PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan
ESGY.TO vs. ZDY.TO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

ESGY.TO vs. ZDY.TO

Last updated Jul 1, 2026
See Documentation

ESGY.TO (BMO MSCI USA Selection Equity Index ETF) and ZDY.TO (BMO US Dividend ETF (CAD)) are both exchange-traded funds - ESGY.TO is a Large Cap Blend Equities fund managed by BMO, while ZDY.TO is a Dividend fund actively managed by BMO. Over the past 5 years, ESGY.TO returned 16.24%/yr vs 12.12%/yr for ZDY.TO. A 0.50 correlation means they provide meaningful diversification when combined.

Performance

ESGY.TO vs. ZDY.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 BMO US Dividend ETF (CAD) (ZDY.TO). The values are adjusted to include any dividend payments, if applicable.

Loading charts...

Returns By Period

In the year-to-date period, ESGY.TO achieves a 13.25% return, which is significantly lower than ZDY.TO's 18.83% 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*
—

ZDY.TO

1D
-0.08%
1M
1.78%
YTD
18.83%
6M
18.12%
1Y
17.66%
3Y*
16.00%
5Y*
12.12%
10Y*
10.34%
*Multi-year figures are annualized to reflect compound growth (CAGR)

ESGY.TO vs. ZDY.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%
ZDY.TO
BMO US Dividend ETF (CAD)		18.83%-0.87%26.24%4.58%1.64%22.92%-7.26%

Correlation

The correlation between ESGY.TO and ZDY.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

0.56

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

0.57

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

0.50

The correlation between ESGY.TO and ZDY.TO has been stable across timeframes, ranging from 0.50 to 0.57 - 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 USA Selection Equity Index ETF

BMO US Dividend ETF (CAD)

Often compared with ZDY.TO:
ZDY.TO vs. VDY.TOZDY.TO vs. ZDV.TOZDY.TO vs. SCHDZDY.TO vs. ZLU.TOZDY.TO vs. VIGZDY.TO vs. ZGRO.TOZDY.TO vs. XEI.TO

Return for Risk

ESGY.TO vs. ZDY.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
ZDY.TO
ZDY.TO Risk / Return Rank: 3939
Overall Rank
ZDY.TO Sharpe Ratio Rank: 4444
Sharpe Ratio Rank
ZDY.TO Sortino Ratio Rank: 3737
Sortino Ratio Rank
ZDY.TO Omega Ratio Rank: 5050
Omega Ratio Rank
ZDY.TO Calmar Ratio Rank: 3333
Calmar Ratio Rank
ZDY.TO Martin Ratio Rank: 3030
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. ZDY.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 BMO US Dividend ETF (CAD) (ZDY.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.TOZDY.TODifference
Sharpe ratioReturn per unit of total volatility
2.26
1.37

+0.88

Sortino ratioReturn per unit of downside risk
3.26
1.77

+1.49

Omega ratioGain probability vs. loss probability

1.41

1.28

+0.14

Calmar ratioReturn relative to maximum drawdown

2.71

1.54

+1.17

Martin ratioReturn relative to average drawdown

9.84

3.94

+5.90

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

The current ESGY.TO Sharpe Ratio is 2.26, which is higher than the ZDY.TO Sharpe Ratio of 1.37. The chart below compares the historical Sharpe Ratios of ESGY.TO and ZDY.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.

Loading charts...

Drawdowns

ESGY.TO vs. ZDY.TO - Drawdown Comparison

The maximum ESGY.TO drawdown since its inception was -26.36%, smaller than the maximum ZDY.TO drawdown of -32.99%. Use the drawdown chart below to compare losses from any high point for ESGY.TO and ZDY.TO.

Loading charts...

Drawdown Indicators

ESGY.TOZDY.TODifference

Max Drawdown

Largest peak-to-trough decline

-26.36%

-32.99%

+6.63%

Max Drawdown (1Y)

Largest decline over 1 year

-10.62%

-11.53%

+0.91%

Max Drawdown (3Y)

Largest decline over 3 years

-20.83%

-15.33%

-5.50%

Max Drawdown (5Y)

Largest decline over 5 years

-22.89%

-15.33%

-7.56%

Max Drawdown (10Y)

Largest decline over 10 years

—

-32.99%

—

Current Drawdown

Current decline from peak

0.00%

-0.23%

+0.23%

Average Drawdown

Average peak-to-trough decline

-5.28%

-3.41%

-1.87%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.92%

4.49%

-1.57%

Volatility

ESGY.TO vs. ZDY.TO - Volatility Comparison

BMO MSCI USA Selection Equity Index ETF (ESGY.TO) has a higher volatility of 4.46% compared to BMO US Dividend ETF (CAD) (ZDY.TO) at 3.44%. This indicates that ESGY.TO's price experiences larger fluctuations and is considered to be riskier than ZDY.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Loading charts...

Volatility by Period

ESGY.TOZDY.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

4.46%

3.44%

+1.02%

Volatility (6M)

Calculated over the trailing 6-month period

10.01%

8.63%

+1.38%

Volatility (1Y)

Calculated over the trailing 1-year period

12.77%

12.90%

-0.13%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

15.61%

12.43%

+3.18%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

16.87%

15.28%

+1.59%

Dividends

ESGY.TO vs. ZDY.TO - Dividend Comparison

ESGY.TO's dividend yield for the trailing twelve months is around 0.61%, less than ZDY.TO's 1.49% 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%
ZDY.TO
BMO US Dividend ETF (CAD)		1.49%1.80%1.97%2.43%2.48%2.33%3.65%3.02%2.80%2.63%2.46%2.54%

Frequently Asked Questions

ESGY.TO and ZDY.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.

ESGY.TO is categorized as Large Cap Blend Equities, while ZDY.TO is Dividend.

Portfolio Optimizer

Find the right allocation for ESGY.TO and ZDY.TO

Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

Open Portfolio Optimizer