PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan

BMO Low Volatility International Equity ETF (ZLI.TO) Sharpe Ratio: 0.66

ETF · Currency in CAD · Last updated Jul 16, 2026

The BMO Low Volatility International Equity ETF seeks to provide exposure to international stocks with lower sensitivity to market movements, aiming for long-term capital appreciation.

ZLI.TO's Sharpe Ratio of 0.66 indicates that for each unit of volatility, it generates 0.66 units of excess return above the risk-free rate. The ratio is calculated using historical daily returns over the past 12 months (as of Jul 16, 2026).

Sharpe uses total volatility (standard deviation) which includes both upside and downside price movements, making it useful for comparing risk-adjusted returns across different assets. For how to read this number and when it can mislead, see Sharpe Ratio Explained.

ZLI.TO Sharpe Ratio Rank

ZLI.TO Sharpe Ratio Rank: 22.422
Below Average

ZLI.TO ranks above 22.4% of all investments in our database based on Sharpe Ratio over the past 12 months, indicating below-average returns relative to volatility. Securities are ranked from 0 (worst) to 100 (best).

What moves the rank

  • Strong returns with low total volatility → Higher rank
  • High volatility (both upside and downside) → Lower rank
  • Consistent returns → Higher rank than volatile returns of same magnitude
  • Sharp drawdowns increase volatility → Lower rank

What you can do with this information

  • Returns may not adequately compensate for volatility taken
  • Consider smaller allocation given below-average risk-adjusted profile
  • Explore higher-ranked investments with better consistency
  • Assess whether the volatility profile aligns with your portfolio goals

ZLI.TO Sharpe Ratio Market Positioning

The chart shows ZLI.TO's Sharpe Ratio relative to all ETFs on our platform, with color zones indicating percentile rankings. Higher ratios indicate better risk-adjusted returns.

  • Red zone (bottom 25%): 0.74 or lower
  • Yellow zone (middle 50%): 0.74 to 1.91
  • Green zone (top 25%): 1.91 or higher
  • Top 1%: 6.53+
  • Median: 1.42 — half of all investments score higher

How it compares to other similar ETFs

The table compares BMO Low Volatility International Equity ETF's Sharpe Ratio with other ETFs in the Foreign Large Cap Equities category across multiple time periods, showing how ZLI.TO's risk-adjusted performance compares to similar funds.

Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Jul 16, 2026.

SymbolName1Y Sharpe Ratio5Y Sharpe Ratio10Y Sharpe RatioAll Time Sharpe Ratio
RIDH.TORBC Quant EAFE Dividend Leaders (CAD Hedged) ETF2.98
VIDY.TOVanguard FTSE Developed ex North America High Dividend Yield Index ETF2.61
FCIV.TOFidelity International Value ETF2.37
ZXM.TOCI Morningstar International Momentum Index ETF Common Units CAD Hedged2.15
FCRI.TOFranklin International Core Equity Fund ETF Series2.04
DRFD.TODesjardins RI Developed ex-USA ex-Canada Multifactor - Net-Zero Emissions Pathway ETF1.88
QDX.TOMackenzie International Equity Index ETF1.81
DRMD.TODesjardins RI Developed ex-USA ex-Canada - Net-Zero Emissions Pathway ETF1.80
XEF.TOiShares Core MSCI EAFE IMI Index ETF1.77
ZEA.TOBMO MSCI EAFE Index ETF1.73
ZLI.TOBMO Low Volatility International Equity ETF0.66

S&P 500 Index

How to choose period

Historical Sharpe Ratio

The chart shows ZLI.TO's rolling Sharpe ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to total volatility, while declining trends may signal deteriorating risk-adjusted performance or increased volatility. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.

Identify market cycles by observing when ZLI.TO consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.

Loading charts...

Sharpe Ratio Calculator

How does ZLI.TO fit in your portfolio?

Add your other holdings to see your portfolio's Sharpe Ratio and find out.

Analyze Your Portfolio