ESGF.TO vs. DXO.TO
ESGF.TO (BMO ESG US Corporate Bond Hedged to CAD Index ETF) and DXO.TO (Dynamic Active Crossover Bond ETF) are both Corporate Bonds funds. Over the past 5 years, ESGF.TO returned -1.73%/yr vs 2.76%/yr for DXO.TO. At a 0.16 correlation, their price movements are largely independent.
Performance
ESGF.TO vs. DXO.TO - Performance Comparison
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Returns By Period
In the year-to-date period, ESGF.TO achieves a -0.85% return, which is significantly lower than DXO.TO's 1.76% return.
ESGF.TO
- 1D
- 0.00%
- 1M
- -0.68%
- 6M
- -1.38%
- YTD
- -0.85%
- 1Y
- 2.64%
- 3Y*
- 2.01%
- 5Y*
- -1.73%
- 10Y*
- —
DXO.TO
- 1D
- -0.10%
- 1M
- -0.19%
- 6M
- 1.40%
- YTD
- 1.76%
- 1Y
- 5.58%
- 3Y*
- 7.17%
- 5Y*
- 2.76%
- 10Y*
- —
ESGF.TO vs. DXO.TO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
ESGF.TO BMO ESG US Corporate Bond Hedged to CAD Index ETF | -0.85% | 5.25% | -2.92% | 7.28% | -15.76% | -3.12% | 9.56% |
DXO.TO Dynamic Active Crossover Bond ETF | 1.76% | 6.82% | 6.51% | 11.28% | -12.16% | 5.03% | 8.84% |
Correlation
The correlation between ESGF.TO and DXO.TO is 0.24, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.24 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.18 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.18 |
Correlation (All Time) Calculated using the full available price history since Jan 21, 2020 | 0.16 |
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Return for Risk
ESGF.TO vs. DXO.TO — Risk / Return Rank
ESGF.TO
DXO.TO
ESGF.TO vs. DXO.TO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for BMO ESG US Corporate Bond Hedged to CAD Index ETF (ESGF.TO) and Dynamic Active Crossover Bond ETF (DXO.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.
| ESGF.TO | DXO.TO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.15 | ||
| Sortino ratioReturn per unit of downside risk | -1.67 | ||
| Omega ratioGain probability vs. loss probability | 1.10 | 1.36 | -0.26 |
| Calmar ratioReturn relative to maximum drawdown | 0.91 | 2.32 | -1.42 |
| Martin ratioReturn relative to average drawdown | 1.96 | 10.03 | -8.07 |
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Drawdowns
ESGF.TO vs. DXO.TO - Drawdown Comparison
The maximum ESGF.TO drawdown since its inception was -23.55%, which is greater than DXO.TO's maximum drawdown of -17.61%. Use the drawdown chart below to compare losses from any high point for ESGF.TO and DXO.TO.
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Drawdown Indicators
| ESGF.TO | DXO.TO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -23.55% | -17.61% | -5.94% |
Max Drawdown (1Y)Largest decline over 1 year | -2.92% | -2.41% | -0.51% |
Max Drawdown (3Y)Largest decline over 3 years | -8.77% | -3.78% | -4.99% |
Max Drawdown (5Y)Largest decline over 5 years | -23.18% | -15.91% | -7.27% |
Current DrawdownCurrent decline from peak | -11.30% | -0.61% | -10.69% |
Average DrawdownAverage peak-to-trough decline | -10.59% | -2.94% | -7.65% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.35% | 0.56% | +0.79% |
Volatility
ESGF.TO vs. DXO.TO - Volatility Comparison
BMO ESG US Corporate Bond Hedged to CAD Index ETF (ESGF.TO) has a higher volatility of 2.12% compared to Dynamic Active Crossover Bond ETF (DXO.TO) at 0.92%. This indicates that ESGF.TO's price experiences larger fluctuations and is considered to be riskier than DXO.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ESGF.TO | DXO.TO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.12% | 0.92% | +1.20% |
Volatility (6M)Calculated over the trailing 6-month period | 3.83% | 2.65% | +1.18% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.00% | 3.34% | +1.66% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.24% | 5.63% | +9.61% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.68% | 7.73% | +7.95% |
Dividends
ESGF.TO vs. DXO.TO - Dividend Comparison
ESGF.TO's dividend yield for the trailing twelve months is around 4.42%, less than DXO.TO's 5.32% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
DXO.TO Dynamic Active Crossover Bond ETF | 5.32% | 5.55% | 5.61% | 5.65% | 5.29% | 4.15% | 4.20% | 3.96% | 4.31% | 2.15% |
ESGF.TO BMO ESG US Corporate Bond Hedged to CAD Index ETF | 4.42% | 4.14% | 4.08% | 4.06% | 3.77% | 2.93% | 2.75% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
ESGF.TO and DXO.TO have a correlation of 0.24, 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 Dynamic.
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