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

VVL.TO vs. DRFG.TO

Last updated Jul 18, 2026
Documentation

VVL.TO (Vanguard Global Value Factor ETF CAD) and DRFG.TO (Desjardins RI Global Multifactor Fossil Fuel Reserves Free ETF) are both Global Equities funds. Both are actively managed. Over the past 5 years, VVL.TO returned 15.08%/yr vs 13.44%/yr for DRFG.TO. At a 0.39 correlation, their price movements are largely independent.

Performance

VVL.TO vs. DRFG.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in Vanguard Global Value Factor ETF CAD (VVL.TO) and Desjardins RI Global Multifactor Fossil Fuel Reserves Free ETF (DRFG.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, VVL.TO achieves a 17.21% return, which is significantly higher than DRFG.TO's 13.90% return.

VVL.TO

1D
-0.88%
1M
3.91%
6M
11.32%
YTD
17.21%
1Y
30.32%
3Y*
20.05%
5Y*
15.08%
10Y*
12.27%

DRFG.TO

1D
-0.94%
1M
-1.27%
6M
10.30%
YTD
13.90%
1Y
29.11%
3Y*
23.18%
5Y*
13.44%
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

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

2026 (YTD)2025202420232022202120202019
VVL.TO
Vanguard Global Value Factor ETF CAD		17.21%18.01%15.01%16.57%0.50%29.77%-3.29%2.53%
DRFG.TO
Desjardins RI Global Multifactor Fossil Fuel Reserves Free ETF		13.90%24.31%26.78%12.68%-12.16%17.99%7.88%8.78%

Correlation

The correlation between VVL.TO and DRFG.TO is 0.54, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

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

0.54

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

0.45

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

0.39

Correlation (All Time)
Calculated using the full available price history since Mar 6, 2019

0.39

The correlation between VVL.TO and DRFG.TO shifts across timeframes, from 0.39 (all time) to 0.54 (1 year), reflecting how their relationship changes across market environments.

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 Value Factor ETF CAD

Desjardins RI Global Multifactor Fossil Fuel Reserves Free ETF

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
Often compared with DRFG.TO:
DRFG.TO vs. DANC.TODRFG.TO vs. DCG.TODRFG.TO vs. DCS.TODRFG.TO vs. DRFD.TODRFG.TO vs. DRFE.TODRFG.TO vs. DRFU.TODRFG.TO vs. DRMC.TO

Return for Risk

VVL.TO vs. DRFG.TO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
VVL.TO
VVL.TO Risk / Return Rank: 8585
Overall Rank
VVL.TO Sharpe Ratio Rank: 8686
Sharpe Ratio Rank
VVL.TO Sortino Ratio Rank: 8787
Sortino Ratio Rank
VVL.TO Omega Ratio Rank: 8383
Omega Ratio Rank
VVL.TO Calmar Ratio Rank: 8282
Calmar Ratio Rank
VVL.TO Martin Ratio Rank: 8585
Martin Ratio Rank
DRFG.TO
DRFG.TO Risk / Return Rank: 8787
Overall Rank
DRFG.TO Sharpe Ratio Rank: 8989
Sharpe Ratio Rank
DRFG.TO Sortino Ratio Rank: 8888
Sortino Ratio Rank
DRFG.TO Omega Ratio Rank: 8787
Omega Ratio Rank
DRFG.TO Calmar Ratio Rank: 8585
Calmar Ratio Rank
DRFG.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.

VVL.TO vs. DRFG.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Global Value Factor ETF CAD (VVL.TO) and Desjardins RI Global Multifactor Fossil Fuel Reserves Free ETF (DRFG.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.

VVL.TODRFG.TODifference
Sharpe ratioReturn per unit of total volatility
2.21
2.25

-0.05

Sortino ratioReturn per unit of downside risk
3.20
3.14

+0.05

Omega ratioGain probability vs. loss probability

1.39

1.41

-0.02

Calmar ratioReturn relative to maximum drawdown

3.45

3.48

-0.03

Martin ratioReturn relative to average drawdown

13.60

13.73

-0.13

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

The current VVL.TO Sharpe Ratio is 2.21, which is comparable to the DRFG.TO Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of VVL.TO and DRFG.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

VVL.TO vs. DRFG.TO - Drawdown Comparison

The maximum VVL.TO drawdown since its inception was -43.88%, which is greater than DRFG.TO's maximum drawdown of -27.73%. Use the drawdown chart below to compare losses from any high point for VVL.TO and DRFG.TO.

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Drawdown Indicators

VVL.TODRFG.TODifference

Max Drawdown

Largest peak-to-trough decline

-43.88%

-27.73%

-16.15%

Max Drawdown (1Y)

Largest decline over 1 year

-8.83%

-8.40%

-0.43%

Max Drawdown (3Y)

Largest decline over 3 years

-18.07%

-16.44%

-1.63%

Max Drawdown (5Y)

Largest decline over 5 years

-18.07%

-21.09%

+3.02%

Max Drawdown (10Y)

Largest decline over 10 years

-43.88%

—

—

Current Drawdown

Current decline from peak

-0.88%

-2.91%

+2.03%

Average Drawdown

Average peak-to-trough decline

-5.73%

-4.62%

-1.11%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.24%

2.13%

+0.11%

Volatility

VVL.TO vs. DRFG.TO - Volatility Comparison

Vanguard Global Value Factor ETF CAD (VVL.TO) and Desjardins RI Global Multifactor Fossil Fuel Reserves Free ETF (DRFG.TO) have volatilities of 3.21% and 3.31%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

VVL.TODRFG.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

3.21%

3.31%

-0.10%

Volatility (6M)

Calculated over the trailing 6-month period

9.57%

10.85%

-1.28%

Volatility (1Y)

Calculated over the trailing 1-year period

13.84%

12.99%

+0.85%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

16.07%

12.73%

+3.34%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

18.77%

14.24%

+4.53%

Dividends

VVL.TO vs. DRFG.TO - Dividend Comparison

VVL.TO's dividend yield for the trailing twelve months is around 1.61%, more than DRFG.TO's 1.57% yield.

PositionTTM2025202420232022202120202019201820172016
DRFG.TO
Desjardins RI Global Multifactor Fossil Fuel Reserves Free ETF		1.57%2.14%1.40%1.49%1.58%1.37%1.59%1.68%0.00%0.00%0.00%
VVL.TO
Vanguard Global Value Factor ETF CAD		1.61%1.89%2.19%2.69%2.57%1.50%1.70%2.65%2.15%1.35%0.60%

Frequently Asked Questions

VVL.TO and DRFG.TO have a correlation of 0.54, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

They also come from different issuers: Vanguard and Desjardins.

Portfolio Optimizer

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