Vanguard FTSE Canadian High Dividend Yield

10-Year Study

VDY.TO · · CA · ETF

Executive Summary: Vanguard FTSE Canadian High Dividend Yield has compounded at 13.4% annually over the last 10 years, with a maximum drawdown of 21.2% and an annualized volatility of 14.5%.

1Y CAGR
+41.6%
3Y CAGR
+24.9%
5Y CAGR
+16.4%
10Y CAGR
+13.4%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
21.2%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.77
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.99
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
13.3%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +36.8%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2018 · -10.1%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
70%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20262.16.60.23.0————————12.4%
20251.8-0.1-0.5-0.85.22.12.05.05.00.44.71.429.2%
2024-0.31.44.3-1.93.2-2.35.92.73.51.14.9-3.020.7%
20237.1-1.7-3.54.4-6.43.02.2-2.2-2.2-3.17.14.68.4%
20225.91.62.4-3.42.6-8.82.5-2.2-4.45.73.6-4.4-0.2%
20211.56.16.92.83.91.8-1.01.30.75.2-2.15.036.8%
20202.1-5.8-16.43.91.10.71.05.6-4.8-1.615.30.6-1.4%
20199.32.9-0.64.8-3.31.3-0.1-1.66.0-0.73.1-0.921.4%
2018-1.0-3.2-1.00.31.51.72.00.5-1.3-5.62.2-6.2-10.1%
20171.20.50.3-0.7-2.11.30.5-0.63.73.01.00.38.8%
2016———3.11.8-1.32.81.61.51.84.03.320.2%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 14.5%. The dominant macroeconomic risk driver is VTI.US, accounting for 50.7% of variance. Idiosyncratic stock-specific factors contribute 10.7%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110307.893944118254
2016-05-0110491.43593998552
2016-06-0110358.311181105693
2016-07-0110652.62312322628
2016-08-0110826.282495071902
2016-09-0110993.018745276688
2016-10-0111186.3905169088
2016-11-0111632.905438614107
2016-12-0112022.238546461545
2017-01-0112171.95765797665
2017-02-0112238.123675490564
2017-03-0112273.320614519529
2017-04-0112186.38523208312
2017-05-0111935.990191363537
2017-06-0112095.803319927492
2017-07-0112157.10729781578
2017-08-0112089.038743057059
2017-09-0112531.114411191147
2017-10-0112911.410467125741
2017-11-0113038.827614271142
2017-12-0113074.60588412491
2018-01-0112946.396013127505
2018-02-0112529.951749541542
2018-03-0112405.282711749755
2018-04-0112437.572996654706
2018-05-0112624.021646645984
2018-06-0112836.47163898299
2018-07-0113090.83029896259
2018-08-0113151.183008228472
2018-09-0112982.544220778878
2018-10-0112261.324060225874
2018-11-0112536.29354035757
2018-12-0111755.249153106686
2019-01-0112853.277384645467
2019-02-0113229.662669576845
2019-03-0113151.183008228472
2019-04-0113777.223458284228
2019-05-0113319.98034044847
2019-06-0113498.713144946914
2019-07-0113487.932100559663
2019-08-0113268.92892437943
2019-09-0114068.417353253602
2019-10-0113968.586996157932
2019-11-0114405.853472923196
2019-12-0114273.997072206572
2020-01-0114580.305568620817
2020-02-0113733.04231559922
2020-03-0111483.3977201262
2020-04-0111927.798711559499
2020-05-0112055.4272517321
2020-06-0112143.419599304518
2020-07-0112269.56838828671
2020-08-0112951.25805275313
2020-09-0112329.022677186993
2020-10-0112127.036639696438
2020-11-0113987.24243080842
2020-12-0114077.93003947765
2021-01-0114289.957245760248
2021-02-0115156.298719486736
2021-03-0116207.450547243698
2021-04-0116655.28667536901
2021-05-0117312.771838220917
2021-06-0117620.82432710957
2021-07-0117453.348201309578
2021-08-0117679.644436928247
2021-09-0117795.434967577592
2021-10-0118723.450356989975
2021-11-0118331.633381072927
2021-12-0119255.103820400484
2022-01-0120385.36948858742
2022-02-0120701.560609023312
2022-03-0121189.085778005614
2022-04-0120468.288403507013
2022-05-0121001.84440416233
2022-06-0119157.17600054962
2022-07-0119643.43281136872
2022-08-0119215.097690002694
2022-09-0118363.55372818028
2022-10-0119404.981476685993
2022-11-0120102.367073422083
2022-12-0119210.07710560667
2023-01-0120580.69664572114
2023-02-0120220.905713425043
2023-03-0119504.758985524863
2023-04-0120355.034589184077
2023-05-0119053.32917593713
2023-06-0119626.204279651833
2023-07-0120062.625184308294
2023-08-0119630.537836709456
2023-09-0119206.00778983305
2023-10-0118603.22057276941
2023-11-0119914.8614582948
2023-12-0120824.11571654309
2024-01-0120767.092447455616
2024-02-0121062.091416914616
2024-03-0121977.846010749334
2024-04-0121549.458041126512
2024-05-0122244.359769792994
2024-06-0121721.796206552128
2024-07-0123013.407602750223
2024-08-0123634.797406207555
2024-09-0124459.81154311625
2024-10-0124716.865464192662
2024-11-0125917.207920896726
2024-12-0125137.326195295445
2025-01-0125601.01680046084
2025-02-0125576.49520930552
2025-03-0125436.235935757657
2025-04-0125229.916341209482
2025-05-0126533.524291701237
2025-06-0127094.138599838283
2025-07-0127645.345918264884
2025-08-0129031.55569413543
2025-09-0130473.467532673432
2025-10-0130585.611533603565
2025-11-0132013.5714323463
2025-12-0132477.473430538892
2026-01-0133153.82542106849
2026-02-0135356.96355055729
2026-03-0135424.186533207205
2026-04-0136497.006146252264
Annual Return Matrix
YearAnnual Return
20170.08753505710241516
2018-0.10090986624844878
20190.21426580468813206
2020-0.013735958592193787
20210.3677510661300978
2022-0.0023384301229322224
20230.08402041293552864
20240.20712574485580015
20250.29200190896266376
20260.12376371346466142
Total Factor Risk
0.14500994739561288
VTI.US Exposure
0.5070131638858631
VEA.US Exposure
0.20563615279457795
VWO.US Exposure
-0.012411827694466764
QQQ.US Exposure
-0.1088292330426229
VTV.US Exposure
0.03982510045633746
IJR.US Exposure
0.02778414540119397
QUAL.US Exposure
-0.08927621626849797
SHV.US Exposure
0.2684709114065334
TLT.US Exposure
0.00917837611962607
LQD.US Exposure
-0.012893752820895986
HYG.US Exposure
0.012297012500176563
GLD.US Exposure
-0.005715473633242392
USO.US Exposure
0.017373437519194235
VNQ.US Exposure
-0.01887529196330207
BTC-USD.CC Exposure
0.014440265069285483
CPER.US Exposure
0.016787334598737127
VIX.INDX Exposure
-0.03012183641216818
UUP.US Exposure
-0.014936884541873486
TIP.US Exposure
0.06773406260875302
Idiosyncratic Exposure
0.10652055401679113
Value Score
43.8
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
42.6
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
14.5%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →15.5x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →3.55%
Market Cap$93.2B
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$0
Avg Yield on Cost
0.00%

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+3.8%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+15.5%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
0.1% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
0.97
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Vanguard FTSE Canadian High Dividend Yield a high-risk investment?

Vanguard FTSE Canadian High Dividend Yield (VDY.TO) has an annualized volatility of 14.5% and experienced a maximum drawdown of 21.2% over the last 10 years. Its primary macro risk driver is VTI.US.

What is the 10-year return of VDY.TO?

Over the past 10 years, VDY.TO has generated a Compound Annual Growth Rate (CAGR) of 13.4%. It has had a positive return in 70% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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