ETHI.TO vs. HEQT.TO
ETHI.TO (Global X Global Sustainability Leaders Index ETF) and HEQT.TO (Horizons All-Equity Asset Allocation ETF) are both Global Equities funds. Both are actively managed. Over the past 5 years, ETHI.TO returned 6.68%/yr vs 12.70%/yr for HEQT.TO. A 0.74 correlation means they provide meaningful diversification when combined.
Performance
ETHI.TO vs. HEQT.TO - Performance Comparison
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Returns By Period
In the year-to-date period, ETHI.TO achieves a 8.35% return, which is significantly lower than HEQT.TO's 15.01% return.
ETHI.TO
- 1D
- 0.11%
- 1M
- 2.07%
- 6M
- 8.18%
- YTD
- 8.35%
- 1Y
- 14.76%
- 3Y*
- 13.04%
- 5Y*
- 6.68%
- 10Y*
- —
HEQT.TO
- 1D
- 0.08%
- 1M
- 0.06%
- 6M
- 10.97%
- YTD
- 15.01%
- 1Y
- 28.87%
- 3Y*
- 21.12%
- 5Y*
- 12.70%
- 10Y*
- —
ETHI.TO vs. HEQT.TO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
ETHI.TO Global X Global Sustainability Leaders Index ETF | 8.35% | 8.90% | 15.46% | 23.45% | -23.60% | 22.09% | 35.86% | 10.83% |
HEQT.TO Horizons All-Equity Asset Allocation ETF | 15.01% | 19.82% | 23.83% | 22.29% | -18.95% | 22.54% | 16.34% | 7.44% |
Correlation
The correlation between ETHI.TO and HEQT.TO is 0.78, 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 | 0.78 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.73 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.79 |
Correlation (All Time) Calculated using the full available price history since Sep 18, 2019 | 0.74 |
The correlation between ETHI.TO and HEQT.TO has been stable across timeframes, ranging from 0.73 to 0.79 - a consistent structural relationship.
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Return for Risk
ETHI.TO vs. HEQT.TO — Risk / Return Rank
ETHI.TO
HEQT.TO
ETHI.TO vs. HEQT.TO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Global X Global Sustainability Leaders Index ETF (ETHI.TO) and Horizons All-Equity Asset Allocation ETF (HEQT.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.
| ETHI.TO | HEQT.TO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.22 | ||
| Sortino ratioReturn per unit of downside risk | -1.56 | ||
| Omega ratioGain probability vs. loss probability | 1.19 | 1.42 | -0.24 |
| Calmar ratioReturn relative to maximum drawdown | 1.28 | 3.42 | -2.14 |
| Martin ratioReturn relative to average drawdown | 4.64 | 14.73 | -10.09 |
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Drawdowns
ETHI.TO vs. HEQT.TO - Drawdown Comparison
The maximum ETHI.TO drawdown since its inception was -32.78%, roughly equal to the maximum HEQT.TO drawdown of -31.82%. Use the drawdown chart below to compare losses from any high point for ETHI.TO and HEQT.TO.
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Drawdown Indicators
| ETHI.TO | HEQT.TO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -32.78% | -31.82% | -0.96% |
Max Drawdown (1Y)Largest decline over 1 year | -11.59% | -8.49% | -3.10% |
Max Drawdown (3Y)Largest decline over 3 years | -19.07% | -15.33% | -3.74% |
Max Drawdown (5Y)Largest decline over 5 years | -31.97% | -24.89% | -7.08% |
Current DrawdownCurrent decline from peak | -0.35% | -1.19% | +0.84% |
Average DrawdownAverage peak-to-trough decline | -6.86% | -5.11% | -1.75% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.19% | 1.96% | +1.23% |
Volatility
ETHI.TO vs. HEQT.TO - Volatility Comparison
Global X Global Sustainability Leaders Index ETF (ETHI.TO) has a higher volatility of 3.72% compared to Horizons All-Equity Asset Allocation ETF (HEQT.TO) at 3.20%. This indicates that ETHI.TO's price experiences larger fluctuations and is considered to be riskier than HEQT.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ETHI.TO | HEQT.TO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.72% | 3.20% | +0.52% |
Volatility (6M)Calculated over the trailing 6-month period | 11.35% | 10.70% | +0.65% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.05% | 12.76% | +1.29% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.06% | 15.01% | +2.05% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.96% | 16.84% | +3.12% |
Dividends
ETHI.TO vs. HEQT.TO - Dividend Comparison
ETHI.TO's dividend yield for the trailing twelve months is around 0.80%, less than HEQT.TO's 1.62% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 |
|---|---|---|---|---|---|---|---|---|
ETHI.TO Global X Global Sustainability Leaders Index ETF | 0.80% | 0.99% | 0.82% | 1.06% | 1.09% | 1.22% | 0.84% | 0.64% |
HEQT.TO Horizons All-Equity Asset Allocation ETF | 1.62% | 1.70% | 1.67% | 0.84% | 0.03% | 0.02% | 1.40% | 0.22% |
Frequently Asked Questions
ETHI.TO and HEQT.TO have a correlation of 0.78, 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: Global X and Horizons.
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