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FEZ vs. ZSP.TO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

FEZ vs. ZSP.TO

Last updated Jun 14, 2026

FEZ (State Street SPDR EURO STOXX 50 ETF) and ZSP.TO (BMO S&P 500 Index ETF) are both exchange-traded funds - FEZ is a Europe Equities fund tracking the EURO STOXX 50 Index, while ZSP.TO is a S&P 500 fund tracking the S&P 500 Index. Both are passively managed. Over the past 10 years, FEZ returned 11.34%/yr vs 15.13%/yr for ZSP.TO. At a 0.47 correlation, their price movements are largely independent. FEZ charges 0.29%/yr vs 0.09%/yr for ZSP.TO.

Performance

FEZ vs. ZSP.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in State Street SPDR EURO STOXX 50 ETF (FEZ) and BMO S&P 500 Index ETF (ZSP.TO). The values are adjusted to include any dividend payments, if applicable.

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Different Trading Currencies

FEZ is traded in USD, while ZSP.TO is traded in CAD. To make them comparable, the ZSP.TO values have been converted to USD using the latest available exchange rates.

Returns By Period

In the year-to-date period, FEZ achieves a 7.29% return, which is significantly lower than ZSP.TO's 8.80% return. Over the past 10 years, FEZ has underperformed ZSP.TO with an annualized return of 11.34%, while ZSP.TO has yielded a comparatively higher 15.13% annualized return.

FEZ

1D
0.09%
1M
6.20%
YTD
7.29%
6M
8.07%
1Y
19.95%
3Y*
17.98%
5Y*
10.21%
10Y*
11.34%

ZSP.TO

1D
0.56%
1M
-0.92%
YTD
8.80%
6M
9.50%
1Y
25.68%
3Y*
20.85%
5Y*
13.02%
10Y*
15.13%
*Multi-year figures are annualized to reflect compound growth (CAGR)

FEZ vs. ZSP.TO - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
FEZ
State Street SPDR EURO STOXX 50 ETF		7.29%37.81%3.57%27.16%-14.27%14.84%4.84%26.04%-15.85%24.80%
ZSP.TO
BMO S&P 500 Index ETF		8.80%17.73%24.53%26.31%-17.88%27.60%18.42%30.05%-4.73%21.85%

Correlation

The correlation between FEZ and ZSP.TO is 0.57, 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

0.57

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

0.48

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

0.52

Correlation (10Y)
Calculated over the trailing 10-year period

0.49

Correlation (All Time)
Calculated using the full available price history since Nov 26, 2012

0.47

The correlation between FEZ and ZSP.TO has been stable across timeframes, ranging from 0.47 to 0.57 - a consistent structural relationship.

FEZ vs. ZSP.TO - Sectors Allocation Comparison

Sectors
FEZ
ZSP.TO

Financial Services

24.9%
11.9%

Industrials

21.7%
8.2%

Technology

18.0%
36.2%

Consumer Cyclical

9.8%
10.1%

Consumer Defensive

5.4%
4.8%

Healthcare

5.1%
8.4%

Energy

4.8%
3.5%

Utilities

4.5%
2.3%

Basic Materials

3.4%
1.8%

Communication Services

2.4%
10.9%

Real Estate

-

1.9%

Financial Services

FEZ
24.9%
ZSP.TO
11.9%

Industrials

FEZ
21.7%
ZSP.TO
8.2%

Technology

FEZ
18.0%
ZSP.TO
36.2%

Consumer Cyclical

FEZ
9.8%
ZSP.TO
10.1%

Consumer Defensive

FEZ
5.4%
ZSP.TO
4.8%

Healthcare

FEZ
5.1%
ZSP.TO
8.4%

Energy

FEZ
4.8%
ZSP.TO
3.5%

Utilities

FEZ
4.5%
ZSP.TO
2.3%

Basic Materials

FEZ
3.4%
ZSP.TO
1.8%

Communication Services

FEZ
2.4%
ZSP.TO
10.9%

Real Estate

FEZ

-

ZSP.TO
1.9%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

State Street SPDR EURO STOXX 50 ETF

BMO S&P 500 Index ETF

Often compared with FEZ:
FEZ vs. VGKFEZ vs. IEURFEZ vs. EZUFEZ vs. IEVFEZ vs. VOOFEZ vs. EWQFEZ vs. EWN
Often compared with ZSP.TO:
ZSP.TO vs. VOOZSP.TO vs. XSP.TOZSP.TO vs. ZCN.TOZSP.TO vs. XUS.TOZSP.TO vs. ZEQT.TOZSP.TO vs. VSP.TOZSP.TO vs. ZQQ.TO

Return for Risk

FEZ vs. ZSP.TO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
FEZ
FEZ Risk / Return Rank: 3030
Overall Rank
FEZ Sharpe Ratio Rank: 3030
Sharpe Ratio Rank
FEZ Sortino Ratio Rank: 3030
Sortino Ratio Rank
FEZ Omega Ratio Rank: 2828
Omega Ratio Rank
FEZ Calmar Ratio Rank: 3030
Calmar Ratio Rank
FEZ Martin Ratio Rank: 3434
Martin Ratio Rank
ZSP.TO
ZSP.TO Risk / Return Rank: 7979
Overall Rank
ZSP.TO Sharpe Ratio Rank: 8484
Sharpe Ratio Rank
ZSP.TO Sortino Ratio Rank: 8181
Sortino Ratio Rank
ZSP.TO Omega Ratio Rank: 8383
Omega Ratio Rank
ZSP.TO Calmar Ratio Rank: 7373
Calmar Ratio Rank
ZSP.TO Martin Ratio Rank: 7474
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.

FEZ vs. ZSP.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for State Street SPDR EURO STOXX 50 ETF (FEZ) and BMO S&P 500 Index ETF (ZSP.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.

FEZZSP.TODifference
Sharpe ratioReturn per unit of total volatility
0.96
1.93

-0.98

Sortino ratioReturn per unit of downside risk
1.45
2.62

-1.17

Omega ratioGain probability vs. loss probability

1.17

1.35

-0.18

Calmar ratioReturn relative to maximum drawdown

1.29

2.74

-1.44

Martin ratioReturn relative to average drawdown

4.40

11.70

-7.30

FEZ vs. ZSP.TO - Sharpe Ratio Comparison

The current FEZ Sharpe Ratio is 0.96, which is lower than the ZSP.TO Sharpe Ratio of 1.93. The chart below compares the historical Sharpe Ratios of FEZ and ZSP.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

FEZ vs. ZSP.TO - Drawdown Comparison

The maximum FEZ drawdown since its inception was -64.21%, which is greater than ZSP.TO's maximum drawdown of -33.11%. Use the drawdown chart below to compare losses from any high point for FEZ and ZSP.TO.

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Drawdown Indicators

FEZZSP.TODifference

Max Drawdown

Largest peak-to-trough decline

-64.21%

-33.11%

-31.10%

Max Drawdown (1Y)

Largest decline over 1 year

-13.63%

-9.11%

-4.52%

Max Drawdown (3Y)

Largest decline over 3 years

-15.85%

-18.80%

+2.95%

Max Drawdown (5Y)

Largest decline over 5 years

-35.05%

-24.35%

-10.70%

Max Drawdown (10Y)

Largest decline over 10 years

-39.69%

-33.11%

-6.58%

Current Drawdown

Current decline from peak

-0.37%

-2.42%

+2.05%

Average Drawdown

Average peak-to-trough decline

-17.05%

-3.85%

-13.20%

Ulcer Index

Depth and duration of drawdowns from previous peaks

4.01%

2.13%

+1.88%

Volatility

FEZ vs. ZSP.TO - Volatility Comparison

State Street SPDR EURO STOXX 50 ETF (FEZ) has a higher volatility of 6.57% compared to BMO S&P 500 Index ETF (ZSP.TO) at 4.56%. This indicates that FEZ's price experiences larger fluctuations and is considered to be riskier than ZSP.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

FEZZSP.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

6.57%

4.56%

+2.01%

Volatility (6M)

Calculated over the trailing 6-month period

15.48%

9.84%

+5.64%

Volatility (1Y)

Calculated over the trailing 1-year period

18.45%

12.90%

+5.55%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

20.70%

16.16%

+4.54%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

21.11%

17.54%

+3.57%

FEZ vs. ZSP.TO - Expense Ratio Comparison

FEZ has a 0.29% expense ratio, which is higher than ZSP.TO's 0.09% expense ratio.

Dividends

FEZ vs. ZSP.TO - Dividend Comparison

FEZ's dividend yield for the trailing twelve months is around 2.52%, more than ZSP.TO's 0.76% yield.

PositionTTM20252024202320222021202020192018201720162015
FEZ
State Street SPDR EURO STOXX 50 ETF		2.52%2.78%2.94%2.75%3.06%2.61%2.13%2.61%3.45%2.44%3.35%3.03%
ZSP.TO
BMO S&P 500 Index ETF		0.76%0.82%0.94%1.33%1.44%1.15%1.45%1.48%1.68%1.68%2.23%1.60%

Frequently Asked Questions

FEZ and ZSP.TO have a correlation of 0.57, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

On fees, ZSP.TO is cheaper at 0.09% per year. The better choice depends on whether you care most about return, fees, risk, or income.

ZSP.TO is cheaper with a 0.09% expense ratio, compared with 0.29% for FEZ.

FEZ is categorized as Europe Equities, while ZSP.TO is S&P 500. FEZ tracks EURO STOXX 50 Index, while ZSP.TO tracks S&P 500 Index. They also come from different issuers: State Street and BMO. Their fees differ too: 0.29% for FEZ and 0.09% for ZSP.TO.

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