PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan
IEFA vs. ZLB.TO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

IEFA vs. ZLB.TO

Last updated Jun 13, 2026

IEFA (iShares Core MSCI EAFE ETF) and ZLB.TO (BMO Low Volatility Canadian Equity ETF) are both exchange-traded funds - IEFA is a Foreign Large Cap Equities fund tracking the MSCI EAFE IMI Index (Net), while ZLB.TO is a Canada Equities fund actively managed by BMO. IEFA is passively managed, while ZLB.TO is actively managed. Over the past 10 years, IEFA returned 9.90%/yr vs 9.71%/yr for ZLB.TO. At a 0.44 correlation, their price movements are largely independent. IEFA charges 0.07%/yr vs 0.39%/yr for ZLB.TO.

Performance

IEFA vs. ZLB.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Core MSCI EAFE ETF (IEFA) and BMO Low Volatility Canadian Equity ETF (ZLB.TO). The values are adjusted to include any dividend payments, if applicable.

Loading charts...

Different Trading Currencies

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

Returns By Period

In the year-to-date period, IEFA achieves a 9.51% return, which is significantly higher than ZLB.TO's 3.48% return. Both investments have delivered pretty close results over the past 10 years, with IEFA having a 9.90% annualized return and ZLB.TO not far behind at 9.71%.

IEFA

1D
0.18%
1M
0.85%
YTD
9.51%
6M
11.08%
1Y
20.89%
3Y*
16.31%
5Y*
8.10%
10Y*
9.90%

ZLB.TO

1D
-0.17%
1M
2.35%
YTD
3.48%
6M
1.29%
1Y
10.61%
3Y*
13.47%
5Y*
8.05%
10Y*
9.71%
*Multi-year figures are annualized to reflect compound growth (CAGR)

IEFA vs. ZLB.TO - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
IEFA
iShares Core MSCI EAFE ETF		9.51%32.08%3.26%17.95%-15.24%11.63%8.18%22.64%-14.14%26.57%
ZLB.TO
BMO Low Volatility Canadian Equity ETF		3.48%26.16%6.31%12.07%-6.29%22.99%3.98%27.16%-10.30%19.18%

Correlation

The correlation between IEFA and ZLB.TO is 0.34, which is low. Their price movements are largely independent, making them effective diversification partners.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.34

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

0.48

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

0.48

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

0.45

Correlation (All Time)
Calculated using the full available price history since Oct 24, 2012

0.44

The correlation between IEFA and ZLB.TO shifts across timeframes, from 0.34 (1 year) to 0.48 (5 years), reflecting how their relationship changes across market environments.

IEFA vs. ZLB.TO - Sectors Allocation Comparison

Sectors
IEFA
ZLB.TO

Financial Services

22.5%
23.9%

Industrials

20.1%
10.0%

Technology

10.8%
1.9%

Healthcare

9.5%

-

Consumer Cyclical

8.0%
8.5%

Basic Materials

7.0%
6.2%

Consumer Defensive

6.6%
18.3%

Communication Services

4.4%
9.3%

Energy

3.8%

-

Utilities

3.6%
17.6%

Real Estate

3.0%
4.3%

Financial Services

IEFA
22.5%
ZLB.TO
23.9%

Industrials

IEFA
20.1%
ZLB.TO
10.0%

Technology

IEFA
10.8%
ZLB.TO
1.9%

Healthcare

IEFA
9.5%
ZLB.TO

-

Consumer Cyclical

IEFA
8.0%
ZLB.TO
8.5%

Basic Materials

IEFA
7.0%
ZLB.TO
6.2%

Consumer Defensive

IEFA
6.6%
ZLB.TO
18.3%

Communication Services

IEFA
4.4%
ZLB.TO
9.3%

Energy

IEFA
3.8%
ZLB.TO

-

Utilities

IEFA
3.6%
ZLB.TO
17.6%

Real Estate

IEFA
3.0%
ZLB.TO
4.3%

Compare stocks, funds, or ETFs

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

iShares Core MSCI EAFE ETF

BMO Low Volatility Canadian Equity ETF

Often compared with IEFA:
IEFA vs. VEAIEFA vs. VXUSIEFA vs. EFAIEFA vs. FSPSXIEFA vs. IEMGIEFA vs. XEF.TOIEFA vs. IXUS
Often compared with ZLB.TO:
ZLB.TO vs. VDY.TOZLB.TO vs. XIU.TOZLB.TO vs. XDIV.TOZLB.TO vs. XMW.TOZLB.TO vs. XBAL.TOZLB.TO vs. XUT.TOZLB.TO vs. XEG.TO

Return for Risk

IEFA vs. ZLB.TO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
IEFA
IEFA Risk / Return Rank: 4444
Overall Rank
IEFA Sharpe Ratio Rank: 4444
Sharpe Ratio Rank
IEFA Sortino Ratio Rank: 4444
Sortino Ratio Rank
IEFA Omega Ratio Rank: 4343
Omega Ratio Rank
IEFA Calmar Ratio Rank: 4242
Calmar Ratio Rank
IEFA Martin Ratio Rank: 4848
Martin Ratio Rank
ZLB.TO
ZLB.TO Risk / Return Rank: 4848
Overall Rank
ZLB.TO Sharpe Ratio Rank: 4747
Sharpe Ratio Rank
ZLB.TO Sortino Ratio Rank: 4343
Sortino Ratio Rank
ZLB.TO Omega Ratio Rank: 4949
Omega Ratio Rank
ZLB.TO Calmar Ratio Rank: 5252
Calmar Ratio Rank
ZLB.TO Martin Ratio Rank: 4848
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.

IEFA vs. ZLB.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Core MSCI EAFE ETF (IEFA) and BMO Low Volatility Canadian Equity ETF (ZLB.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.

IEFAZLB.TODifference
Sharpe ratioReturn per unit of total volatility
1.35
1.06

+0.29

Sortino ratioReturn per unit of downside risk
1.97
1.47

+0.50

Omega ratioGain probability vs. loss probability

1.25

1.20

+0.05

Calmar ratioReturn relative to maximum drawdown

1.83

1.74

+0.09

Martin ratioReturn relative to average drawdown

6.93

4.73

+2.20

IEFA vs. ZLB.TO - Sharpe Ratio Comparison

The current IEFA Sharpe Ratio is 1.35, which is comparable to the ZLB.TO Sharpe Ratio of 1.06. The chart below compares the historical Sharpe Ratios of IEFA and ZLB.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

IEFA vs. ZLB.TO - Drawdown Comparison

The maximum IEFA drawdown since its inception was -34.78%, smaller than the maximum ZLB.TO drawdown of -39.55%. Use the drawdown chart below to compare losses from any high point for IEFA and ZLB.TO.

Loading charts...

Drawdown Indicators

IEFAZLB.TODifference

Max Drawdown

Largest peak-to-trough decline

-34.78%

-39.55%

+4.77%

Max Drawdown (1Y)

Largest decline over 1 year

-11.50%

-6.13%

-5.37%

Max Drawdown (3Y)

Largest decline over 3 years

-13.76%

-12.27%

-1.49%

Max Drawdown (5Y)

Largest decline over 5 years

-30.41%

-20.63%

-9.78%

Max Drawdown (10Y)

Largest decline over 10 years

-34.78%

-39.55%

+4.77%

Current Drawdown

Current decline from peak

-0.60%

-1.30%

+0.70%

Average Drawdown

Average peak-to-trough decline

-6.68%

-4.08%

-2.60%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.03%

2.25%

+0.78%

Volatility

IEFA vs. ZLB.TO - Volatility Comparison

iShares Core MSCI EAFE ETF (IEFA) has a higher volatility of 5.50% compared to BMO Low Volatility Canadian Equity ETF (ZLB.TO) at 2.75%. This indicates that IEFA's price experiences larger fluctuations and is considered to be riskier than ZLB.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Loading charts...

Volatility by Period

IEFAZLB.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

5.50%

2.75%

+2.75%

Volatility (6M)

Calculated over the trailing 6-month period

13.11%

8.17%

+4.94%

Volatility (1Y)

Calculated over the trailing 1-year period

15.54%

10.05%

+5.49%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

16.61%

11.65%

+4.96%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

17.31%

13.90%

+3.41%

IEFA vs. ZLB.TO - Expense Ratio Comparison

IEFA has a 0.07% expense ratio, which is lower than ZLB.TO's 0.39% expense ratio.

Dividends

IEFA vs. ZLB.TO - Dividend Comparison

IEFA's dividend yield for the trailing twelve months is around 3.24%, more than ZLB.TO's 1.88% yield.

PositionTTM20252024202320222021202020192018201720162015
IEFA
iShares Core MSCI EAFE ETF		3.24%3.55%3.47%3.20%2.70%3.32%1.90%3.18%3.46%2.57%2.96%2.63%
ZLB.TO
BMO Low Volatility Canadian Equity ETF		1.88%1.99%2.37%2.67%2.66%2.39%2.83%2.44%2.76%2.55%2.94%2.34%

Frequently Asked Questions

IEFA and ZLB.TO have a correlation of 0.34, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

On fees, IEFA is cheaper at 0.07% per year. The better choice depends on whether you care most about return, fees, risk, or income.

IEFA is cheaper with a 0.07% expense ratio, compared with 0.39% for ZLB.TO.

IEFA is categorized as Foreign Large Cap Equities, while ZLB.TO is Canada Equities. They also come from different issuers: iShares and BMO. Their fees differ too: 0.07% for IEFA and 0.39% for ZLB.TO.

Portfolio Optimizer

Find the right allocation for IEFA and ZLB.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