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ESGE.TO vs. VIDY.TO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

ESGE.TO vs. VIDY.TO

Last updated Jul 1, 2026
See Documentation

ESGE.TO (BMO MSCI EAFE Selection Equity Index ETF) and VIDY.TO (Vanguard FTSE Developed ex North America High Dividend Yield Index ETF) are both Foreign Large Cap Equities funds. Over the past 5 years, ESGE.TO returned 10.48%/yr vs 15.95%/yr for VIDY.TO. A 0.71 correlation means they provide meaningful diversification when combined.

Performance

ESGE.TO vs. VIDY.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in BMO MSCI EAFE Selection Equity Index ETF (ESGE.TO) and Vanguard FTSE Developed ex North America High Dividend Yield Index ETF (VIDY.TO). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

The year-to-date returns for both stocks are quite close, with ESGE.TO having a 14.35% return and VIDY.TO slightly lower at 13.71%.

ESGE.TO

1D
0.62%
1M
4.82%
YTD
14.35%
6M
14.12%
1Y
24.26%
3Y*
16.82%
5Y*
10.48%
10Y*
—

VIDY.TO

1D
-0.22%
1M
2.31%
YTD
13.71%
6M
13.46%
1Y
30.83%
3Y*
22.99%
5Y*
15.95%
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

ESGE.TO vs. VIDY.TO - Yearly Performance Comparison

2026 (YTD)202520242023202220212020
ESGE.TO
BMO MSCI EAFE Selection Equity Index ETF		14.35%19.50%10.61%15.06%-11.25%11.14%4.41%
VIDY.TO
Vanguard FTSE Developed ex North America High Dividend Yield Index ETF		13.71%35.07%11.97%15.46%1.57%14.26%-4.42%

Correlation

The correlation between ESGE.TO and VIDY.TO is 0.78, 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

0.78

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

0.74

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

0.73

Correlation (All Time)
Calculated using the full available price history since Jan 21, 2020

0.71

The correlation between ESGE.TO and VIDY.TO has been stable across timeframes, ranging from 0.71 to 0.78 - a consistent structural relationship.

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

BMO MSCI EAFE Selection Equity Index ETF

Vanguard FTSE Developed ex North America High Dividend Yield Index ETF

Often compared with VIDY.TO:
VIDY.TO vs. VDY.TOVIDY.TO vs. VIU.TOVIDY.TO vs. VEQT.TOVIDY.TO vs. VFV.TOVIDY.TO vs. XEF.TOVIDY.TO vs. VEE.TOVIDY.TO vs. VDU.TO

Return for Risk

ESGE.TO vs. VIDY.TO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
ESGE.TO
ESGE.TO Risk / Return Rank: 5656
Overall Rank
ESGE.TO Sharpe Ratio Rank: 5858
Sharpe Ratio Rank
ESGE.TO Sortino Ratio Rank: 5959
Sortino Ratio Rank
ESGE.TO Omega Ratio Rank: 5656
Omega Ratio Rank
ESGE.TO Calmar Ratio Rank: 5050
Calmar Ratio Rank
ESGE.TO Martin Ratio Rank: 5555
Martin Ratio Rank
VIDY.TO
VIDY.TO Risk / Return Rank: 7979
Overall Rank
VIDY.TO Sharpe Ratio Rank: 8585
Sharpe Ratio Rank
VIDY.TO Sortino Ratio Rank: 8585
Sortino Ratio Rank
VIDY.TO Omega Ratio Rank: 8484
Omega Ratio Rank
VIDY.TO Calmar Ratio Rank: 7070
Calmar Ratio Rank
VIDY.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.

ESGE.TO vs. VIDY.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for BMO MSCI EAFE Selection Equity Index ETF (ESGE.TO) and Vanguard FTSE Developed ex North America High Dividend Yield Index ETF (VIDY.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.

ESGE.TOVIDY.TODifference
Sharpe ratioReturn per unit of total volatility
1.68
2.33

-0.65

Sortino ratioReturn per unit of downside risk
2.40
3.25

-0.85

Omega ratioGain probability vs. loss probability

1.30

1.43

-0.13

Calmar ratioReturn relative to maximum drawdown

2.18

2.95

-0.77

Martin ratioReturn relative to average drawdown

8.38

11.37

-2.99

ESGE.TO vs. VIDY.TO - Sharpe Ratio Comparison

The current ESGE.TO Sharpe Ratio is 1.68, which is comparable to the VIDY.TO Sharpe Ratio of 2.33. The chart below compares the historical Sharpe Ratios of ESGE.TO and VIDY.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

ESGE.TO vs. VIDY.TO - Drawdown Comparison

The maximum ESGE.TO drawdown since its inception was -27.77%, smaller than the maximum VIDY.TO drawdown of -31.99%. Use the drawdown chart below to compare losses from any high point for ESGE.TO and VIDY.TO.

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Drawdown Indicators

ESGE.TOVIDY.TODifference

Max Drawdown

Largest peak-to-trough decline

-27.77%

-31.99%

+4.22%

Max Drawdown (1Y)

Largest decline over 1 year

-11.17%

-10.48%

-0.69%

Max Drawdown (3Y)

Largest decline over 3 years

-14.68%

-13.89%

-0.79%

Max Drawdown (5Y)

Largest decline over 5 years

-25.79%

-19.01%

-6.78%

Current Drawdown

Current decline from peak

0.00%

-0.37%

+0.37%

Average Drawdown

Average peak-to-trough decline

-5.30%

-4.24%

-1.06%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.90%

2.72%

+0.18%

Volatility

ESGE.TO vs. VIDY.TO - Volatility Comparison

BMO MSCI EAFE Selection Equity Index ETF (ESGE.TO) has a higher volatility of 4.23% compared to Vanguard FTSE Developed ex North America High Dividend Yield Index ETF (VIDY.TO) at 3.56%. This indicates that ESGE.TO's price experiences larger fluctuations and is considered to be riskier than VIDY.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

ESGE.TOVIDY.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

4.23%

3.56%

+0.67%

Volatility (6M)

Calculated over the trailing 6-month period

12.49%

10.93%

+1.56%

Volatility (1Y)

Calculated over the trailing 1-year period

14.50%

13.29%

+1.21%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

13.84%

13.50%

+0.34%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

16.29%

16.41%

-0.12%

Dividends

ESGE.TO vs. VIDY.TO - Dividend Comparison

ESGE.TO's dividend yield for the trailing twelve months is around 1.75%, less than VIDY.TO's 2.97% yield.

PositionTTM20252024202320222021202020192018
ESGE.TO
BMO MSCI EAFE Selection Equity Index ETF		1.75%2.10%2.60%2.89%2.95%2.54%2.75%0.00%0.00%
VIDY.TO
Vanguard FTSE Developed ex North America High Dividend Yield Index ETF		2.97%2.80%3.64%3.91%4.39%3.30%3.36%3.37%0.02%

Frequently Asked Questions

ESGE.TO and VIDY.TO have a correlation of 0.78, 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 Vanguard.

Portfolio Optimizer

Find the right allocation for ESGE.TO and VIDY.TO

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