ESGA.TO vs. ZCN.TO
ESGA.TO (BMO MSCI Canada Selection Equity Index ETF) and ZCN.TO (BMO S&P/TSX Capped Composite Index ETF) are both Canada Equities funds from BMO. Over the past 5 years, ESGA.TO returned 12.40%/yr vs 14.78%/yr for ZCN.TO. A 0.73 correlation means they provide meaningful diversification when combined.
Performance
ESGA.TO vs. ZCN.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 ZCN.TO's 11.09% 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*
- —
ZCN.TO
- 1D
- 0.15%
- 1M
- 0.71%
- YTD
- 11.09%
- 6M
- 10.54%
- 1Y
- 32.80%
- 3Y*
- 23.36%
- 5Y*
- 14.78%
- 10Y*
- 12.76%
ESGA.TO vs. ZCN.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% |
ZCN.TO BMO S&P/TSX Capped Composite Index ETF | 11.09% | 31.51% | 21.64% | 11.63% | -5.84% | 25.05% | 3.75% |
Correlation
The correlation between ESGA.TO and ZCN.TO is 0.77, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.77 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.82 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.78 |
Correlation (All Time) Calculated using the full available price history since Jan 15, 2020 | 0.73 |
The correlation between ESGA.TO and ZCN.TO has been stable across timeframes, ranging from 0.73 to 0.82 - a consistent structural relationship.
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Return for Risk
ESGA.TO vs. ZCN.TO — Risk / Return Rank
ESGA.TO
ZCN.TO
ESGA.TO vs. ZCN.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 BMO S&P/TSX Capped Composite Index ETF (ZCN.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 | ZCN.TO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.43 | ||
| Sortino ratioReturn per unit of downside risk | -0.38 | ||
| Omega ratioGain probability vs. loss probability | 1.38 | 1.45 | -0.07 |
| Calmar ratioReturn relative to maximum drawdown | 3.35 | 3.54 | -0.19 |
| Martin ratioReturn relative to average drawdown | 11.99 | 16.14 | -4.15 |
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Drawdowns
ESGA.TO vs. ZCN.TO - Drawdown Comparison
The maximum ESGA.TO drawdown since its inception was -32.68%, smaller than the maximum ZCN.TO drawdown of -37.18%. Use the drawdown chart below to compare losses from any high point for ESGA.TO and ZCN.TO.
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Drawdown Indicators
| ESGA.TO | ZCN.TO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -32.68% | -37.18% | +4.50% |
Max Drawdown (1Y)Largest decline over 1 year | -8.51% | -9.30% | +0.79% |
Max Drawdown (3Y)Largest decline over 3 years | -12.94% | -12.25% | -0.69% |
Max Drawdown (5Y)Largest decline over 5 years | -23.40% | -16.25% | -7.15% |
Max Drawdown (10Y)Largest decline over 10 years | — | -37.18% | — |
Current DrawdownCurrent decline from peak | -0.26% | -1.41% | +1.15% |
Average DrawdownAverage peak-to-trough decline | -6.34% | -4.72% | -1.62% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.37% | 2.04% | +0.33% |
Volatility
ESGA.TO vs. ZCN.TO - Volatility Comparison
The current volatility for BMO MSCI Canada Selection Equity Index ETF (ESGA.TO) is 3.14%, while BMO S&P/TSX Capped Composite Index ETF (ZCN.TO) has a volatility of 4.18%. This indicates that ESGA.TO experiences smaller price fluctuations and is considered to be less risky than ZCN.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 | ZCN.TO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.14% | 4.18% | -1.04% |
Volatility (6M)Calculated over the trailing 6-month period | 10.67% | 10.73% | -0.06% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.70% | 13.11% | +0.59% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.84% | 13.19% | +0.65% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.23% | 14.98% | +1.25% |
Dividends
ESGA.TO vs. ZCN.TO - Dividend Comparison
ESGA.TO's dividend yield for the trailing twelve months is around 1.87%, less than ZCN.TO's 2.06% 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% |
ZCN.TO BMO S&P/TSX Capped Composite Index ETF | 2.06% | 2.22% | 2.78% | 3.29% | 3.27% | 2.74% | 3.24% | 3.13% | 3.16% | 2.75% | 2.86% | 3.36% |
Frequently Asked Questions
ESGA.TO and ZCN.TO have a correlation of 0.77, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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