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ESGG.TO vs. ZUQ.TO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

ESGG.TO vs. ZUQ.TO

Last updated Jul 1, 2026
See Documentation

ESGG.TO (BMO MSCI Global Selection Equity Index ETF) and ZUQ.TO (BMO MSCI USA High Quality Index ETF) are both exchange-traded funds - ESGG.TO is a Global Equities fund managed by BMO, while ZUQ.TO is a Large Cap Blend Equities fund tracking the MSCI USA Quality Index. Over the past 5 years, ESGG.TO returned 14.54%/yr vs 14.85%/yr for ZUQ.TO. A 0.55 correlation means they provide meaningful diversification when combined.

Performance

ESGG.TO vs. ZUQ.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 BMO MSCI USA High Quality Index ETF (ZUQ.TO). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, ESGG.TO achieves a 13.51% return, which is significantly lower than ZUQ.TO's 14.21% return.

ESGG.TO

1D
1.89%
1M
3.45%
YTD
13.51%
6M
12.68%
1Y
27.26%
3Y*
21.79%
5Y*
14.54%
10Y*
—

ZUQ.TO

1D
0.91%
1M
4.72%
YTD
14.21%
6M
13.70%
1Y
21.75%
3Y*
21.29%
5Y*
14.85%
10Y*
17.02%
*Multi-year figures are annualized to reflect compound growth (CAGR)

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

2026 (YTD)202520242023202220212020
ESGG.TO
BMO MSCI Global Selection Equity Index ETF		13.51%15.44%27.08%23.34%-14.25%23.71%8.86%
ZUQ.TO
BMO MSCI USA High Quality Index ETF		14.21%5.80%34.06%33.29%-18.30%26.45%14.55%

Correlation

The correlation between ESGG.TO and ZUQ.TO is 0.55, 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

0.55

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

0.60

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

0.56

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

0.55

The correlation between ESGG.TO and ZUQ.TO has been stable across timeframes, ranging from 0.55 to 0.60 - 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 Global Selection Equity Index ETF

BMO MSCI USA High Quality Index ETF

Often compared with ZUQ.TO:
ZUQ.TO vs. ZSP.TOZUQ.TO vs. ZGQ.TOZUQ.TO vs. VFV.TOZUQ.TO vs. VGG.TOZUQ.TO vs. XEQT.TOZUQ.TO vs. ZNQ.TOZUQ.TO vs. BNKS.L

Return for Risk

ESGG.TO vs. ZUQ.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: 8080
Overall Rank
ESGG.TO Sharpe Ratio Rank: 8484
Sharpe Ratio Rank
ESGG.TO Sortino Ratio Rank: 8787
Sortino Ratio Rank
ESGG.TO Omega Ratio Rank: 8484
Omega Ratio Rank
ESGG.TO Calmar Ratio Rank: 6969
Calmar Ratio Rank
ESGG.TO Martin Ratio Rank: 7373
Martin Ratio Rank
ZUQ.TO
ZUQ.TO Risk / Return Rank: 5656
Overall Rank
ZUQ.TO Sharpe Ratio Rank: 6262
Sharpe Ratio Rank
ZUQ.TO Sortino Ratio Rank: 5959
Sortino Ratio Rank
ZUQ.TO Omega Ratio Rank: 6464
Omega Ratio Rank
ZUQ.TO Calmar Ratio Rank: 4848
Calmar Ratio Rank
ZUQ.TO Martin Ratio Rank: 4646
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.

ESGG.TO vs. ZUQ.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 BMO MSCI USA High Quality Index ETF (ZUQ.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.TOZUQ.TODifference
Sharpe ratioReturn per unit of total volatility
2.33
1.75

+0.59

Sortino ratioReturn per unit of downside risk
3.37
2.39

+0.98

Omega ratioGain probability vs. loss probability

1.43

1.33

+0.10

Calmar ratioReturn relative to maximum drawdown

2.95

2.07

+0.89

Martin ratioReturn relative to average drawdown

11.73

6.71

+5.02

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

The current ESGG.TO Sharpe Ratio is 2.33, which is higher than the ZUQ.TO Sharpe Ratio of 1.75. The chart below compares the historical Sharpe Ratios of ESGG.TO and ZUQ.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

ESGG.TO vs. ZUQ.TO - Drawdown Comparison

The maximum ESGG.TO drawdown since its inception was -27.90%, roughly equal to the maximum ZUQ.TO drawdown of -26.93%. Use the drawdown chart below to compare losses from any high point for ESGG.TO and ZUQ.TO.

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Drawdown Indicators

ESGG.TOZUQ.TODifference

Max Drawdown

Largest peak-to-trough decline

-27.90%

-26.93%

-0.97%

Max Drawdown (1Y)

Largest decline over 1 year

-9.27%

-10.57%

+1.30%

Max Drawdown (3Y)

Largest decline over 3 years

-17.79%

-17.93%

+0.14%

Max Drawdown (5Y)

Largest decline over 5 years

-25.31%

-26.93%

+1.62%

Max Drawdown (10Y)

Largest decline over 10 years

—

-26.93%

—

Current Drawdown

Current decline from peak

0.00%

0.00%

0.00%

Average Drawdown

Average peak-to-trough decline

-5.81%

-4.55%

-1.26%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.33%

3.25%

-0.92%

Volatility

ESGG.TO vs. ZUQ.TO - Volatility Comparison

BMO MSCI Global Selection Equity Index ETF (ESGG.TO) and BMO MSCI USA High Quality Index ETF (ZUQ.TO) have volatilities of 3.91% and 3.96%, 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.

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Volatility by Period

ESGG.TOZUQ.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

3.91%

3.96%

-0.05%

Volatility (6M)

Calculated over the trailing 6-month period

9.68%

9.07%

+0.61%

Volatility (1Y)

Calculated over the trailing 1-year period

11.74%

12.50%

-0.76%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

14.40%

16.38%

-1.98%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

16.38%

17.53%

-1.15%

Dividends

ESGG.TO vs. ZUQ.TO - Dividend Comparison

ESGG.TO's dividend yield for the trailing twelve months is around 0.86%, more than ZUQ.TO's 0.43% yield.

PositionTTM20252024202320222021202020192018201720162015
ESGG.TO
BMO MSCI Global Selection Equity Index ETF		0.86%1.01%1.20%1.56%1.82%1.53%1.87%0.00%0.00%0.00%0.00%0.00%
ZUQ.TO
BMO MSCI USA High Quality Index ETF		0.43%0.48%0.60%0.90%1.03%0.83%1.00%1.00%1.12%1.25%1.26%0.92%

Frequently Asked Questions

ESGG.TO and ZUQ.TO have a correlation of 0.55, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

ESGG.TO is categorized as Global Equities, while ZUQ.TO is Large Cap Blend Equities.

Portfolio Optimizer

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