison

VUN.TO's dividend yield for the trailing twelve months is around 1.00%, less than SPY's 1.24% yield.


TTM20232022202120202019201820172016201520142013
VUN.TO
Vanguard US Total Market Index ETF
1.00%1.10%1.21%0.97%1.15%1.45%1.52%1.39%1.50%1.49%1.32%0.63%
SPY
SPDR S&P 500 ETF
0.94%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

VUN.TO vs. SPY - Drawdown Comparison

The maximum VUN.TO drawdown since its inception was -28.19%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for VUN.TO and SPY. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%2024FebruaryMarchAprilMayJune
-0.29%
0
VUN.TO
SPY

Volatility

VUN.TO vs. SPY - Volatility Comparison

Vanguard US Total Market Index ETF (VUN.TO) has a higher volatility of 2.49% compared to SPDR S&P 500 ETF (SPY) at 2.26%. This indicates that VUN.TO's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%2.50%3.00%3.50%4.00%2024FebruaryMarchAprilMayJune
2.49%
2.26%
VUN.TO
SPY