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^GSPTSE vs. VFVA
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

^GSPTSE vs. VFVA

Last updated May 17, 2025

Compare and contrast key facts about S&P TSX Composite Index (Canada) (^GSPTSE) and Vanguard U.S. Value Factor ETF (VFVA).

VFVA is managed by Vanguard. It was launched on Feb 13, 2018.

Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^GSPTSE or VFVA.

Correlation

The correlation between ^GSPTSE and VFVA is 0.76, 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

^GSPTSE vs. VFVA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P TSX Composite Index (Canada) (^GSPTSE) and Vanguard U.S. Value Factor ETF (VFVA). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

^GSPTSE:

1.14

VFVA:

0.10

Sortino Ratio

^GSPTSE:

1.58

VFVA:

0.33

Omega Ratio

^GSPTSE:

1.23

VFVA:

1.04

Calmar Ratio

^GSPTSE:

1.29

VFVA:

0.10

Martin Ratio

^GSPTSE:

5.60

VFVA:

0.32

Ulcer Index

^GSPTSE:

2.95%

VFVA:

7.86%

Daily Std Dev

^GSPTSE:

14.49%

VFVA:

22.87%

Max Drawdown

^GSPTSE:

-49.99%

VFVA:

-48.57%

Current Drawdown

^GSPTSE:

0.00%

VFVA:

-8.71%

Returns By Period

In the year-to-date period, ^GSPTSE achieves a 5.03% return, which is significantly higher than VFVA's -0.37% return.

^GSPTSE

YTD

5.03%

1M

7.74%

6M

4.34%

1Y

16.47%

5Y*

12.20%

10Y*

5.58%

VFVA

YTD

-0.37%

1M

14.88%

6M

-5.02%

1Y

2.26%

5Y*

21.07%

10Y*

N/A

*Annualized

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Risk-Adjusted Performance

^GSPTSE vs. VFVA — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
^GSPTSE
The Risk-Adjusted Performance Rank of ^GSPTSE is 9393
Overall Rank
The Sharpe Ratio Rank of ^GSPTSE is 9494
Sharpe Ratio Rank
The Sortino Ratio Rank of ^GSPTSE is 9292
Sortino Ratio Rank
The Omega Ratio Rank of ^GSPTSE is 9191
Omega Ratio Rank
The Calmar Ratio Rank of ^GSPTSE is 9494
Calmar Ratio Rank
The Martin Ratio Rank of ^GSPTSE is 9595
Martin Ratio Rank
VFVA
The Risk-Adjusted Performance Rank of VFVA is 2121
Overall Rank
The Sharpe Ratio Rank of VFVA is 2121
Sharpe Ratio Rank
The Sortino Ratio Rank of VFVA is 2222
Sortino Ratio Rank
The Omega Ratio Rank of VFVA is 2222
Omega Ratio Rank
The Calmar Ratio Rank of VFVA is 2222
Calmar Ratio Rank
The Martin Ratio Rank of VFVA is 2121
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

^GSPTSE vs. VFVA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P TSX Composite Index (Canada) (^GSPTSE) and Vanguard U.S. Value Factor ETF (VFVA). 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.

The current ^GSPTSE Sharpe Ratio is 1.14, which is higher than the VFVA Sharpe Ratio of 0.10. The chart below compares the historical Sharpe Ratios of ^GSPTSE and VFVA, 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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Drawdowns

^GSPTSE vs. VFVA - Drawdown Comparison

The maximum ^GSPTSE drawdown since its inception was -49.99%, roughly equal to the maximum VFVA drawdown of -48.57%. Use the drawdown chart below to compare losses from any high point for ^GSPTSE and VFVA. For additional features, visit the drawdowns tool.

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Volatility

^GSPTSE vs. VFVA - Volatility Comparison

The current volatility for S&P TSX Composite Index (Canada) (^GSPTSE) is 2.21%, while Vanguard U.S. Value Factor ETF (VFVA) has a volatility of 6.48%. This indicates that ^GSPTSE experiences smaller price fluctuations and is considered to be less risky than VFVA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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