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

IEFA vs. ZSP.TO

Last updated Jun 13, 2026

IEFA (iShares Core MSCI EAFE ETF) and ZSP.TO (BMO S&P 500 Index ETF) are both exchange-traded funds - IEFA is a Foreign Large Cap Equities fund tracking the MSCI EAFE IMI Index (Net), while ZSP.TO is a S&P 500 fund tracking the S&P 500 Index. Both are passively managed. Over the past 10 years, IEFA returned 9.90%/yr vs 15.12%/yr for ZSP.TO. At a 0.49 correlation, their price movements are largely independent. IEFA charges 0.07%/yr vs 0.09%/yr for ZSP.TO.

Performance

IEFA vs. ZSP.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Core MSCI EAFE ETF (IEFA) 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

IEFA 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, IEFA achieves a 9.51% return, which is significantly higher than ZSP.TO's 8.69% return. Over the past 10 years, IEFA has underperformed ZSP.TO with an annualized return of 9.90%, while ZSP.TO has yielded a comparatively higher 15.12% annualized return.

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%

ZSP.TO

1D
0.45%
1M
-0.16%
YTD
8.69%
6M
9.38%
1Y
24.69%
3Y*
20.80%
5Y*
12.99%
10Y*
15.12%
*Multi-year figures are annualized to reflect compound growth (CAGR)

IEFA vs. ZSP.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%
ZSP.TO
BMO S&P 500 Index ETF		8.69%17.73%24.53%26.31%-17.88%27.60%18.42%30.05%-4.73%21.85%

Correlation

The correlation between IEFA and ZSP.TO is 0.54, 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

0.54

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

0.49

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

0.52

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

0.51

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

0.49

The correlation between IEFA and ZSP.TO has been stable across timeframes, ranging from 0.49 to 0.54 - a consistent structural relationship.

IEFA vs. ZSP.TO - Sectors Allocation Comparison

Sectors
IEFA
ZSP.TO

Financial Services

22.5%
11.9%

Industrials

20.1%
8.2%

Technology

10.8%
36.2%

Healthcare

9.5%
8.4%

Consumer Cyclical

8.0%
10.1%

Basic Materials

7.0%
1.8%

Consumer Defensive

6.6%
4.8%

Communication Services

4.4%
10.9%

Energy

3.8%
3.5%

Utilities

3.6%
2.3%

Real Estate

3.0%
1.9%

Financial Services

IEFA
22.5%
ZSP.TO
11.9%

Industrials

IEFA
20.1%
ZSP.TO
8.2%

Technology

IEFA
10.8%
ZSP.TO
36.2%

Healthcare

IEFA
9.5%
ZSP.TO
8.4%

Consumer Cyclical

IEFA
8.0%
ZSP.TO
10.1%

Basic Materials

IEFA
7.0%
ZSP.TO
1.8%

Consumer Defensive

IEFA
6.6%
ZSP.TO
4.8%

Communication Services

IEFA
4.4%
ZSP.TO
10.9%

Energy

IEFA
3.8%
ZSP.TO
3.5%

Utilities

IEFA
3.6%
ZSP.TO
2.3%

Real Estate

IEFA
3.0%
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.

iShares Core MSCI EAFE ETF

BMO S&P 500 Index ETF

Often compared with IEFA:
IEFA vs. VEAIEFA vs. VXUSIEFA vs. EFAIEFA vs. FSPSXIEFA vs. IEMGIEFA vs. XEF.TOIEFA vs. IXUS
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

IEFA vs. ZSP.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
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.

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

This table presents a comparison of risk-adjusted performance metrics for iShares Core MSCI EAFE ETF (IEFA) 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.

IEFAZSP.TODifference
Sharpe ratioReturn per unit of total volatility
1.35
1.92

-0.57

Sortino ratioReturn per unit of downside risk
1.97
2.61

-0.64

Omega ratioGain probability vs. loss probability

1.25

1.35

-0.11

Calmar ratioReturn relative to maximum drawdown

1.83

2.72

-0.90

Martin ratioReturn relative to average drawdown

6.93

11.64

-4.70

IEFA vs. ZSP.TO - Sharpe Ratio Comparison

The current IEFA Sharpe Ratio is 1.35, which is comparable to the ZSP.TO Sharpe Ratio of 1.92. The chart below compares the historical Sharpe Ratios of IEFA 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

IEFA vs. ZSP.TO - Drawdown Comparison

The maximum IEFA drawdown since its inception was -34.78%, 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 IEFA and ZSP.TO.

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Drawdown Indicators

IEFAZSP.TODifference

Max Drawdown

Largest peak-to-trough decline

-34.78%

-33.11%

-1.67%

Max Drawdown (1Y)

Largest decline over 1 year

-11.50%

-9.11%

-2.39%

Max Drawdown (3Y)

Largest decline over 3 years

-13.76%

-18.80%

+5.04%

Max Drawdown (5Y)

Largest decline over 5 years

-30.41%

-24.35%

-6.06%

Max Drawdown (10Y)

Largest decline over 10 years

-34.78%

-33.11%

-1.67%

Current Drawdown

Current decline from peak

-0.60%

-2.52%

+1.92%

Average Drawdown

Average peak-to-trough decline

-6.68%

-3.85%

-2.83%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.03%

2.13%

+0.90%

Volatility

IEFA vs. ZSP.TO - Volatility Comparison

iShares Core MSCI EAFE ETF (IEFA) has a higher volatility of 5.50% compared to BMO S&P 500 Index ETF (ZSP.TO) at 4.55%. This indicates that IEFA'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

IEFAZSP.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

5.50%

4.55%

+0.95%

Volatility (6M)

Calculated over the trailing 6-month period

13.11%

9.83%

+3.28%

Volatility (1Y)

Calculated over the trailing 1-year period

15.54%

12.90%

+2.64%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

16.61%

16.16%

+0.45%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

17.31%

17.54%

-0.23%

IEFA vs. ZSP.TO - Expense Ratio Comparison

IEFA has a 0.07% expense ratio, which is lower than ZSP.TO's 0.09% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

IEFA vs. ZSP.TO - Dividend Comparison

IEFA's dividend yield for the trailing twelve months is around 3.24%, more than ZSP.TO's 0.76% 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%
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

IEFA and ZSP.TO have a correlation of 0.54, 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 0.09% for ZSP.TO.

IEFA is categorized as Foreign Large Cap Equities, while ZSP.TO is S&P 500. IEFA tracks MSCI EAFE IMI Index (Net), while ZSP.TO tracks S&P 500 Index. They also come from different issuers: iShares and BMO. Their fees differ too: 0.07% for IEFA and 0.09% for ZSP.TO.

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