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Issuer
BMO
Inception Date
Jan 15, 2020
Leveraged
1x (No leverage)
Distribution Policy
Distributing
Asset Class
Equity
Asset Class Size
Large-Cap
Asset Class Style
Blend

Share Price Chart


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Performance

ESGG.TO Performance Chart

BMO MSCI Global Selection Equity Index ETF (ESGG.TO) is up 13.5% since the beginning of the year. ESGG.TO is currently trading at CA$65 per share. Investors who bought CA$1,000 worth of ESGG.TO shares 5 years ago would now be looking at an investment worth CA$1,971.


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S&P 500 Index

Returns By Period

BMO MSCI Global Selection Equity Index ETF (ESGG.TO) has returned 13.51% so far this year and 27.26% over the past 12 months.


BMO MSCI Global Selection Equity Index ETF

1D
1.89%
1M
3.45%
YTD
13.51%
6M
12.68%
1Y
27.26%
3Y*
21.79%
5Y*
14.54%
10Y*

Benchmark (S&P 500 Index)

1D
0.93%
1M
1.99%
YTD
13.67%
6M
12.89%
1Y
25.52%
3Y*
21.80%
5Y*
14.76%
10Y*
14.61%
*Multi-year figures are annualized to reflect compound growth (CAGR)

ESGG.TO Monthly Returns History

Based on dividend-adjusted daily data since Jan 21, 2020, ESGG.TO's average daily return is +0.06%, while the average monthly return is +1.19%. At this rate, an investment would double in approximately 4.9 years.

Historically, 65% of months were positive and 35% were negative. The best month was Nov 2020 with a return of +9.9%, while the worst month was Jun 2022 at -8.1%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 3 months.

On a daily basis, ESGG.TO closed higher 48% of trading days. The best single day was Mar 24, 2020 with a return of +9.0%, while the worst single day was Mar 12, 2020 at -9.0%.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20261.17%0.05%-4.44%7.26%5.76%3.45%13.51%
20254.25%-3.77%-4.86%-2.98%7.45%3.48%2.96%1.27%4.77%3.49%-0.38%-0.45%15.44%
20243.30%5.16%3.41%-2.24%2.58%3.59%1.68%-0.42%2.05%1.32%4.86%-0.81%27.08%
20235.71%0.06%2.56%1.52%1.00%2.23%2.80%1.34%-4.60%-0.87%7.57%2.36%23.34%
2022-6.64%-2.14%1.82%-5.43%-0.93%-8.14%6.41%-1.63%-4.49%5.02%5.02%-2.85%-14.25%
20210.06%2.11%2.38%1.94%-0.44%4.09%3.21%3.91%-2.71%3.22%2.46%1.44%23.71%

Benchmark Metrics

BMO MSCI Global Selection Equity Index ETF has an annualized alpha of 8.58%, beta of 0.43, and R2 of 0.33 versus S&P 500 Index. Calculated based on daily prices since January 21, 2020.

  • This ETF participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (92.25%) than losses (86.93%) - typical of diversified or defensive assets.
  • Beta of 0.43 may look defensive, but with R2 of 0.33 this ETF is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this ETF's risk.
  • R2 of 0.33 means the benchmark explains less than half of this ETF's behavior - treat beta with caution or consider switching to a more representative benchmark.

Alpha
8.58%
Beta
0.43
0.33
Upside Capture
92.25%
Downside Capture
86.93%

Return for Risk

Risk / Return Rank

ESGG.TO ranks 80 for risk / return — better than 80% of ETFs on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.


ESGG.TO Risk / Return Rank: 8080
Overall Rank
ESGG.TO Sharpe Ratio Rank: 8484
Sharpe Ratio Rank
ESGG.TO Sortino Ratio Rank: 8787
Sortino Ratio Rank
ESGG.TO Omega Ratio Rank: 8484
Omega Ratio Rank
ESGG.TO Calmar Ratio Rank: 6969
Calmar Ratio Rank
ESGG.TO Martin Ratio Rank: 7373
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.

Return / Risk — by metrics

The table below present risk-adjusted performance metrics for BMO MSCI Global Selection Equity Index ETF (ESGG.TO) and compare them to S&P 500 Index.

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.


ESGG.TOBenchmarkDifference
Sharpe ratioReturn per unit of total volatility

+0.35

Sortino ratioReturn per unit of downside risk

+0.62

Omega ratioGain probability vs. loss probability

1.43

1.35

+0.08

Calmar ratioReturn relative to maximum drawdown

2.95

2.79

+0.16

Martin ratioReturn relative to average drawdown

11.73

10.35

+1.38

Dividends

Dividend History

BMO MSCI Global Selection Equity Index ETF provided a 0.86% dividend yield over the last twelve months, with an annual payout of CA$0.56 per share.


1.00%1.20%1.40%1.60%1.80%CA$0.00CA$0.10CA$0.20CA$0.30CA$0.40CA$0.50CA$0.60202020212022202320242025
Dividends
Dividend Yield
PeriodTTM202520242023202220212020
DividendCA$0.56CA$0.58CA$0.60CA$0.63CA$0.60CA$0.60CA$0.60

Dividend yield

0.86%1.01%1.20%1.56%1.82%1.53%1.87%

Monthly Dividends

The table displays the monthly dividend distributions for BMO MSCI Global Selection Equity Index ETF. The dividends shown in the table have been adjusted to account for any splits that may have occurred.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2026CA$0.00CA$0.00CA$0.14CA$0.00CA$0.00CA$0.14CA$0.28
2025CA$0.00CA$0.00CA$0.15CA$0.00CA$0.00CA$0.15CA$0.00CA$0.00CA$0.14CA$0.00CA$0.00CA$0.14CA$0.58
2024CA$0.00CA$0.00CA$0.15CA$0.00CA$0.00CA$0.15CA$0.00CA$0.00CA$0.15CA$0.00CA$0.00CA$0.15CA$0.60
2023CA$0.00CA$0.00CA$0.15CA$0.00CA$0.00CA$0.15CA$0.00CA$0.00CA$0.15CA$0.00CA$0.00CA$0.18CA$0.63
2022CA$0.00CA$0.00CA$0.15CA$0.00CA$0.00CA$0.15CA$0.00CA$0.00CA$0.15CA$0.00CA$0.00CA$0.15CA$0.60
2021CA$0.00CA$0.00CA$0.15CA$0.00CA$0.00CA$0.15CA$0.00CA$0.00CA$0.15CA$0.00CA$0.00CA$0.15CA$0.60

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


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Worst Drawdowns

The table below displays the maximum drawdowns of the BMO MSCI Global Selection Equity Index ETF. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the BMO MSCI Global Selection Equity Index ETF was 27.90%, occurring on Mar 23, 2020. Recovery took 113 trading sessions.


Related event

Drawdown

Fall

Recovery

Underwater

COVID crash2020
-27.90%Mar 2020
1mo 2d5mo 13d
6mo 15dFeb 2020 - Sep 2020
Bear market2022
-25.31%Jun 2022
5mo 12d1y 6mo
1y 11moJan 2022 - Dec 2023
2025 selloff2025
-17.79%Apr 2025
2mo 14d3mo 3d
5mo 17dJan 2025 - Jul 2025
2026 pullback2026
-9.27%Mar 2026
2mo 13d18d
3mo 1dJan 2026 - Apr 2026
2024 pullback2024
-8.11%Aug 2024
21d1mo 21d
2mo 12dJul 2024 - Sep 2024

Drawdown Indicators


ESGG.TOBenchmarkDifference

Max Drawdown

Largest peak-to-trough decline

-27.90%

-48.87%

+20.97%

Max Drawdown (1Y)

Largest decline over 1 year

-9.27%

-9.17%

-0.10%

Max Drawdown (3Y)

Largest decline over 3 years

-17.79%

-19.59%

+1.80%

Max Drawdown (5Y)

Largest decline over 5 years

-25.31%

-23.14%

-2.17%

Max Drawdown (10Y)

Largest decline over 10 years

-27.97%

Current Drawdown

Current decline from peak

0.00%

0.00%

0.00%

Average Drawdown

Average peak-to-trough decline

-5.81%

-9.64%

+3.83%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.33%

2.47%

-0.14%

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.


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Portfolio Analyzer

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