FCIL.NEO vs. ESGE.TO
FCIL.NEO (Fidelity International Low Volatility ETF) and ESGE.TO (BMO MSCI EAFE Selection Equity Index ETF) are both Foreign Large Cap Equities funds. Over the past 5 years, FCIL.NEO returned 9.43%/yr vs 9.86%/yr for ESGE.TO. At a 0.45 correlation, their price movements are largely independent.
Performance
FCIL.NEO vs. ESGE.TO - Performance Comparison
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Returns By Period
In the year-to-date period, FCIL.NEO achieves a 9.96% return, which is significantly lower than ESGE.TO's 12.92% return.
FCIL.NEO
- 1D
- -0.05%
- 1M
- 2.49%
- 6M
- 5.57%
- YTD
- 9.96%
- 1Y
- 19.75%
- 3Y*
- 14.99%
- 5Y*
- 9.43%
- 10Y*
- —
ESGE.TO
- 1D
- -0.36%
- 1M
- -0.32%
- 6M
- 7.81%
- YTD
- 12.92%
- 1Y
- 24.06%
- 3Y*
- 15.54%
- 5Y*
- 9.86%
- 10Y*
- —
FCIL.NEO vs. ESGE.TO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
FCIL.NEO Fidelity International Low Volatility ETF | 9.96% | 21.40% | 9.79% | 11.49% | -6.83% | 7.63% | -2.49% |
ESGE.TO BMO MSCI EAFE Selection Equity Index ETF | 12.92% | 19.50% | 10.61% | 15.06% | -11.25% | 11.14% | 4.41% |
Correlation
The correlation between FCIL.NEO and ESGE.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 | 0.51 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.45 |
Correlation (All Time) Calculated using the full available price history since Jan 21, 2020 | 0.45 |
The correlation between FCIL.NEO and ESGE.TO shifts across timeframes, from 0.45 (all time) to 0.55 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
FCIL.NEO vs. ESGE.TO — Risk / Return Rank
FCIL.NEO
ESGE.TO
FCIL.NEO vs. ESGE.TO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Fidelity International Low Volatility ETF (FCIL.NEO) and BMO MSCI EAFE Selection Equity Index ETF (ESGE.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.
| FCIL.NEO | ESGE.TO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.04 | ||
| Sortino ratioReturn per unit of downside risk | -0.03 | ||
| Omega ratioGain probability vs. loss probability | 1.31 | 1.30 | +0.01 |
| Calmar ratioReturn relative to maximum drawdown | 2.16 | 2.16 | 0.00 |
| Martin ratioReturn relative to average drawdown | 6.30 | 8.28 | -1.98 |
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Drawdowns
FCIL.NEO vs. ESGE.TO - Drawdown Comparison
The maximum FCIL.NEO drawdown since its inception was -20.28%, smaller than the maximum ESGE.TO drawdown of -27.77%. Use the drawdown chart below to compare losses from any high point for FCIL.NEO and ESGE.TO.
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Drawdown Indicators
| FCIL.NEO | ESGE.TO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -20.28% | -27.77% | +7.49% |
Max Drawdown (1Y)Largest decline over 1 year | -9.17% | -11.17% | +2.00% |
Max Drawdown (3Y)Largest decline over 3 years | -9.17% | -14.68% | +5.51% |
Max Drawdown (5Y)Largest decline over 5 years | -20.28% | -25.79% | +5.51% |
Current DrawdownCurrent decline from peak | -1.02% | -2.46% | +1.44% |
Average DrawdownAverage peak-to-trough decline | -4.43% | -5.27% | +0.84% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.14% | 2.91% | +0.23% |
Volatility
FCIL.NEO vs. ESGE.TO - Volatility Comparison
The current volatility for Fidelity International Low Volatility ETF (FCIL.NEO) is 2.87%, while BMO MSCI EAFE Selection Equity Index ETF (ESGE.TO) has a volatility of 3.74%. This indicates that FCIL.NEO experiences smaller price fluctuations and is considered to be less risky than ESGE.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FCIL.NEO | ESGE.TO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.87% | 3.74% | -0.87% |
Volatility (6M)Calculated over the trailing 6-month period | 9.74% | 12.58% | -2.84% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.29% | 14.62% | -2.33% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.91% | 13.85% | -0.94% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 13.54% | 16.27% | -2.73% |
Dividends
FCIL.NEO vs. ESGE.TO - Dividend Comparison
FCIL.NEO's dividend yield for the trailing twelve months is around 2.19%, more than ESGE.TO's 1.78% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 |
|---|---|---|---|---|---|---|---|---|
ESGE.TO BMO MSCI EAFE Selection Equity Index ETF | 1.78% | 2.10% | 2.60% | 2.89% | 2.95% | 2.54% | 2.75% | 0.00% |
FCIL.NEO Fidelity International Low Volatility ETF | 2.19% | 1.82% | 1.74% | 1.94% | 2.44% | 2.53% | 3.78% | 2.15% |
Frequently Asked Questions
FCIL.NEO and ESGE.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.
They also come from different issuers: Fidelity and BMO.
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