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

ESGY.TO vs. XUU.TO

Last updated Jul 1, 2026
See Documentation

ESGY.TO (BMO MSCI USA Selection Equity Index ETF) and XUU.TO (iShares Core S&P U.S. Total Market Index ETF) are both Large Cap Blend Equities funds. Over the past 5 years, ESGY.TO returned 16.24%/yr vs 15.25%/yr for XUU.TO. A 0.66 correlation means they provide meaningful diversification when combined.

Performance

ESGY.TO vs. XUU.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 Core S&P U.S. Total Market Index ETF (XUU.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 XUU.TO's 14.40% 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*
—

XUU.TO

1D
0.61%
1M
2.33%
YTD
14.40%
6M
13.81%
1Y
27.10%
3Y*
22.77%
5Y*
15.25%
10Y*
15.72%
*Multi-year figures are annualized to reflect compound growth (CAGR)

ESGY.TO vs. XUU.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%
XUU.TO
iShares Core S&P U.S. Total Market Index ETF		14.40%11.25%34.07%23.11%-13.53%25.94%11.92%

Correlation

The correlation between ESGY.TO and XUU.TO is 0.80, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.80

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

0.82

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

0.75

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

0.66

The correlation between ESGY.TO and XUU.TO shifts across timeframes, from 0.66 (all time) to 0.82 (3 years), 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 Core S&P U.S. Total Market Index ETF

Often compared with XUU.TO:
XUU.TO vs. XUS.TOXUU.TO vs. VUN.TOXUU.TO vs. XAW.TOXUU.TO vs. XUU-U.TOXUU.TO vs. XIC.TOXUU.TO vs. VTIXUU.TO vs. VOO

Return for Risk

ESGY.TO vs. XUU.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
XUU.TO
XUU.TO Risk / Return Rank: 7777
Overall Rank
XUU.TO Sharpe Ratio Rank: 8080
Sharpe Ratio Rank
XUU.TO Sortino Ratio Rank: 7878
Sortino Ratio Rank
XUU.TO Omega Ratio Rank: 7979
Omega Ratio Rank
XUU.TO Calmar Ratio Rank: 7272
Calmar Ratio Rank
XUU.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. XUU.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 Core S&P U.S. Total Market Index ETF (XUU.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.TOXUU.TODifference
Sharpe ratioReturn per unit of total volatility
2.26
2.16

+0.10

Sortino ratioReturn per unit of downside risk
3.26
2.96

+0.30

Omega ratioGain probability vs. loss probability

1.41

1.40

+0.01

Calmar ratioReturn relative to maximum drawdown

2.71

3.09

-0.38

Martin ratioReturn relative to average drawdown

9.84

11.58

-1.74

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

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

The maximum ESGY.TO drawdown since its inception was -26.36%, smaller than the maximum XUU.TO drawdown of -28.22%. Use the drawdown chart below to compare losses from any high point for ESGY.TO and XUU.TO.

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Drawdown Indicators

ESGY.TOXUU.TODifference

Max Drawdown

Largest peak-to-trough decline

-26.36%

-28.22%

+1.86%

Max Drawdown (1Y)

Largest decline over 1 year

-10.62%

-8.80%

-1.82%

Max Drawdown (3Y)

Largest decline over 3 years

-20.83%

-19.70%

-1.13%

Max Drawdown (5Y)

Largest decline over 5 years

-22.89%

-23.40%

+0.51%

Max Drawdown (10Y)

Largest decline over 10 years

—

-28.22%

—

Current Drawdown

Current decline from peak

0.00%

-0.20%

+0.20%

Average Drawdown

Average peak-to-trough decline

-5.28%

-4.13%

-1.15%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.92%

2.35%

+0.57%

Volatility

ESGY.TO vs. XUU.TO - Volatility Comparison

The current volatility for BMO MSCI USA Selection Equity Index ETF (ESGY.TO) is 4.46%, while iShares Core S&P U.S. Total Market Index ETF (XUU.TO) has a volatility of 4.76%. This indicates that ESGY.TO experiences smaller price fluctuations and is considered to be less risky than XUU.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.TOXUU.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

4.46%

4.76%

-0.30%

Volatility (6M)

Calculated over the trailing 6-month period

10.01%

9.93%

+0.08%

Volatility (1Y)

Calculated over the trailing 1-year period

12.77%

12.59%

+0.18%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

15.61%

15.55%

+0.06%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

16.87%

16.61%

+0.26%

Dividends

ESGY.TO vs. XUU.TO - Dividend Comparison

ESGY.TO's dividend yield for the trailing twelve months is around 0.61%, less than XUU.TO's 1.02% yield.

PositionTTM20252024202320222021202020192018201720162015
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%0.00%0.00%0.00%0.00%
XUU.TO
iShares Core S&P U.S. Total Market Index ETF		1.02%1.16%1.02%1.22%1.38%1.01%1.33%1.68%1.74%1.49%1.65%1.53%

Frequently Asked Questions

ESGY.TO and XUU.TO have a correlation of 0.80, 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 iShares.

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