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MCSM.TO vs. ZCN.TO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

MCSM.TO vs. ZCN.TO

Last updated Jul 16, 2026
Documentation

MCSM.TO (Manulife Multifactor Canadian SMID Cap Index ETF) and ZCN.TO (BMO S&P/TSX Capped Composite Index ETF) are both Canada Equities funds. MCSM.TO is actively managed, while ZCN.TO is passively managed. Over the past 5 years, MCSM.TO returned 11.72%/yr vs 15.34%/yr for ZCN.TO. At a 0.27 correlation, their price movements are largely independent.

Performance

MCSM.TO vs. ZCN.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in Manulife Multifactor Canadian SMID Cap Index ETF (MCSM.TO) and BMO S&P/TSX Capped Composite Index ETF (ZCN.TO). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, MCSM.TO achieves a 11.32% return, which is significantly lower than ZCN.TO's 12.95% return.

MCSM.TO

1D
0.46%
1M
-1.44%
6M
4.24%
YTD
11.32%
1Y
32.76%
3Y*
19.58%
5Y*
11.72%
10Y*
—

ZCN.TO

1D
0.25%
1M
0.63%
6M
8.79%
YTD
12.95%
1Y
33.83%
3Y*
23.78%
5Y*
15.34%
10Y*
12.59%
*Multi-year figures are annualized to reflect compound growth (CAGR)

MCSM.TO vs. ZCN.TO - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
MCSM.TO
Manulife Multifactor Canadian SMID Cap Index ETF		11.32%39.56%4.39%6.83%1.07%17.32%10.44%17.79%0.56%0.00%
ZCN.TO
BMO S&P/TSX Capped Composite Index ETF		12.95%31.51%21.64%11.63%-5.84%25.05%5.69%22.85%-8.85%0.55%

Correlation

The correlation between MCSM.TO and ZCN.TO is 0.62, 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

0.62

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

0.42

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

0.34

Correlation (All Time)
Calculated using the full available price history since Dec 19, 2017

0.27

Over the past year, MCSM.TO and ZCN.TO have become more correlated (0.62) than their long-term average of 0.27, meaning their price movements have been converging.

Compare stocks, funds, or ETFs

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

Manulife Multifactor Canadian SMID Cap Index ETF

BMO S&P/TSX Capped Composite Index ETF

Often compared with ZCN.TO:
ZCN.TO vs. XIC.TOZCN.TO vs. XIU.TOZCN.TO vs. ZSP.TOZCN.TO vs. VDY.TOZCN.TO vs. VCE.TOZCN.TO vs. XEQT.TOZCN.TO vs. VFV.TO

Return for Risk

MCSM.TO vs. ZCN.TO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
MCSM.TO
MCSM.TO Risk / Return Rank: 4646
Overall Rank
MCSM.TO Sharpe Ratio Rank: 4343
Sharpe Ratio Rank
MCSM.TO Sortino Ratio Rank: 3838
Sortino Ratio Rank
MCSM.TO Omega Ratio Rank: 5151
Omega Ratio Rank
MCSM.TO Calmar Ratio Rank: 5555
Calmar Ratio Rank
MCSM.TO Martin Ratio Rank: 4040
Martin Ratio Rank
ZCN.TO
ZCN.TO Risk / Return Rank: 9090
Overall Rank
ZCN.TO Sharpe Ratio Rank: 9393
Sharpe Ratio Rank
ZCN.TO Sortino Ratio Rank: 9090
Sortino Ratio Rank
ZCN.TO Omega Ratio Rank: 9090
Omega Ratio Rank
ZCN.TO Calmar Ratio Rank: 8484
Calmar Ratio Rank
ZCN.TO Martin Ratio Rank: 9191
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.

MCSM.TO vs. ZCN.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Manulife Multifactor Canadian SMID Cap Index ETF (MCSM.TO) and BMO S&P/TSX Capped Composite Index ETF (ZCN.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.

MCSM.TOZCN.TODifference
Sharpe ratioReturn per unit of total volatility
1.28
2.59

-1.30

Sortino ratioReturn per unit of downside risk
1.70
3.34

-1.64

Omega ratioGain probability vs. loss probability

1.27

1.46

-0.19

Calmar ratioReturn relative to maximum drawdown

2.26

3.65

-1.39

Martin ratioReturn relative to average drawdown

5.33

16.63

-11.30

MCSM.TO vs. ZCN.TO - Sharpe Ratio Comparison

The current MCSM.TO Sharpe Ratio is 1.28, which is lower than the ZCN.TO Sharpe Ratio of 2.59. The chart below compares the historical Sharpe Ratios of MCSM.TO and ZCN.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

MCSM.TO vs. ZCN.TO - Drawdown Comparison

The maximum MCSM.TO drawdown since its inception was -42.80%, which is greater than ZCN.TO's maximum drawdown of -37.18%. Use the drawdown chart below to compare losses from any high point for MCSM.TO and ZCN.TO.

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Drawdown Indicators

MCSM.TOZCN.TODifference

Max Drawdown

Largest peak-to-trough decline

-42.80%

-37.18%

-5.62%

Max Drawdown (1Y)

Largest decline over 1 year

-14.54%

-9.30%

-5.24%

Max Drawdown (3Y)

Largest decline over 3 years

-22.65%

-12.25%

-10.40%

Max Drawdown (5Y)

Largest decline over 5 years

-22.93%

-16.25%

-6.68%

Max Drawdown (10Y)

Largest decline over 10 years

—

-37.18%

—

Current Drawdown

Current decline from peak

-8.40%

0.00%

-8.40%

Average Drawdown

Average peak-to-trough decline

-6.53%

-4.71%

-1.82%

Ulcer Index

Depth and duration of drawdowns from previous peaks

6.16%

2.04%

+4.12%

Volatility

MCSM.TO vs. ZCN.TO - Volatility Comparison

Manulife Multifactor Canadian SMID Cap Index ETF (MCSM.TO) has a higher volatility of 4.94% compared to BMO S&P/TSX Capped Composite Index ETF (ZCN.TO) at 2.20%. This indicates that MCSM.TO's price experiences larger fluctuations and is considered to be riskier than ZCN.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

MCSM.TOZCN.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

4.94%

2.20%

+2.74%

Volatility (6M)

Calculated over the trailing 6-month period

17.07%

10.64%

+6.43%

Volatility (1Y)

Calculated over the trailing 1-year period

25.62%

13.14%

+12.48%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

50.04%

13.18%

+36.86%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

49.71%

14.98%

+34.73%

Dividends

MCSM.TO vs. ZCN.TO - Dividend Comparison

MCSM.TO's dividend yield for the trailing twelve months is around 1.78%, less than ZCN.TO's 2.03% yield.

PositionTTM20252024202320222021202020192018201720162015
MCSM.TO
Manulife Multifactor Canadian SMID Cap Index ETF		1.78%1.63%1.82%2.15%2.05%1.23%1.05%1.41%1.43%0.00%0.00%0.00%
ZCN.TO
BMO S&P/TSX Capped Composite Index ETF		2.03%2.22%2.78%3.29%3.27%2.74%3.24%3.13%3.16%2.75%2.86%3.36%

Frequently Asked Questions

MCSM.TO and ZCN.TO have a correlation of 0.62, 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: Manulife and BMO.

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