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QUU.TO vs. ESGY.TO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

QUU.TO vs. ESGY.TO

Last updated Jul 18, 2026
Documentation

QUU.TO (Mackenzie US Large Cap Equity Index ETF) and ESGY.TO (BMO MSCI USA Selection Equity Index ETF) are both Large Cap Blend Equities funds. Over the past 5 years, QUU.TO returned 15.04%/yr vs 15.28%/yr for ESGY.TO. A 0.67 correlation means they provide meaningful diversification when combined.

Performance

QUU.TO vs. ESGY.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in Mackenzie US Large Cap Equity Index ETF (QUU.TO) and BMO MSCI USA Selection Equity Index ETF (ESGY.TO). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

The year-to-date returns for both stocks are quite close, with QUU.TO having a 12.31% return and ESGY.TO slightly lower at 11.92%.

QUU.TO

1D
-0.53%
1M
0.08%
6M
9.22%
YTD
12.31%
1Y
22.41%
3Y*
22.33%
5Y*
15.04%
10Y*
—

ESGY.TO

1D
-0.25%
1M
0.99%
6M
8.99%
YTD
11.92%
1Y
23.62%
3Y*
22.30%
5Y*
15.28%
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

QUU.TO vs. ESGY.TO - Yearly Performance Comparison

2026 (YTD)202520242023202220212020
QUU.TO
Mackenzie US Large Cap Equity Index ETF		12.31%13.08%35.77%25.01%-15.10%26.45%14.23%
ESGY.TO
BMO MSCI USA Selection Equity Index ETF		11.92%13.67%33.83%26.54%-15.46%30.67%11.27%

Correlation

The correlation between QUU.TO and ESGY.TO is 0.80, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

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

0.80

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

0.82

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

0.75

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

0.67

The correlation between QUU.TO and ESGY.TO shifts across timeframes, from 0.67 (all time) to 0.82 (3 years), reflecting how their relationship changes across market environments.

QUU.TO vs. ESGY.TO - Sectors Allocation Comparison

Sectors
QUU.TO
ESGY.TO

Technology

38.9%
39.6%

Communication Services

10.8%
13.7%

Financial Services

10.7%
10.0%

Consumer Cyclical

9.9%
8.5%

Healthcare

8.4%
9.7%

Industrials

8.3%
7.7%

Consumer Defensive

4.4%
4.0%

Energy

3.2%
1.9%

Utilities

2.1%
1.0%

Basic Materials

1.8%
2.0%

Real Estate

1.6%
2.1%

Technology

QUU.TO
38.9%
ESGY.TO
39.6%

Communication Services

QUU.TO
10.8%
ESGY.TO
13.7%

Financial Services

QUU.TO
10.7%
ESGY.TO
10.0%

Consumer Cyclical

QUU.TO
9.9%
ESGY.TO
8.5%

Healthcare

QUU.TO
8.4%
ESGY.TO
9.7%

Industrials

QUU.TO
8.3%
ESGY.TO
7.7%

Consumer Defensive

QUU.TO
4.4%
ESGY.TO
4.0%

Energy

QUU.TO
3.2%
ESGY.TO
1.9%

Utilities

QUU.TO
2.1%
ESGY.TO
1.0%

Basic Materials

QUU.TO
1.8%
ESGY.TO
2.0%

Real Estate

QUU.TO
1.6%
ESGY.TO
2.1%

Compare stocks, funds, or ETFs

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

Mackenzie US Large Cap Equity Index ETF

BMO MSCI USA Selection Equity Index ETF

Often compared with QUU.TO:
QUU.TO vs. XEQT.TOQUU.TO vs. VOOQUU.TO vs. VUN.TOQUU.TO vs. VTIQUU.TO vs. XUS.TOQUU.TO vs. ZNQ.TOQUU.TO vs. ZEA.TO
Often compared with ESGY.TO:
ESGY.TO vs. ZLH.TOESGY.TO vs. FLUS.TOESGY.TO vs. ZAG.TOESGY.TO vs. ZEQL.TOESGY.TO vs. ZDV.TOESGY.TO vs. ZQQ.TOESGY.TO vs. ZSP.TO

Return for Risk

QUU.TO vs. ESGY.TO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
QUU.TO
QUU.TO Risk / Return Rank: 6767
Overall Rank
QUU.TO Sharpe Ratio Rank: 6969
Sharpe Ratio Rank
QUU.TO Sortino Ratio Rank: 6868
Sortino Ratio Rank
QUU.TO Omega Ratio Rank: 6868
Omega Ratio Rank
QUU.TO Calmar Ratio Rank: 6565
Calmar Ratio Rank
QUU.TO Martin Ratio Rank: 6767
Martin Ratio Rank
ESGY.TO
ESGY.TO Risk / Return Rank: 7777
Overall Rank
ESGY.TO Sharpe Ratio Rank: 8484
Sharpe Ratio Rank
ESGY.TO Sortino Ratio Rank: 8686
Sortino Ratio Rank
ESGY.TO Omega Ratio Rank: 8383
Omega Ratio Rank
ESGY.TO Calmar Ratio Rank: 6666
Calmar Ratio Rank
ESGY.TO Martin Ratio Rank: 6767
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.

QUU.TO vs. ESGY.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Mackenzie US Large Cap Equity Index ETF (QUU.TO) and BMO MSCI USA Selection Equity Index ETF (ESGY.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.

QUU.TOESGY.TODifference
Sharpe ratioReturn per unit of total volatility
1.77
2.05

-0.28

Sortino ratioReturn per unit of downside risk
2.46
2.99

-0.52

Omega ratioGain probability vs. loss probability

1.32

1.37

-0.06

Calmar ratioReturn relative to maximum drawdown

2.55

2.47

+0.09

Martin ratioReturn relative to average drawdown

9.30

8.92

+0.38

QUU.TO vs. ESGY.TO - Sharpe Ratio Comparison

The current QUU.TO Sharpe Ratio is 1.77, which is comparable to the ESGY.TO Sharpe Ratio of 2.05. The chart below compares the historical Sharpe Ratios of QUU.TO and ESGY.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

QUU.TO vs. ESGY.TO - Drawdown Comparison

The maximum QUU.TO drawdown since its inception was -26.86%, roughly equal to the maximum ESGY.TO drawdown of -26.36%. Use the drawdown chart below to compare losses from any high point for QUU.TO and ESGY.TO.

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Drawdown Indicators

QUU.TOESGY.TODifference

Max Drawdown

Largest peak-to-trough decline

-26.86%

-26.36%

-0.50%

Max Drawdown (1Y)

Largest decline over 1 year

-8.81%

-10.62%

+1.81%

Max Drawdown (3Y)

Largest decline over 3 years

-19.23%

-20.83%

+1.60%

Max Drawdown (5Y)

Largest decline over 5 years

-24.00%

-22.89%

-1.11%

Current Drawdown

Current decline from peak

-2.26%

-1.47%

-0.79%

Average Drawdown

Average peak-to-trough decline

-4.37%

-5.25%

+0.88%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.42%

2.93%

-0.51%

Volatility

QUU.TO vs. ESGY.TO - Volatility Comparison

Mackenzie US Large Cap Equity Index ETF (QUU.TO) has a higher volatility of 3.23% compared to BMO MSCI USA Selection Equity Index ETF (ESGY.TO) at 2.85%. This indicates that QUU.TO's price experiences larger fluctuations and is considered to be riskier than ESGY.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

QUU.TOESGY.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

3.23%

2.85%

+0.38%

Volatility (6M)

Calculated over the trailing 6-month period

10.16%

9.94%

+0.22%

Volatility (1Y)

Calculated over the trailing 1-year period

12.76%

12.80%

-0.04%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

15.42%

15.61%

-0.19%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

17.24%

16.82%

+0.42%

Dividends

QUU.TO vs. ESGY.TO - Dividend Comparison

QUU.TO's dividend yield for the trailing twelve months is around 0.89%, more than ESGY.TO's 0.62% yield.

PositionTTM20252024202320222021202020192018
ESGY.TO
BMO MSCI USA Selection Equity Index ETF		0.62%0.66%0.79%1.16%1.34%1.12%1.44%0.00%0.00%
QUU.TO
Mackenzie US Large Cap Equity Index ETF		0.89%0.97%1.00%1.21%1.59%0.98%1.34%1.59%1.55%

Frequently Asked Questions

QUU.TO and ESGY.TO have a correlation of 0.80, 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: Mackenzie and BMO.

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