ESGA.TO vs. ZLB.TO
ESGA.TO (BMO MSCI Canada Selection Equity Index ETF) and ZLB.TO (BMO Low Volatility Canadian Equity ETF) are both Canada Equities funds from BMO. Over the past 5 years, ESGA.TO returned 12.40%/yr vs 11.62%/yr for ZLB.TO. A 0.54 correlation means they provide meaningful diversification when combined.
Performance
ESGA.TO vs. ZLB.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 higher than ZLB.TO's 7.13% 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*
- —
ZLB.TO
- 1D
- -0.37%
- 1M
- 3.17%
- YTD
- 7.13%
- 6M
- 7.05%
- 1Y
- 13.34%
- 3Y*
- 14.99%
- 5Y*
- 11.62%
- 10Y*
- 10.70%
ESGA.TO vs. ZLB.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% |
ZLB.TO BMO Low Volatility Canadian Equity ETF | 7.13% | 20.40% | 15.31% | 9.41% | -0.35% | 22.93% | -0.20% |
Correlation
The correlation between ESGA.TO and ZLB.TO is 0.48, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.48 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.59 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.58 |
Correlation (All Time) Calculated using the full available price history since Jan 15, 2020 | 0.54 |
The correlation between ESGA.TO and ZLB.TO shifts across timeframes, from 0.48 (1 year) to 0.59 (3 years), reflecting how their relationship changes across market environments.
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Return for Risk
ESGA.TO vs. ZLB.TO — Risk / Return Rank
ESGA.TO
ZLB.TO
ESGA.TO vs. ZLB.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 Low Volatility Canadian Equity ETF (ZLB.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 | ZLB.TO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.63 | ||
| Sortino ratioReturn per unit of downside risk | +0.90 | ||
| Omega ratioGain probability vs. loss probability | 1.38 | 1.27 | +0.10 |
| Calmar ratioReturn relative to maximum drawdown | 3.35 | 2.36 | +0.99 |
| Martin ratioReturn relative to average drawdown | 11.99 | 6.91 | +5.07 |
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Drawdowns
ESGA.TO vs. ZLB.TO - Drawdown Comparison
The maximum ESGA.TO drawdown since its inception was -32.68%, roughly equal to the maximum ZLB.TO drawdown of -33.96%. Use the drawdown chart below to compare losses from any high point for ESGA.TO and ZLB.TO.
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Drawdown Indicators
| ESGA.TO | ZLB.TO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -32.68% | -33.96% | +1.28% |
Max Drawdown (1Y)Largest decline over 1 year | -8.51% | -5.67% | -2.84% |
Max Drawdown (3Y)Largest decline over 3 years | -12.94% | -8.01% | -4.93% |
Max Drawdown (5Y)Largest decline over 5 years | -23.40% | -13.00% | -10.40% |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.96% | — |
Current DrawdownCurrent decline from peak | -0.26% | -1.01% | +0.75% |
Average DrawdownAverage peak-to-trough decline | -6.34% | -2.48% | -3.86% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.37% | 1.93% | +0.44% |
Volatility
ESGA.TO vs. ZLB.TO - Volatility Comparison
BMO MSCI Canada Selection Equity Index ETF (ESGA.TO) has a higher volatility of 3.14% compared to BMO Low Volatility Canadian Equity ETF (ZLB.TO) at 2.38%. This indicates that ESGA.TO's price experiences larger fluctuations and is considered to be riskier than ZLB.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 | ZLB.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% | 6.65% | +4.02% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.70% | 9.30% | +4.40% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.84% | 9.64% | +4.20% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.23% | 12.22% | +4.01% |
Dividends
ESGA.TO vs. ZLB.TO - Dividend Comparison
ESGA.TO's dividend yield for the trailing twelve months is around 1.87%, more than ZLB.TO's 1.84% 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% |
ZLB.TO BMO Low Volatility Canadian Equity ETF | 1.84% | 1.99% | 2.37% | 2.67% | 2.66% | 2.39% | 2.83% | 2.44% | 2.76% | 2.55% | 2.94% | 2.34% |
Frequently Asked Questions
ESGA.TO and ZLB.TO have a correlation of 0.48, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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