ESGE.TO vs. XDSR.TO
ESGE.TO (BMO MSCI EAFE Selection Equity Index ETF) and XDSR.TO (iShares ESG Advanced MSCI EAFE Index ETF) are both Foreign Large Cap Equities funds. Over the past 5 years, ESGE.TO returned 10.48%/yr vs 10.24%/yr for XDSR.TO. A 0.73 correlation means they provide meaningful diversification when combined.
Performance
ESGE.TO vs. XDSR.TO - Performance Comparison
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Returns By Period
In the year-to-date period, ESGE.TO achieves a 14.35% return, which is significantly lower than XDSR.TO's 16.92% return.
ESGE.TO
- 1D
- 0.62%
- 1M
- 4.82%
- YTD
- 14.35%
- 6M
- 14.12%
- 1Y
- 24.26%
- 3Y*
- 16.82%
- 5Y*
- 10.48%
- 10Y*
- —
XDSR.TO
- 1D
- 0.57%
- 1M
- 5.30%
- YTD
- 16.92%
- 6M
- 16.55%
- 1Y
- 23.27%
- 3Y*
- 17.92%
- 5Y*
- 10.24%
- 10Y*
- —
ESGE.TO vs. XDSR.TO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
ESGE.TO BMO MSCI EAFE Selection Equity Index ETF | 14.35% | 19.50% | 10.61% | 15.06% | -11.25% | 11.14% | 20.24% |
XDSR.TO iShares ESG Advanced MSCI EAFE Index ETF | 16.92% | 16.99% | 12.43% | 16.82% | -14.11% | 10.06% | 23.07% |
Correlation
The correlation between ESGE.TO and XDSR.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 | 0.81 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.78 |
Correlation (All Time) Calculated using the full available price history since Apr 29, 2020 | 0.73 |
The correlation between ESGE.TO and XDSR.TO shifts across timeframes, from 0.73 (all time) to 0.89 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
ESGE.TO vs. XDSR.TO — Risk / Return Rank
ESGE.TO
XDSR.TO
ESGE.TO vs. XDSR.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 iShares ESG Advanced MSCI EAFE Index ETF (XDSR.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.TO | XDSR.TO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.19 | ||
| Sortino ratioReturn per unit of downside risk | +0.22 | ||
| Omega ratioGain probability vs. loss probability | 1.30 | 1.27 | +0.03 |
| Calmar ratioReturn relative to maximum drawdown | 2.18 | 1.94 | +0.24 |
| Martin ratioReturn relative to average drawdown | 8.38 | 7.60 | +0.78 |
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Drawdowns
ESGE.TO vs. XDSR.TO - Drawdown Comparison
The maximum ESGE.TO drawdown since its inception was -27.77%, smaller than the maximum XDSR.TO drawdown of -29.62%. Use the drawdown chart below to compare losses from any high point for ESGE.TO and XDSR.TO.
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Drawdown Indicators
| ESGE.TO | XDSR.TO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -27.77% | -29.62% | +1.85% |
Max Drawdown (1Y)Largest decline over 1 year | -11.17% | -12.06% | +0.89% |
Max Drawdown (3Y)Largest decline over 3 years | -14.68% | -15.63% | +0.95% |
Max Drawdown (5Y)Largest decline over 5 years | -25.79% | -29.62% | +3.83% |
Current DrawdownCurrent decline from peak | 0.00% | -0.44% | +0.44% |
Average DrawdownAverage peak-to-trough decline | -5.30% | -6.28% | +0.98% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.90% | 3.07% | -0.17% |
Volatility
ESGE.TO vs. XDSR.TO - Volatility Comparison
The current volatility for BMO MSCI EAFE Selection Equity Index ETF (ESGE.TO) is 4.23%, while iShares ESG Advanced MSCI EAFE Index ETF (XDSR.TO) has a volatility of 5.74%. This indicates that ESGE.TO experiences smaller price fluctuations and is considered to be less risky than XDSR.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.TO | XDSR.TO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.23% | 5.74% | -1.51% |
Volatility (6M)Calculated over the trailing 6-month period | 12.49% | 13.50% | -1.01% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.50% | 15.71% | -1.21% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.84% | 15.03% | -1.19% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.29% | 14.82% | +1.47% |
Dividends
ESGE.TO vs. XDSR.TO - Dividend Comparison
ESGE.TO's dividend yield for the trailing twelve months is around 1.75%, more than XDSR.TO's 1.68% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 |
|---|---|---|---|---|---|---|---|
ESGE.TO BMO MSCI EAFE Selection Equity Index ETF | 1.75% | 2.10% | 2.60% | 2.89% | 2.95% | 2.54% | 2.75% |
XDSR.TO iShares ESG Advanced MSCI EAFE Index ETF | 1.68% | 1.83% | 1.94% | 1.94% | 2.27% | 1.45% | 0.77% |
Frequently Asked Questions
ESGE.TO and XDSR.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: BMO and iShares.
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