Vanguard S&P 500 CAD hedged

10-Year Study

VSP.TO · · CA · ETF

Executive Summary: Vanguard S&P 500 CAD hedged has compounded at 13.2% annually over the last 10 years, with a maximum drawdown of 24.9% and an annualized volatility of 12.3%.

1Y CAGR
+19.5%
3Y CAGR
+18.9%
5Y CAGR
+10.9%
10Y CAGR
+13.2%

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 →
24.9%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.66
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.88
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
15.2%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2019 · +30.2%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -19.2%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
80%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20261.3-1.0-5.37.4————————2.0%
20252.5-1.5-5.8-0.86.05.02.01.83.52.3-0.20.015.5%
20241.75.23.1-4.14.93.41.22.12.0-0.86.1-2.823.7%
20235.9-2.43.41.60.56.23.1-1.6-4.9-2.28.94.324.2%
2022-5.3-3.03.9-9.30.3-8.79.4-4.2-9.78.25.3-5.6-19.2%
2021-1.23.04.25.10.62.52.33.1-4.76.8-0.64.327.9%
2020-0.0-8.3-13.011.94.82.05.37.0-3.8-2.810.63.715.3%
20198.03.31.84.0-6.46.51.6-1.81.82.14.12.430.2%
20185.4-3.9-2.60.32.30.83.23.30.4-7.12.1-9.9-6.7%
20171.64.10.30.61.30.71.90.31.82.53.11.121.0%
2016———0.41.7-0.04.0-0.30.5-2.13.91.710.1%

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 12.3%. The dominant macroeconomic risk driver is VTI.US, accounting for 80.0% of variance. Idiosyncratic stock-specific factors contribute 0.2%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110041.150195070772
2016-05-0110211.248138817515
2016-06-0110208.263964365815
2016-07-0110621.33653320601
2016-08-0110585.526439785643
2016-09-0110639.649940630636
2016-10-0110415.742619665396
2016-11-0110824.85723081176
2016-12-0111006.35786220025
2017-01-0111184.183247158751
2017-02-0111645.442380303193
2017-03-0111681.849308613899
2017-04-0111757.207566609917
2017-05-0111910.688370515101
2017-06-0111988.71667933632
2017-07-0112215.608174753257
2017-08-0112249.219402788163
2017-09-0112464.551148750103
2017-10-0112776.72720876028
2017-11-0113176.072575122666
2017-12-0113322.988195234118
2018-01-0114042.739660620835
2018-02-0113492.332242277273
2018-03-0113138.629038844529
2018-04-0113175.475740232327
2018-05-0113478.667864524763
2018-06-0113580.538156596911
2018-07-0114021.567728195108
2018-08-0114479.654212711954
2018-09-0114541.787866032557
2018-10-0113508.007011239344
2018-11-0113790.718275084344
2018-12-0112423.903551481722
2019-01-0113422.408323019608
2019-02-0113861.396091045592
2019-03-0114109.83646724005
2019-04-0114677.80339630465
2019-05-0113740.804030834375
2019-06-0114637.532747388062
2019-07-0114869.136097202416
2019-08-0114599.869324571377
2019-09-0114859.80662549553
2019-10-0115170.757603362379
2019-11-0115792.722383821378
2019-12-0116173.565868583242
2020-01-0116167.723169130444
2020-02-0114828.928273011126
2020-03-0112900.774628862937
2020-04-0114438.315543465287
2020-05-0115132.434520930057
2020-06-0115436.820315003173
2020-07-0116251.751239217709
2020-08-0117396.197847624913
2020-09-0116727.114523191747
2020-10-0116263.625112299198
2020-11-0117981.787112135855
2020-12-0118650.71337475577
2021-01-0118431.612145275896
2021-02-0118982.333687245955
2021-03-0119774.61629799024
2021-04-0120784.460932444574
2021-05-0120912.15218661456
2021-06-0121445.09433132504
2021-07-0121936.5407449756
2021-08-0122621.581549634673
2021-09-0121549.0692516947
2021-10-0123018.508164073053
2021-11-0122881.141902207033
2021-12-0123853.66864983383
2022-01-0122595.38363918504
2022-02-0121909.306226558525
2022-03-0122772.10959145081
2022-04-0120663.99452168396
2022-05-0120736.05448160178
2022-06-0118941.96880124142
2022-07-0120713.563229944775
2022-08-0119848.843710930876
2022-09-0117916.732109088854
2022-10-0119389.62638135865
2022-11-0120414.894485873858
2022-12-0119265.390487080098
2023-01-0120407.198457024748
2023-02-0119915.2494455718
2023-03-0120596.96053979004
2023-04-0120916.86404101198
2023-05-0121026.556011383844
2023-06-0122333.75007067782
2023-07-0123033.680335232737
2023-08-0122657.737179044183
2023-09-0121546.085077243
2023-10-0121064.784856728213
2023-11-0122937.93545387723
2023-12-0123920.671219365093
2024-01-0124320.51918352987
2024-02-0125593.913540613044
2024-03-0126384.31140959836
2024-04-0125307.715504513963
2024-05-0126553.96958026801
2024-06-0127454.656254515532
2024-07-0127779.522909036084
2024-08-0128370.45227519743
2024-09-0128933.95864876581
2024-10-0128704.428514886324
2024-11-0130441.46934467529
2024-12-0129584.822802862298
2025-01-0130334.384600403333
2025-02-0129870.958014236083
2025-03-0128144.597387747923
2025-04-0127910.638110734864
2025-05-0129591.890584458422
2025-06-0131084.072047394973
2025-07-0131715.68042318735
2025-08-0132294.17049373952
2025-09-0133430.07293950608
2025-10-0134213.56008870852
2025-11-0134160.28472165506
2025-12-0134167.22685380058
2026-01-0134597.576222097974
2026-02-0134255.181469219024
2026-03-0132436.405671816203
2026-04-0134852.016359558475
Annual Return Matrix
YearAnnual Return
20170.21048110210826443
2018-0.06748370790225688
20190.3018103208515588
20200.1531602570701076
20210.27896816440921746
2022-0.19235104797121838
20230.24163957306793016
20240.23678899022330802
20250.15489036664079459
20260.020042291072906115
Total Factor Risk
0.12307972613547874
VTI.US Exposure
0.799812961398068
VEA.US Exposure
-0.017488002051852768
VWO.US Exposure
0.0031116548835711066
QQQ.US Exposure
0.10883672228223185
VTV.US Exposure
0.10277038980440271
IJR.US Exposure
-0.0948899339597162
QUAL.US Exposure
0.031190086863499226
SHV.US Exposure
0.05333982978423262
TLT.US Exposure
-0.009669645277523375
LQD.US Exposure
-0.0025209631793416697
HYG.US Exposure
0.015606400221370323
GLD.US Exposure
-0.00012662604137302945
USO.US Exposure
0.0010925094224211156
VNQ.US Exposure
-0.00621079525312853
BTC-USD.CC Exposure
-0.0025991706385997044
CPER.US Exposure
-0.0037803138069024073
VIX.INDX Exposure
0.004548960555490149
UUP.US Exposure
0.005064117599462882
TIP.US Exposure
0.009666456182928622
Idiosyncratic Exposure
0.002245361210759062
Value Score
41.1
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
11
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
12.3%

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 →22.3x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.92%
Market Cap$612.3B
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
$84
Avg Yield on Cost
0.84%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$83.720.84%Solid

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 →
+3.6%
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 →
+4.5%
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 →
0.0% 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 →
0.91
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Vanguard S&P 500 CAD hedged a high-risk investment?

Vanguard S&P 500 CAD hedged (VSP.TO) has an annualized volatility of 12.3% and experienced a maximum drawdown of 24.9% over the last 10 years. Its primary macro risk driver is VTI.US.

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

Over the past 10 years, VSP.TO has generated a Compound Annual Growth Rate (CAGR) of 13.2%. It has had a positive return in 80% 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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