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ESGY.TO vs. XMTM.TO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

ESGY.TO vs. XMTM.TO

Last updated Jul 1, 2026
See Documentation

ESGY.TO (BMO MSCI USA Selection Equity Index ETF) and XMTM.TO (iShares MSCI USA Momentum Factor Index ETF) are both exchange-traded funds - ESGY.TO is a Large Cap Blend Equities fund managed by BMO, while XMTM.TO is a Momentum fund tracking the MSCI USA Momentum SR Variant Index. Over the past 5 years, ESGY.TO returned 16.24%/yr vs 18.33%/yr for XMTM.TO. At a 0.45 correlation, their price movements are largely independent.

Performance

ESGY.TO vs. XMTM.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in BMO MSCI USA Selection Equity Index ETF (ESGY.TO) and iShares MSCI USA Momentum Factor Index ETF (XMTM.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, ESGY.TO achieves a 13.25% return, which is significantly lower than XMTM.TO's 41.73% return.

ESGY.TO

1D
1.45%
1M
2.57%
YTD
13.25%
6M
13.11%
1Y
28.69%
3Y*
23.63%
5Y*
16.24%
10Y*
—

XMTM.TO

1D
2.46%
1M
12.16%
YTD
41.73%
6M
41.00%
1Y
46.79%
3Y*
37.02%
5Y*
18.33%
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

ESGY.TO vs. XMTM.TO - Yearly Performance Comparison

2026 (YTD)202520242023202220212020
ESGY.TO
BMO MSCI USA Selection Equity Index ETF		13.25%13.67%33.83%26.54%-15.46%30.67%11.27%
XMTM.TO
iShares MSCI USA Momentum Factor Index ETF		41.73%14.03%43.59%6.48%-14.53%15.00%22.90%

Correlation

The correlation between ESGY.TO and XMTM.TO is 0.61, 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

0.61

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

0.60

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

0.50

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

0.45

The correlation between ESGY.TO and XMTM.TO shifts across timeframes, from 0.45 (all time) to 0.61 (1 year), reflecting how their relationship changes across market environments.

Compare stocks, funds, or ETFs

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BMO MSCI USA Selection Equity Index ETF

iShares MSCI USA Momentum Factor Index ETF

Often compared with XMTM.TO:
XMTM.TO vs. SPMOXMTM.TO vs. VMO.TOXMTM.TO vs. VFV.TOXMTM.TO vs. XCHP.TOXMTM.TO vs. FEQT.NEOXMTM.TO vs. QQC.TOXMTM.TO vs. VOO

Return for Risk

ESGY.TO vs. XMTM.TO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
ESGY.TO
ESGY.TO Risk / Return Rank: 7575
Overall Rank
ESGY.TO Sharpe Ratio Rank: 8282
Sharpe Ratio Rank
ESGY.TO Sortino Ratio Rank: 8585
Sortino Ratio Rank
ESGY.TO Omega Ratio Rank: 8181
Omega Ratio Rank
ESGY.TO Calmar Ratio Rank: 6464
Calmar Ratio Rank
ESGY.TO Martin Ratio Rank: 6464
Martin Ratio Rank
XMTM.TO
XMTM.TO Risk / Return Rank: 7878
Overall Rank
XMTM.TO Sharpe Ratio Rank: 8080
Sharpe Ratio Rank
XMTM.TO Sortino Ratio Rank: 7676
Sortino Ratio Rank
XMTM.TO Omega Ratio Rank: 7777
Omega Ratio Rank
XMTM.TO Calmar Ratio Rank: 8686
Calmar Ratio Rank
XMTM.TO Martin Ratio Rank: 7373
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.

ESGY.TO vs. XMTM.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for BMO MSCI USA Selection Equity Index ETF (ESGY.TO) and iShares MSCI USA Momentum Factor Index ETF (XMTM.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.

ESGY.TOXMTM.TODifference
Sharpe ratioReturn per unit of total volatility
2.26
2.16

+0.10

Sortino ratioReturn per unit of downside risk
3.26
2.89

+0.37

Omega ratioGain probability vs. loss probability

1.41

1.38

+0.03

Calmar ratioReturn relative to maximum drawdown

2.71

4.12

-1.40

Martin ratioReturn relative to average drawdown

9.84

11.52

-1.68

ESGY.TO vs. XMTM.TO - Sharpe Ratio Comparison

The current ESGY.TO Sharpe Ratio is 2.26, which is comparable to the XMTM.TO Sharpe Ratio of 2.16. The chart below compares the historical Sharpe Ratios of ESGY.TO and XMTM.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

ESGY.TO vs. XMTM.TO - Drawdown Comparison

The maximum ESGY.TO drawdown since its inception was -26.36%, smaller than the maximum XMTM.TO drawdown of -29.01%. Use the drawdown chart below to compare losses from any high point for ESGY.TO and XMTM.TO.

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Drawdown Indicators

ESGY.TOXMTM.TODifference

Max Drawdown

Largest peak-to-trough decline

-26.36%

-29.01%

+2.65%

Max Drawdown (1Y)

Largest decline over 1 year

-10.62%

-11.42%

+0.80%

Max Drawdown (3Y)

Largest decline over 3 years

-20.83%

-20.64%

-0.19%

Max Drawdown (5Y)

Largest decline over 5 years

-22.89%

-29.01%

+6.12%

Current Drawdown

Current decline from peak

0.00%

0.00%

0.00%

Average Drawdown

Average peak-to-trough decline

-5.28%

-7.90%

+2.62%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.92%

4.07%

-1.15%

Volatility

ESGY.TO vs. XMTM.TO - Volatility Comparison

The current volatility for BMO MSCI USA Selection Equity Index ETF (ESGY.TO) is 4.46%, while iShares MSCI USA Momentum Factor Index ETF (XMTM.TO) has a volatility of 12.19%. This indicates that ESGY.TO experiences smaller price fluctuations and is considered to be less risky than XMTM.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

ESGY.TOXMTM.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

4.46%

12.19%

-7.73%

Volatility (6M)

Calculated over the trailing 6-month period

10.01%

19.07%

-9.06%

Volatility (1Y)

Calculated over the trailing 1-year period

12.77%

21.79%

-9.02%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

15.61%

19.50%

-3.89%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

16.87%

20.48%

-3.61%

Dividends

ESGY.TO vs. XMTM.TO - Dividend Comparison

ESGY.TO's dividend yield for the trailing twelve months is around 0.61%, more than XMTM.TO's 0.45% yield.

PositionTTM2025202420232022202120202019
ESGY.TO
BMO MSCI USA Selection Equity Index ETF		0.61%0.66%0.79%1.16%1.34%1.12%1.44%0.00%
XMTM.TO
iShares MSCI USA Momentum Factor Index ETF		0.45%0.71%0.62%0.84%1.66%0.32%0.64%1.24%

Frequently Asked Questions

ESGY.TO and XMTM.TO have a correlation of 0.61, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

ESGY.TO is categorized as Large Cap Blend Equities, while XMTM.TO is Momentum. They also come from different issuers: BMO and iShares.

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