ESGG.TO vs. PZW.TO

Last updated Jul 18, 2026

ESGG.TO (BMO MSCI Global Selection Equity Index ETF) and PZW.TO (Invesco FTSE RAFI Global Small-Mid ETF) are both Global Equities funds. Over the past 5 years, ESGG.TO returned 13.44%/yr vs 10.66%/yr for PZW.TO. At a 0.36 correlation, their price movements are largely independent.

Performance

ESGG.TO vs. PZW.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in BMO MSCI Global Selection Equity Index ETF (ESGG.TO) and Invesco FTSE RAFI Global Small-Mid ETF (PZW.TO). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ESGG.TO achieves a 10.74% return, which is significantly lower than PZW.TO's 16.26% return.

ESGG.TO

• 1D: -1.13%
• 1M: -1.17%
• 6M: 7.04%
• YTD: 10.74%
• 1Y: 21.99%
• 3Y*: 19.71%
• 5Y*: 13.44%
• 10Y*: —

PZW.TO

• 1D: 0.00%
• 1M: 0.23%
• 6M: 9.03%
• YTD: 16.26%
• 1Y: 29.21%
• 3Y*: 18.38%
• 5Y*: 10.66%
• 10Y*: 11.00%

*Multi-year figures are annualized to reflect compound growth (CAGR)

ESGG.TO vs. PZW.TO - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
ESGG.TO BMO MSCI Global Selection Equity Index ETF	10.74%	15.44%	27.08%	23.34%	-14.25%	23.71%	8.86%
PZW.TO Invesco FTSE RAFI Global Small-Mid ETF	16.26%	18.48%	16.03%	12.88%	-10.53%	17.53%	10.10%

Correlation

The correlation between ESGG.TO and PZW.TO is 0.27, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.27
Correlation (3Y) Calculated over the trailing 3-year period	0.37
Correlation (5Y) Calculated over the trailing 5-year period	0.42
Correlation (All Time) Calculated using the full available price history since Jan 21, 2020	0.36

The correlation between ESGG.TO and PZW.TO shifts across timeframes, from 0.27 (1 year) to 0.42 (5 years), reflecting how their relationship changes across market environments.

ESGG.TO vs. PZW.TO - Sectors Allocation Comparison

Sectors	ESGG.TO	PZW.TO
Technology	30.5%	12.3%
Financial Services	14.6%	13.5%
Communication Services	12.0%	3.7%
Industrials	10.5%	19.4%
Healthcare	9.4%	12.0%
Consumer Cyclical	7.9%	11.4%
Consumer Defensive	4.8%	4.6%
Basic Materials	3.5%	7.0%
Energy	2.8%	5.6%
Real Estate	2.1%	8.3%
Utilities	2.0%	2.2%

Return for Risk

ESGG.TO vs. PZW.TO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ESGG.TO

ESGG.TO Risk / Return Rank: 74
ESGG.TO Sharpe Ratio Rank: 78
ESGG.TO Sortino Ratio Rank: 80
ESGG.TO Omega Ratio Rank: 78
ESGG.TO Calmar Ratio Rank: 64
ESGG.TO Martin Ratio Rank: 71

PZW.TO

PZW.TO Risk / Return Rank: 85
PZW.TO Sharpe Ratio Rank: 84
PZW.TO Sortino Ratio Rank: 86
PZW.TO Omega Ratio Rank: 86
PZW.TO Calmar Ratio Rank: 85
PZW.TO Martin Ratio Rank: 83

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.

ESGG.TO vs. PZW.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for BMO MSCI Global Selection Equity Index ETF (ESGG.TO) and Invesco FTSE RAFI Global Small-Mid ETF (PZW.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.

	ESGG.TO	PZW.TO	Difference
Sharpe ratio: Return per unit of total volatility	1.88	2.07	-0.19
Sortino ratio: Return per unit of downside risk	2.74	3.04	-0.30
Omega ratio: Gain probability vs. loss probability	1.34	1.40	-0.06
Calmar ratio: Return relative to maximum drawdown	2.38	3.45	-1.07
Martin ratio: Return relative to average drawdown	9.40	12.19	-2.79

ESGG.TO vs. PZW.TO - Sharpe Ratio Comparison

The current ESGG.TO Sharpe Ratio is 1.88, which is comparable to the PZW.TO Sharpe Ratio of 2.07. The chart below compares the historical Sharpe Ratios of ESGG.TO and PZW.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.

Drawdowns

ESGG.TO vs. PZW.TO - Drawdown Comparison

The maximum ESGG.TO drawdown since its inception was -27.90%, smaller than the maximum PZW.TO drawdown of -32.45%. Use the drawdown chart below to compare losses from any high point for ESGG.TO and PZW.TO.

Drawdown Indicators

	ESGG.TO	PZW.TO	Difference
Max Drawdown Largest peak-to-trough decline	-27.90%	-32.45%	+4.55%
Max Drawdown (1Y) Largest decline over 1 year	-9.27%	-8.50%	-0.77%
Max Drawdown (3Y) Largest decline over 3 years	-17.79%	-16.88%	-0.91%
Max Drawdown (5Y) Largest decline over 5 years	-25.31%	-22.13%	-3.18%
Max Drawdown (10Y) Largest decline over 10 years	—	-32.45%	—
Current Drawdown Current decline from peak	-2.98%	-2.61%	-0.37%
Average Drawdown Average peak-to-trough decline	-5.78%	-5.70%	-0.08%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.34%	2.40%	-0.06%

Volatility

ESGG.TO vs. PZW.TO - Volatility Comparison

BMO MSCI Global Selection Equity Index ETF (ESGG.TO) and Invesco FTSE RAFI Global Small-Mid ETF (PZW.TO) have volatilities of 2.96% and 3.01%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ESGG.TO	PZW.TO	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.96%	3.01%	-0.05%
Volatility (6M) Calculated over the trailing 6-month period	9.61%	10.31%	-0.70%
Volatility (1Y) Calculated over the trailing 1-year period	11.79%	14.21%	-2.42%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.40%	14.68%	-0.28%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.33%	15.85%	+0.48%

Dividends

ESGG.TO vs. PZW.TO - Dividend Comparison

ESGG.TO's dividend yield for the trailing twelve months is around 0.88%, less than PZW.TO's 1.67% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ESGG.TO BMO MSCI Global Selection Equity Index ETF	0.88%	1.01%	1.20%	1.56%	1.82%	1.53%	1.87%	0.00%	0.00%	0.00%	0.00%	0.00%
PZW.TO Invesco FTSE RAFI Global Small-Mid ETF	1.67%	1.97%	2.12%	3.23%	1.90%	1.93%	1.52%	2.26%	1.78%	1.57%	1.09%	0.96%

Frequently Asked Questions

Can I hold both ESGG.TO and PZW.TO in my portfolio?

ESGG.TO and PZW.TO have a correlation of 0.27, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

What is the main difference between ESGG.TO and PZW.TO?

They also come from different issuers: BMO and Invesco.