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DRFE.TO vs. ZEM.TO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

DRFE.TO vs. ZEM.TO

Last updated Jul 16, 2026
Documentation

DRFE.TO (Desjardins RI Emerging Markets Multifactor - Net-Zero Emissions Pathway ETF) and ZEM.TO (BMO MSCI Emerging Markets Index ETF) are both Emerging Markets Equities funds. DRFE.TO is actively managed, while ZEM.TO is passively managed. Over the past 5 years, DRFE.TO returned 11.65%/yr vs 8.91%/yr for ZEM.TO. At a 0.36 correlation, their price movements are largely independent.

Performance

DRFE.TO vs. ZEM.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in Desjardins RI Emerging Markets Multifactor - Net-Zero Emissions Pathway ETF (DRFE.TO) and BMO MSCI Emerging Markets Index ETF (ZEM.TO). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, DRFE.TO achieves a 21.13% return, which is significantly lower than ZEM.TO's 23.05% return.

DRFE.TO

1D
-0.72%
1M
-5.64%
6M
13.96%
YTD
21.13%
1Y
26.63%
3Y*
21.37%
5Y*
11.65%
10Y*
—

ZEM.TO

1D
-0.18%
1M
-5.89%
6M
15.00%
YTD
23.05%
1Y
40.25%
3Y*
22.24%
5Y*
8.91%
10Y*
9.93%
*Multi-year figures are annualized to reflect compound growth (CAGR)

DRFE.TO vs. ZEM.TO - Yearly Performance Comparison

2026 (YTD)2025202420232022202120202019
DRFE.TO
Desjardins RI Emerging Markets Multifactor - Net-Zero Emissions Pathway ETF		21.13%21.25%18.51%10.59%-8.03%4.88%7.49%0.47%
ZEM.TO
BMO MSCI Emerging Markets Index ETF		23.05%27.66%15.21%7.38%-15.80%-2.64%16.38%5.17%

Correlation

The correlation between DRFE.TO and ZEM.TO is 0.89, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.89

Correlation (3Y)
Calculated over the trailing 3-year period

0.67

Correlation (5Y)
Calculated over the trailing 5-year period

0.43

Correlation (All Time)
Calculated using the full available price history since Mar 7, 2019

0.36

Over the past year, DRFE.TO and ZEM.TO have become more correlated (0.89) than their long-term average of 0.36, meaning their price movements have been converging.

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Desjardins RI Emerging Markets Multifactor - Net-Zero Emissions Pathway ETF

BMO MSCI Emerging Markets Index ETF

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Return for Risk

DRFE.TO vs. ZEM.TO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
DRFE.TO
DRFE.TO Risk / Return Rank: 4646
Overall Rank
DRFE.TO Sharpe Ratio Rank: 4343
Sharpe Ratio Rank
DRFE.TO Sortino Ratio Rank: 3939
Sortino Ratio Rank
DRFE.TO Omega Ratio Rank: 4848
Omega Ratio Rank
DRFE.TO Calmar Ratio Rank: 5353
Calmar Ratio Rank
DRFE.TO Martin Ratio Rank: 5050
Martin Ratio Rank
ZEM.TO
ZEM.TO Risk / Return Rank: 6969
Overall Rank
ZEM.TO Sharpe Ratio Rank: 6262
Sharpe Ratio Rank
ZEM.TO Sortino Ratio Rank: 5959
Sortino Ratio Rank
ZEM.TO Omega Ratio Rank: 6969
Omega Ratio Rank
ZEM.TO Calmar Ratio Rank: 8282
Calmar Ratio Rank
ZEM.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.

DRFE.TO vs. ZEM.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Desjardins RI Emerging Markets Multifactor - Net-Zero Emissions Pathway ETF (DRFE.TO) and BMO MSCI Emerging Markets Index ETF (ZEM.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.

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.

DRFE.TOZEM.TODifference
Sharpe ratioReturn per unit of total volatility
1.27
1.65

-0.38

Sortino ratioReturn per unit of downside risk
1.74
2.26

-0.52

Omega ratioGain probability vs. loss probability

1.26

1.33

-0.07

Calmar ratioReturn relative to maximum drawdown

2.17

3.47

-1.30

Martin ratioReturn relative to average drawdown

6.93

10.80

-3.87

DRFE.TO vs. ZEM.TO - Sharpe Ratio Comparison

The current DRFE.TO Sharpe Ratio is 1.27, which is comparable to the ZEM.TO Sharpe Ratio of 1.65. The chart below compares the historical Sharpe Ratios of DRFE.TO and ZEM.TO, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

DRFE.TO vs. ZEM.TO - Drawdown Comparison

The maximum DRFE.TO drawdown since its inception was -25.26%, smaller than the maximum ZEM.TO drawdown of -34.79%. Use the drawdown chart below to compare losses from any high point for DRFE.TO and ZEM.TO.

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Drawdown Indicators

DRFE.TOZEM.TODifference

Max Drawdown

Largest peak-to-trough decline

-25.26%

-34.79%

+9.53%

Max Drawdown (1Y)

Largest decline over 1 year

-12.31%

-11.64%

-0.67%

Max Drawdown (3Y)

Largest decline over 3 years

-14.27%

-13.59%

-0.68%

Max Drawdown (5Y)

Largest decline over 5 years

-21.05%

-29.50%

+8.45%

Max Drawdown (10Y)

Largest decline over 10 years

—

-34.79%

—

Current Drawdown

Current decline from peak

-8.52%

-9.38%

+0.86%

Average Drawdown

Average peak-to-trough decline

-6.88%

-10.13%

+3.25%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.85%

3.74%

+0.11%

Volatility

DRFE.TO vs. ZEM.TO - Volatility Comparison

The current volatility for Desjardins RI Emerging Markets Multifactor - Net-Zero Emissions Pathway ETF (DRFE.TO) is 9.86%, while BMO MSCI Emerging Markets Index ETF (ZEM.TO) has a volatility of 10.39%. This indicates that DRFE.TO experiences smaller price fluctuations and is considered to be less risky than ZEM.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

DRFE.TOZEM.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

9.86%

10.39%

-0.53%

Volatility (6M)

Calculated over the trailing 6-month period

19.33%

22.69%

-3.36%

Volatility (1Y)

Calculated over the trailing 1-year period

21.00%

24.47%

-3.47%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

16.59%

18.09%

-1.50%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

17.22%

18.83%

-1.61%

Dividends

DRFE.TO vs. ZEM.TO - Dividend Comparison

DRFE.TO's dividend yield for the trailing twelve months is around 1.61%, less than ZEM.TO's 1.82% yield.

PositionTTM20252024202320222021202020192018201720162015
DRFE.TO
Desjardins RI Emerging Markets Multifactor - Net-Zero Emissions Pathway ETF		1.61%2.10%2.60%3.04%3.00%2.49%2.45%2.05%0.00%0.00%0.00%0.00%
ZEM.TO
BMO MSCI Emerging Markets Index ETF		1.82%2.23%2.56%2.87%2.89%2.50%1.69%2.42%2.20%1.76%1.85%2.45%

Frequently Asked Questions

DRFE.TO and ZEM.TO have a correlation of 0.89, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

They also come from different issuers: Desjardins and BMO.

Portfolio Optimizer

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