THU.TO vs. ESGY.TO
THU.TO (TD U.S. Equity CAD Hedged Index ETF) and ESGY.TO (BMO MSCI USA Selection Equity Index ETF) are both Large Cap Blend Equities funds. Over the past 5 years, THU.TO returned 10.95%/yr vs 15.28%/yr for ESGY.TO. A 0.62 correlation means they provide meaningful diversification when combined.
Performance
THU.TO vs. ESGY.TO - Performance Comparison
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Returns By Period
In the year-to-date period, THU.TO achieves a 8.52% return, which is significantly lower than ESGY.TO's 11.92% return.
THU.TO
- 1D
- -0.66%
- 1M
- 0.48%
- 6M
- 6.96%
- YTD
- 8.52%
- 1Y
- 17.33%
- 3Y*
- 17.74%
- 5Y*
- 10.95%
- 10Y*
- 13.34%
ESGY.TO
- 1D
- -0.25%
- 1M
- 0.99%
- 6M
- 8.99%
- YTD
- 11.92%
- 1Y
- 23.62%
- 3Y*
- 22.30%
- 5Y*
- 15.28%
- 10Y*
- —
THU.TO vs. ESGY.TO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
THU.TO TD U.S. Equity CAD Hedged Index ETF | 8.52% | 15.44% | 23.50% | 26.50% | -21.80% | 27.16% | 14.10% |
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 THU.TO and ESGY.TO is 0.75, 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 | 0.75 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.74 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.69 |
Correlation (All Time) Calculated using the full available price history since Jan 21, 2020 | 0.62 |
The correlation between THU.TO and ESGY.TO shifts across timeframes, from 0.62 (all time) to 0.75 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
THU.TO vs. ESGY.TO — Risk / Return Rank
THU.TO
ESGY.TO
THU.TO vs. ESGY.TO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for TD U.S. Equity CAD Hedged Index ETF (THU.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.
| THU.TO | ESGY.TO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.70 | ||
| Sortino ratioReturn per unit of downside risk | -1.06 | ||
| Omega ratioGain probability vs. loss probability | 1.24 | 1.37 | -0.13 |
| Calmar ratioReturn relative to maximum drawdown | 1.82 | 2.47 | -0.65 |
| Martin ratioReturn relative to average drawdown | 7.75 | 8.92 | -1.17 |
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Drawdowns
THU.TO vs. ESGY.TO - Drawdown Comparison
The maximum THU.TO drawdown since its inception was -34.64%, which is greater than ESGY.TO's maximum drawdown of -26.36%. Use the drawdown chart below to compare losses from any high point for THU.TO and ESGY.TO.
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Drawdown Indicators
| THU.TO | ESGY.TO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -34.64% | -26.36% | -8.28% |
Max Drawdown (1Y)Largest decline over 1 year | -9.59% | -10.62% | +1.03% |
Max Drawdown (3Y)Largest decline over 3 years | -19.16% | -20.83% | +1.67% |
Max Drawdown (5Y)Largest decline over 5 years | -26.37% | -22.89% | -3.48% |
Max Drawdown (10Y)Largest decline over 10 years | -34.64% | — | — |
Current DrawdownCurrent decline from peak | -2.13% | -1.47% | -0.66% |
Average DrawdownAverage peak-to-trough decline | -4.81% | -5.25% | +0.44% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.24% | 2.93% | -0.69% |
Volatility
THU.TO vs. ESGY.TO - Volatility Comparison
TD U.S. Equity CAD Hedged Index ETF (THU.TO) has a higher volatility of 3.24% compared to BMO MSCI USA Selection Equity Index ETF (ESGY.TO) at 2.85%. This indicates that THU.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
| THU.TO | ESGY.TO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.24% | 2.85% | +0.39% |
Volatility (6M)Calculated over the trailing 6-month period | 10.24% | 9.94% | +0.30% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.89% | 12.80% | +0.09% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.75% | 15.61% | +1.14% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.40% | 16.82% | +0.58% |
Dividends
THU.TO vs. ESGY.TO - Dividend Comparison
THU.TO's dividend yield for the trailing twelve months is around 0.98%, more than ESGY.TO's 0.62% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
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% | 0.00% | 0.00% |
THU.TO TD U.S. Equity CAD Hedged Index ETF | 0.98% | 1.05% | 1.25% | 1.20% | 1.42% | 1.00% | 1.28% | 1.21% | 1.66% | 1.54% | 1.37% |
Frequently Asked Questions
THU.TO and ESGY.TO have a correlation of 0.75, 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: TD and BMO.
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