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PZW.TO vs. ESGG.TO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

PZW.TO vs. ESGG.TO

Last updated Jul 18, 2026
Documentation

PZW.TO (Invesco FTSE RAFI Global Small-Mid ETF) and ESGG.TO (BMO MSCI Global Selection Equity Index ETF) are both Global Equities funds. Over the past 5 years, PZW.TO returned 10.66%/yr vs 13.44%/yr for ESGG.TO. At a 0.36 correlation, their price movements are largely independent.

Performance

PZW.TO vs. ESGG.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in Invesco FTSE RAFI Global Small-Mid ETF (PZW.TO) and BMO MSCI Global Selection Equity Index ETF (ESGG.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, PZW.TO achieves a 16.26% return, which is significantly higher than ESGG.TO's 10.74% return.

PZW.TO

1D
0.00%
1M
0.23%
6M
9.03%
YTD
16.26%
1Y
29.21%
3Y*
18.38%
5Y*
10.66%
10Y*
11.00%

ESGG.TO

1D
-1.13%
1M
-1.17%
6M
7.04%
YTD
10.74%
1Y
21.99%
3Y*
19.71%
5Y*
13.44%
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

PZW.TO vs. ESGG.TO - Yearly Performance Comparison

2026 (YTD)202520242023202220212020
PZW.TO
Invesco FTSE RAFI Global Small-Mid ETF		16.26%18.48%16.03%12.88%-10.53%17.53%10.10%
ESGG.TO
BMO MSCI Global Selection Equity Index ETF		10.74%15.44%27.08%23.34%-14.25%23.71%8.86%

Correlation

The correlation between PZW.TO and ESGG.TO is 0.27, which is low. Their price movements are largely independent, making them effective diversification partners.

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

0.27

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

0.37

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

0.42

Correlation (All Time)
Calculated using the full available price history since Jan 21, 2020

0.36

The correlation between PZW.TO and ESGG.TO shifts across timeframes, from 0.27 (1 year) to 0.42 (5 years), reflecting how their relationship changes across market environments.

PZW.TO vs. ESGG.TO - Sectors Allocation Comparison

Sectors
PZW.TO
ESGG.TO

Industrials

19.4%
10.5%

Financial Services

13.5%
14.6%

Technology

12.3%
30.5%

Healthcare

12.0%
9.4%

Consumer Cyclical

11.4%
7.9%

Real Estate

8.3%
2.1%

Basic Materials

7.0%
3.5%

Energy

5.6%
2.8%

Consumer Defensive

4.6%
4.8%

Communication Services

3.7%
12.0%

Utilities

2.2%
2.0%

Industrials

PZW.TO
19.4%
ESGG.TO
10.5%

Financial Services

PZW.TO
13.5%
ESGG.TO
14.6%

Technology

PZW.TO
12.3%
ESGG.TO
30.5%

Healthcare

PZW.TO
12.0%
ESGG.TO
9.4%

Consumer Cyclical

PZW.TO
11.4%
ESGG.TO
7.9%

Real Estate

PZW.TO
8.3%
ESGG.TO
2.1%

Basic Materials

PZW.TO
7.0%
ESGG.TO
3.5%

Energy

PZW.TO
5.6%
ESGG.TO
2.8%

Consumer Defensive

PZW.TO
4.6%
ESGG.TO
4.8%

Communication Services

PZW.TO
3.7%
ESGG.TO
12.0%

Utilities

PZW.TO
2.2%
ESGG.TO
2.0%

Compare stocks, funds, or ETFs

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

Invesco FTSE RAFI Global Small-Mid ETF

BMO MSCI Global Selection Equity Index ETF

Often compared with PZW.TO:
PZW.TO vs. PXC.TOPZW.TO vs. INAI.TOPZW.TO vs. QQC.TOPZW.TO vs. XWD.TOPZW.TO vs. EQL.TOPZW.TO vs. TEQT.TOPZW.TO vs. QQC-F.TO
Often compared with ESGG.TO:
ESGG.TO vs. ONEQ.TOESGG.TO vs. CYH.TOESGG.TO vs. XMI.TOESGG.TO vs. VEQT.TOESGG.TO vs. CMGG.TOESGG.TO vs. HEQT.TOESGG.TO vs. VDU.TO

Return for Risk

PZW.TO vs. ESGG.TO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
PZW.TO
PZW.TO Risk / Return Rank: 8585
Overall Rank
PZW.TO Sharpe Ratio Rank: 8484
Sharpe Ratio Rank
PZW.TO Sortino Ratio Rank: 8686
Sortino Ratio Rank
PZW.TO Omega Ratio Rank: 8686
Omega Ratio Rank
PZW.TO Calmar Ratio Rank: 8585
Calmar Ratio Rank
PZW.TO Martin Ratio Rank: 8383
Martin Ratio Rank
ESGG.TO
ESGG.TO Risk / Return Rank: 7474
Overall Rank
ESGG.TO Sharpe Ratio Rank: 7878
Sharpe Ratio Rank
ESGG.TO Sortino Ratio Rank: 8080
Sortino Ratio Rank
ESGG.TO Omega Ratio Rank: 7878
Omega Ratio Rank
ESGG.TO Calmar Ratio Rank: 6464
Calmar Ratio Rank
ESGG.TO Martin Ratio Rank: 7171
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.

PZW.TO vs. ESGG.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco FTSE RAFI Global Small-Mid ETF (PZW.TO) and BMO MSCI Global Selection Equity Index ETF (ESGG.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.

PZW.TOESGG.TODifference
Sharpe ratioReturn per unit of total volatility
2.07
1.88

+0.19

Sortino ratioReturn per unit of downside risk
3.04
2.74

+0.30

Omega ratioGain probability vs. loss probability

1.40

1.34

+0.06

Calmar ratioReturn relative to maximum drawdown

3.45

2.38

+1.07

Martin ratioReturn relative to average drawdown

12.19

9.40

+2.79

PZW.TO vs. ESGG.TO - Sharpe Ratio Comparison

The current PZW.TO Sharpe Ratio is 2.07, which is comparable to the ESGG.TO Sharpe Ratio of 1.88. The chart below compares the historical Sharpe Ratios of PZW.TO and ESGG.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

PZW.TO vs. ESGG.TO - Drawdown Comparison

The maximum PZW.TO drawdown since its inception was -32.45%, which is greater than ESGG.TO's maximum drawdown of -27.90%. Use the drawdown chart below to compare losses from any high point for PZW.TO and ESGG.TO.

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Drawdown Indicators

PZW.TOESGG.TODifference

Max Drawdown

Largest peak-to-trough decline

-32.45%

-27.90%

-4.55%

Max Drawdown (1Y)

Largest decline over 1 year

-8.50%

-9.27%

+0.77%

Max Drawdown (3Y)

Largest decline over 3 years

-16.88%

-17.79%

+0.91%

Max Drawdown (5Y)

Largest decline over 5 years

-22.13%

-25.31%

+3.18%

Max Drawdown (10Y)

Largest decline over 10 years

-32.45%

—

—

Current Drawdown

Current decline from peak

-2.61%

-2.98%

+0.37%

Average Drawdown

Average peak-to-trough decline

-5.70%

-5.78%

+0.08%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.40%

2.34%

+0.06%

Volatility

PZW.TO vs. ESGG.TO - Volatility Comparison

Invesco FTSE RAFI Global Small-Mid ETF (PZW.TO) and BMO MSCI Global Selection Equity Index ETF (ESGG.TO) have volatilities of 3.01% and 2.96%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

PZW.TOESGG.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

3.01%

2.96%

+0.05%

Volatility (6M)

Calculated over the trailing 6-month period

10.31%

9.61%

+0.70%

Volatility (1Y)

Calculated over the trailing 1-year period

14.21%

11.79%

+2.42%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

14.68%

14.40%

+0.28%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

15.85%

16.33%

-0.48%

Dividends

PZW.TO vs. ESGG.TO - Dividend Comparison

PZW.TO's dividend yield for the trailing twelve months is around 1.67%, more than ESGG.TO's 0.88% yield.

PositionTTM20252024202320222021202020192018201720162015
ESGG.TO
BMO MSCI Global Selection Equity Index ETF		0.88%1.01%1.20%1.56%1.82%1.53%1.87%0.00%0.00%0.00%0.00%0.00%
PZW.TO
Invesco FTSE RAFI Global Small-Mid ETF		1.67%1.97%2.12%3.23%1.90%1.93%1.52%2.26%1.78%1.57%1.09%0.96%

Frequently Asked Questions

PZW.TO and ESGG.TO have a correlation of 0.27, 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: Invesco and BMO.

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