^XCMP vs. ZSP.TO

Last updated Apr 1, 2026

Compare and contrast key facts about NASDAQ Composite Total Return Index (^XCMP) and BMO S&P 500 Index ETF (ZSP.TO).

ZSP.TO is a passively managed fund by BMO that tracks the performance of the S&P 500 Index. It was launched on Nov 14, 2012.

Performance

^XCMP vs. ZSP.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in NASDAQ Composite Total Return Index (^XCMP) and BMO S&P 500 Index ETF (ZSP.TO). The values are adjusted to include any dividend payments, if applicable.

^XCMP vs. ZSP.TO - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^XCMP NASDAQ Composite Total Return Index	-6.96%	21.14%	29.57%	44.64%	-32.54%	22.18%	44.92%	36.69%	-2.84%	29.64%
ZSP.TO BMO S&P 500 Index ETF	-4.41%	17.39%	24.40%	26.11%	-18.52%	28.48%	17.92%	30.91%	-4.78%	21.38%

Different Trading Currencies

^XCMP is traded in USD, while ZSP.TO is traded in CAD. To make them comparable, the ZSP.TO values have been converted to USD using the latest available exchange rates.

Returns By Period

The year-to-date returns for both stocks are quite close, with ^XCMP having a -6.96% return and ZSP.TO slightly lower at -7.01%. Over the past 10 years, ^XCMP has outperformed ZSP.TO with an annualized return of 16.99%, while ZSP.TO has yielded a comparatively lower 13.32% annualized return.

^XCMP

• 1D: 3.83%
• 1M: -4.68%
• YTD: -6.96%
• 6M: -4.43%
• 1Y: 25.60%
• 3Y*: 21.75%
• 5Y*: 10.69%
• 10Y*: 16.99%

ZSP.TO

• 1D: 0.00%
• 1M: -7.53%
• YTD: -7.01%
• 6M: -4.79%
• 1Y: 14.05%
• 3Y*: 16.79%
• 5Y*: 10.77%
• 10Y*: 13.32%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Return for Risk

^XCMP vs. ZSP.TO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^XCMP

^XCMP Risk / Return Rank: 80
^XCMP Sharpe Ratio Rank: 78
^XCMP Sortino Ratio Rank: 82
^XCMP Omega Ratio Rank: 81
^XCMP Calmar Ratio Rank: 76
^XCMP Martin Ratio Rank: 84

ZSP.TO

ZSP.TO Risk / Return Rank: 47
ZSP.TO Sharpe Ratio Rank: 43
ZSP.TO Sortino Ratio Rank: 42
ZSP.TO Omega Ratio Rank: 48
ZSP.TO Calmar Ratio Rank: 51
ZSP.TO Martin Ratio Rank: 49

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.

^XCMP vs. ZSP.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for NASDAQ Composite Total Return Index (^XCMP) and BMO S&P 500 Index ETF (ZSP.TO). 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.

	^XCMP	ZSP.TO	Difference
Sharpe ratio Return per unit of total volatility	1.10	0.77	+0.32
Sortino ratio Return per unit of downside risk	1.70	1.21	+0.49
Omega ratio Gain probability vs. loss probability	1.24	1.18	+0.06
Calmar ratio Return relative to maximum drawdown	1.81	1.19	+0.62
Martin ratio Return relative to average drawdown	7.22	5.57	+1.64
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^XCMP vs. ZSP.TO - Sharpe Ratio Comparison

The current ^XCMP Sharpe Ratio is 1.10, which is higher than the ZSP.TO Sharpe Ratio of 0.77. The chart below compares the historical Sharpe Ratios of ^XCMP and ZSP.TO, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	^XCMP	ZSP.TO	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.10	0.77	+0.32
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.48	0.64	-0.16
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.78	0.74	+0.03
Sharpe Ratio (All Time) Calculated using the full available price history	0.73	0.80	-0.08

Correlation

The correlation between ^XCMP and ZSP.TO is 0.88, 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.

Drawdowns

^XCMP vs. ZSP.TO - Drawdown Comparison

The maximum ^XCMP drawdown since its inception was -35.83%, which is greater than ZSP.TO's maximum drawdown of -33.49%. Use the drawdown chart below to compare losses from any high point for ^XCMP and ZSP.TO.

Drawdown Indicators

	^XCMP	ZSP.TO	Difference
Max Drawdown Largest peak-to-trough decline	-35.83%	-26.94%	-8.89%
Max Drawdown (1Y) Largest decline over 1 year	-13.25%	-12.43%	-0.82%
Max Drawdown (5Y) Largest decline over 5 years	-35.83%	-22.25%	-13.58%
Max Drawdown (10Y) Largest decline over 10 years	-35.83%	-26.94%	-8.89%
Current Drawdown Current decline from peak	-9.62%	-6.12%	-3.50%
Average Drawdown Average peak-to-trough decline	-6.29%	-3.37%	-2.92%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.25%	3.33%	-0.08%

Volatility

^XCMP vs. ZSP.TO - Volatility Comparison

NASDAQ Composite Total Return Index (^XCMP) has a higher volatility of 6.98% compared to BMO S&P 500 Index ETF (ZSP.TO) at 4.27%. This indicates that ^XCMP's price experiences larger fluctuations and is considered to be riskier than ZSP.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^XCMP	ZSP.TO	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.98%	4.27%	+2.71%
Volatility (6M) Calculated over the trailing 6-month period	13.04%	9.00%	+4.04%
Volatility (1Y) Calculated over the trailing 1-year period	23.17%	18.25%	+4.92%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	22.41%	16.89%	+5.52%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.95%	18.07%	+3.88%