ESGA.TO vs. XEI.TO
ESGA.TO (BMO MSCI Canada Selection Equity Index ETF) and XEI.TO (iShares S&P/TSX Composite High Dividend Index ETF) are both Canada Equities funds. Over the past 5 years, ESGA.TO returned 12.40%/yr vs 14.63%/yr for XEI.TO. A 0.53 correlation means they provide meaningful diversification when combined.
Performance
ESGA.TO vs. XEI.TO - Performance Comparison
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Returns By Period
In the year-to-date period, ESGA.TO achieves a 8.01% return, which is significantly lower than XEI.TO's 22.74% return.
ESGA.TO
- 1D
- 0.16%
- 1M
- 2.81%
- YTD
- 8.01%
- 6M
- 7.25%
- 1Y
- 28.36%
- 3Y*
- 22.99%
- 5Y*
- 12.40%
- 10Y*
- —
XEI.TO
- 1D
- -0.31%
- 1M
- 1.95%
- YTD
- 22.74%
- 6M
- 22.59%
- 1Y
- 37.15%
- 3Y*
- 20.96%
- 5Y*
- 14.63%
- 10Y*
- 11.87%
ESGA.TO vs. XEI.TO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
ESGA.TO BMO MSCI Canada Selection Equity Index ETF | 8.01% | 32.44% | 21.41% | 13.92% | -15.59% | 24.90% | 7.30% |
XEI.TO iShares S&P/TSX Composite High Dividend Index ETF | 22.74% | 20.86% | 15.26% | 6.59% | 0.32% | 35.76% | -8.68% |
Correlation
The correlation between ESGA.TO and XEI.TO is 0.28, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.28 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.56 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.57 |
Correlation (All Time) Calculated using the full available price history since Jan 15, 2020 | 0.53 |
Over the past year, the correlation between ESGA.TO and XEI.TO has dropped to 0.28 - well below their long-term average of 0.53, suggesting their price drivers have been diverging.
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Return for Risk
ESGA.TO vs. XEI.TO — Risk / Return Rank
ESGA.TO
XEI.TO
ESGA.TO vs. XEI.TO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for BMO MSCI Canada Selection Equity Index ETF (ESGA.TO) and iShares S&P/TSX Composite High Dividend Index ETF (XEI.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.
| ESGA.TO | XEI.TO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.65 | ||
| Sortino ratioReturn per unit of downside risk | -3.65 | ||
| Omega ratioGain probability vs. loss probability | 1.38 | 1.94 | -0.56 |
| Calmar ratioReturn relative to maximum drawdown | 3.35 | 8.85 | -5.50 |
| Martin ratioReturn relative to average drawdown | 11.99 | 39.14 | -27.16 |
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Drawdowns
ESGA.TO vs. XEI.TO - Drawdown Comparison
The maximum ESGA.TO drawdown since its inception was -32.68%, smaller than the maximum XEI.TO drawdown of -45.52%. Use the drawdown chart below to compare losses from any high point for ESGA.TO and XEI.TO.
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Drawdown Indicators
| ESGA.TO | XEI.TO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -32.68% | -45.52% | +12.84% |
Max Drawdown (1Y)Largest decline over 1 year | -8.51% | -4.22% | -4.29% |
Max Drawdown (3Y)Largest decline over 3 years | -12.94% | -9.96% | -2.98% |
Max Drawdown (5Y)Largest decline over 5 years | -23.40% | -17.35% | -6.05% |
Max Drawdown (10Y)Largest decline over 10 years | — | -45.52% | — |
Current DrawdownCurrent decline from peak | -0.26% | -1.27% | +1.01% |
Average DrawdownAverage peak-to-trough decline | -6.34% | -5.08% | -1.26% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.37% | 0.95% | +1.42% |
Volatility
ESGA.TO vs. XEI.TO - Volatility Comparison
BMO MSCI Canada Selection Equity Index ETF (ESGA.TO) has a higher volatility of 3.14% compared to iShares S&P/TSX Composite High Dividend Index ETF (XEI.TO) at 2.38%. This indicates that ESGA.TO's price experiences larger fluctuations and is considered to be riskier than XEI.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ESGA.TO | XEI.TO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.14% | 2.38% | +0.76% |
Volatility (6M)Calculated over the trailing 6-month period | 10.67% | 6.09% | +4.58% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.70% | 7.90% | +5.80% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.84% | 11.29% | +2.55% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.23% | 16.00% | +0.23% |
Dividends
ESGA.TO vs. XEI.TO - Dividend Comparison
ESGA.TO's dividend yield for the trailing twelve months is around 1.87%, less than XEI.TO's 3.53% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ESGA.TO BMO MSCI Canada Selection Equity Index ETF | 1.87% | 1.93% | 2.50% | 2.98% | 3.42% | 2.66% | 3.23% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
XEI.TO iShares S&P/TSX Composite High Dividend Index ETF | 3.53% | 4.47% | 5.45% | 4.97% | 4.68% | 3.58% | 5.03% | 4.62% | 5.42% | 4.29% | 4.41% | 5.64% |
Frequently Asked Questions
ESGA.TO and XEI.TO have a correlation of 0.28, 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: BMO and iShares.
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