FGO.TO vs. ZFS.TO
FGO.TO (CI Enhanced Government Bond ETF) and ZFS.TO (BMO Short Federal Bond Index ETF) are both Government Bonds funds. Over the past 5 years, FGO.TO returned 0.29%/yr vs 1.58%/yr for ZFS.TO. A 0.58 correlation means they provide meaningful diversification when combined.
Performance
FGO.TO vs. ZFS.TO - Performance Comparison
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Returns By Period
In the year-to-date period, FGO.TO achieves a 1.63% return, which is significantly higher than ZFS.TO's 1.19% return.
FGO.TO
- 1D
- -0.20%
- 1M
- 0.38%
- YTD
- 1.63%
- 6M
- 1.42%
- 1Y
- 2.14%
- 3Y*
- 3.04%
- 5Y*
- 0.29%
- 10Y*
- —
ZFS.TO
- 1D
- 0.00%
- 1M
- 0.35%
- YTD
- 1.19%
- 6M
- 1.26%
- 1Y
- 2.43%
- 3Y*
- 4.08%
- 5Y*
- 1.58%
- 10Y*
- 1.39%
FGO.TO vs. ZFS.TO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
FGO.TO CI Enhanced Government Bond ETF | 1.63% | 3.02% | 1.37% | 4.36% | -8.78% | -1.53% | 6.75% | 6.35% | 0.75% |
ZFS.TO BMO Short Federal Bond Index ETF | 1.19% | 3.10% | 4.61% | 3.93% | -4.03% | -1.43% | 4.42% | 2.15% | 1.42% |
Correlation
The correlation between FGO.TO and ZFS.TO is 0.68, 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 | 0.68 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.67 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.65 |
Correlation (All Time) Calculated using the full available price history since Aug 2, 2018 | 0.58 |
The correlation between FGO.TO and ZFS.TO shifts across timeframes, from 0.58 (all time) to 0.68 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
FGO.TO vs. ZFS.TO — Risk / Return Rank
FGO.TO
ZFS.TO
FGO.TO vs. ZFS.TO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for CI Enhanced Government Bond ETF (FGO.TO) and BMO Short Federal Bond Index ETF (ZFS.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.
| FGO.TO | ZFS.TO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.75 | ||
| Sortino ratioReturn per unit of downside risk | -1.03 | ||
| Omega ratioGain probability vs. loss probability | 1.09 | 1.24 | -0.15 |
| Calmar ratioReturn relative to maximum drawdown | 0.76 | 1.63 | -0.86 |
| Martin ratioReturn relative to average drawdown | 1.72 | 5.19 | -3.46 |
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Drawdowns
FGO.TO vs. ZFS.TO - Drawdown Comparison
The maximum FGO.TO drawdown since its inception was -14.83%, which is greater than ZFS.TO's maximum drawdown of -6.80%. Use the drawdown chart below to compare losses from any high point for FGO.TO and ZFS.TO.
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Drawdown Indicators
| FGO.TO | ZFS.TO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -14.83% | -6.80% | -8.03% |
Max Drawdown (1Y)Largest decline over 1 year | -2.82% | -1.50% | -1.32% |
Max Drawdown (3Y)Largest decline over 3 years | -6.12% | -1.50% | -4.62% |
Max Drawdown (5Y)Largest decline over 5 years | -13.26% | -6.43% | -6.83% |
Max Drawdown (10Y)Largest decline over 10 years | — | -6.80% | — |
Current DrawdownCurrent decline from peak | -1.54% | -0.01% | -1.53% |
Average DrawdownAverage peak-to-trough decline | -4.66% | -1.07% | -3.59% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.30% | 0.48% | +0.82% |
Volatility
FGO.TO vs. ZFS.TO - Volatility Comparison
CI Enhanced Government Bond ETF (FGO.TO) has a higher volatility of 1.05% compared to BMO Short Federal Bond Index ETF (ZFS.TO) at 0.49%. This indicates that FGO.TO's price experiences larger fluctuations and is considered to be riskier than ZFS.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FGO.TO | ZFS.TO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.05% | 0.49% | +0.56% |
Volatility (6M)Calculated over the trailing 6-month period | 3.11% | 1.58% | +1.53% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.42% | 1.97% | +2.45% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.12% | 2.64% | +3.48% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.81% | 2.27% | +3.54% |
Dividends
FGO.TO vs. ZFS.TO - Dividend Comparison
FGO.TO's dividend yield for the trailing twelve months is around 2.42%, less than ZFS.TO's 2.54% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FGO.TO CI Enhanced Government Bond ETF | 2.42% | 2.80% | 3.10% | 2.33% | 1.46% | 0.62% | 0.68% | 0.92% | 0.15% | 0.00% | 0.00% | 0.00% |
ZFS.TO BMO Short Federal Bond Index ETF | 2.54% | 2.41% | 2.06% | 1.96% | 1.99% | 1.88% | 1.81% | 1.86% | 1.59% | 1.59% | 1.77% | 1.90% |
Frequently Asked Questions
FGO.TO and ZFS.TO have a correlation of 0.68, 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: CI and BMO.
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