ESGF.TO vs. ZCB.TO
ESGF.TO (BMO ESG US Corporate Bond Hedged to CAD Index ETF) and ZCB.TO (BMO Corporate Bond Index ETF) are both Corporate Bonds funds from BMO. Over the past 5 years, ESGF.TO returned -1.70%/yr vs 2.15%/yr for ZCB.TO. At a 0.24 correlation, their price movements are largely independent.
Performance
ESGF.TO vs. ZCB.TO - Performance Comparison
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Returns By Period
In the year-to-date period, ESGF.TO achieves a -0.04% return, which is significantly lower than ZCB.TO's 2.10% return.
ESGF.TO
- 1D
- -1.34%
- 1M
- 0.25%
- YTD
- -0.04%
- 6M
- -0.33%
- 1Y
- 2.57%
- 3Y*
- 2.73%
- 5Y*
- -1.70%
- 10Y*
- —
ZCB.TO
- 1D
- -0.08%
- 1M
- 0.22%
- YTD
- 2.10%
- 6M
- 1.75%
- 1Y
- 3.73%
- 3Y*
- 6.07%
- 5Y*
- 2.15%
- 10Y*
- —
ESGF.TO vs. ZCB.TO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
ESGF.TO BMO ESG US Corporate Bond Hedged to CAD Index ETF | -0.04% | 5.25% | -2.92% | 7.28% | -15.76% | -3.12% | 9.56% |
ZCB.TO BMO Corporate Bond Index ETF | 2.10% | 3.81% | 6.60% | 8.73% | -10.20% | -2.22% | 7.51% |
Correlation
The correlation between ESGF.TO and ZCB.TO is 0.32, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.32 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.21 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.27 |
Correlation (All Time) Calculated using the full available price history since Jan 21, 2020 | 0.24 |
The correlation between ESGF.TO and ZCB.TO shifts across timeframes, from 0.21 (3 years) to 0.32 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
ESGF.TO vs. ZCB.TO — Risk / Return Rank
ESGF.TO
ZCB.TO
ESGF.TO vs. ZCB.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 BMO Corporate Bond Index ETF (ZCB.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 | ZCB.TO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.49 | ||
| Sortino ratioReturn per unit of downside risk | -0.61 | ||
| Omega ratioGain probability vs. loss probability | 1.10 | 1.19 | -0.09 |
| Calmar ratioReturn relative to maximum drawdown | 0.88 | 1.47 | -0.59 |
| Martin ratioReturn relative to average drawdown | 2.00 | 4.48 | -2.49 |
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Drawdowns
ESGF.TO vs. ZCB.TO - Drawdown Comparison
The maximum ESGF.TO drawdown since its inception was -23.55%, which is greater than ZCB.TO's maximum drawdown of -15.70%. Use the drawdown chart below to compare losses from any high point for ESGF.TO and ZCB.TO.
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Drawdown Indicators
| ESGF.TO | ZCB.TO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -23.55% | -15.70% | -7.85% |
Max Drawdown (1Y)Largest decline over 1 year | -2.92% | -2.55% | -0.37% |
Max Drawdown (3Y)Largest decline over 3 years | -8.77% | -3.14% | -5.63% |
Max Drawdown (5Y)Largest decline over 5 years | -23.18% | -14.20% | -8.98% |
Current DrawdownCurrent decline from peak | -10.58% | -0.24% | -10.34% |
Average DrawdownAverage peak-to-trough decline | -10.59% | -3.67% | -6.92% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.29% | 0.86% | +0.43% |
Volatility
ESGF.TO vs. ZCB.TO - Volatility Comparison
BMO ESG US Corporate Bond Hedged to CAD Index ETF (ESGF.TO) has a higher volatility of 2.12% compared to BMO Corporate Bond Index ETF (ZCB.TO) at 0.91%. This indicates that ESGF.TO's price experiences larger fluctuations and is considered to be riskier than ZCB.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 | ZCB.TO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.12% | 0.91% | +1.21% |
Volatility (6M)Calculated over the trailing 6-month period | 3.76% | 2.93% | +0.83% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.06% | 3.72% | +1.34% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.34% | 5.20% | +10.14% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.73% | 5.41% | +10.32% |
Dividends
ESGF.TO vs. ZCB.TO - Dividend Comparison
ESGF.TO's dividend yield for the trailing twelve months is around 4.39%, more than ZCB.TO's 4.12% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
ESGF.TO BMO ESG US Corporate Bond Hedged to CAD Index ETF | 4.39% | 4.14% | 4.08% | 4.06% | 3.77% | 2.93% | 2.75% | 0.00% | 0.00% |
ZCB.TO BMO Corporate Bond Index ETF | 4.12% | 4.00% | 3.84% | 3.89% | 3.62% | 3.13% | 2.97% | 3.12% | 3.27% |
Frequently Asked Questions
ESGF.TO and ZCB.TO have a correlation of 0.32, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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