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VMO.TO vs. ZGQ.TO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

VMO.TO vs. ZGQ.TO

Last updated Jun 4, 2026

VMO.TO (Vanguard Global Momentum Factor ETF CAD) and ZGQ.TO (BMO MSCI All Country World High Quality Index ETF) are both exchange-traded funds - VMO.TO is a Momentum fund actively managed by Vanguard, while ZGQ.TO is a Global Equities fund tracking the MSCI All Country World High Quality Index. VMO.TO is actively managed, while ZGQ.TO is passively managed. Over the past 5 years, VMO.TO returned 17.80%/yr vs 13.96%/yr for ZGQ.TO. A 0.65 correlation means they provide meaningful diversification when combined. VMO.TO charges 0.38%/yr vs 0.50%/yr for ZGQ.TO.

Performance

VMO.TO vs. ZGQ.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in Vanguard Global Momentum Factor ETF CAD (VMO.TO) and BMO MSCI All Country World High Quality Index ETF (ZGQ.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, VMO.TO achieves a 25.71% return, which is significantly higher than ZGQ.TO's 13.23% return.

VMO.TO

1D
0.55%
1M
7.68%
YTD
25.71%
6M
24.99%
1Y
48.00%
3Y*
31.06%
5Y*
17.80%
10Y*
—

ZGQ.TO

1D
-0.05%
1M
6.84%
YTD
13.23%
6M
8.19%
1Y
25.52%
3Y*
20.50%
5Y*
13.96%
10Y*
15.07%
*Multi-year figures are annualized to reflect compound growth (CAGR)

VMO.TO vs. ZGQ.TO - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
VMO.TO
Vanguard Global Momentum Factor ETF CAD		25.71%23.20%29.68%14.93%-9.09%15.67%21.39%19.55%-5.19%16.81%
ZGQ.TO
BMO MSCI All Country World High Quality Index ETF		13.23%8.04%29.47%29.38%-18.76%21.44%22.41%28.91%-0.12%19.54%

Correlation

The correlation between VMO.TO and ZGQ.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

0.75

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

0.71

Correlation (All Time)
Calculated using the full available price history since Jun 27, 2016

0.65

The correlation between VMO.TO and ZGQ.TO shifts across timeframes, from 0.65 (all time) to 0.75 (3 years), reflecting how their relationship changes across market environments.

VMO.TO vs. ZGQ.TO - Sectors Allocation Comparison

Sectors
VMO.TO
ZGQ.TO

Industrials

24.5%
11.2%

Healthcare

16.5%
13.4%

Technology

16.0%
38.4%

Financial Services

11.0%
7.5%

Basic Materials

9.5%
2.2%

Consumer Cyclical

7.4%
4.0%

Energy

6.6%
0.4%

Communication Services

4.1%
13.3%

Consumer Defensive

3.7%
9.3%

Real Estate

0.7%
0.3%

Utilities

0.1%
0.2%

Industrials

VMO.TO
24.5%
ZGQ.TO
11.2%

Healthcare

VMO.TO
16.5%
ZGQ.TO
13.4%

Technology

VMO.TO
16.0%
ZGQ.TO
38.4%

Financial Services

VMO.TO
11.0%
ZGQ.TO
7.5%

Basic Materials

VMO.TO
9.5%
ZGQ.TO
2.2%

Consumer Cyclical

VMO.TO
7.4%
ZGQ.TO
4.0%

Energy

VMO.TO
6.6%
ZGQ.TO
0.4%

Communication Services

VMO.TO
4.1%
ZGQ.TO
13.3%

Consumer Defensive

VMO.TO
3.7%
ZGQ.TO
9.3%

Real Estate

VMO.TO
0.7%
ZGQ.TO
0.3%

Utilities

VMO.TO
0.1%
ZGQ.TO
0.2%

Compare stocks, funds, or ETFs

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

Vanguard Global Momentum Factor ETF CAD

BMO MSCI All Country World High Quality Index ETF

Often compared with VMO.TO:
VMO.TO vs. SPMOVMO.TO vs. XEQT.TOVMO.TO vs. VFV.TOVMO.TO vs. XMTM.TOVMO.TO vs. IDMOVMO.TO vs. VTVMO.TO vs. TEC.TO
Often compared with ZGQ.TO:
ZGQ.TO vs. XEQT.TOZGQ.TO vs. XWD.TOZGQ.TO vs. ZUQ.TOZGQ.TO vs. VFV.TOZGQ.TO vs. XAW.TOZGQ.TO vs. ZNQ.TOZGQ.TO vs. VOO

Return for Risk

VMO.TO vs. ZGQ.TO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
VMO.TO
VMO.TO Risk / Return Rank: 7878
Overall Rank
VMO.TO Sharpe Ratio Rank: 7676
Sharpe Ratio Rank
VMO.TO Sortino Ratio Rank: 7171
Sortino Ratio Rank
VMO.TO Omega Ratio Rank: 7070
Omega Ratio Rank
VMO.TO Calmar Ratio Rank: 8585
Calmar Ratio Rank
VMO.TO Martin Ratio Rank: 8888
Martin Ratio Rank
ZGQ.TO
ZGQ.TO Risk / Return Rank: 5555
Overall Rank
ZGQ.TO Sharpe Ratio Rank: 5252
Sharpe Ratio Rank
ZGQ.TO Sortino Ratio Rank: 5252
Sortino Ratio Rank
ZGQ.TO Omega Ratio Rank: 5555
Omega Ratio Rank
ZGQ.TO Calmar Ratio Rank: 5555
Calmar Ratio Rank
ZGQ.TO Martin Ratio Rank: 6262
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.

VMO.TO vs. ZGQ.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Global Momentum Factor ETF CAD (VMO.TO) and BMO MSCI All Country World High Quality Index ETF (ZGQ.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.

VMO.TOZGQ.TODifference
Sharpe ratioReturn per unit of total volatility
2.51
1.83

+0.68

Sortino ratioReturn per unit of downside risk
3.28
2.57

+0.71

Omega ratioGain probability vs. loss probability

1.43

1.34

+0.08

Calmar ratioReturn relative to maximum drawdown

4.79

2.78

+2.01

Martin ratioReturn relative to average drawdown

19.35

11.30

+8.06

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

VMO.TO vs. ZGQ.TO - Sharpe Ratio Comparison

The current VMO.TO Sharpe Ratio is 2.51, which is higher than the ZGQ.TO Sharpe Ratio of 1.83. The chart below compares the historical Sharpe Ratios of VMO.TO and ZGQ.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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Sharpe Ratios by Period

VMO.TOZGQ.TODifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

2.51

1.83

+0.68

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

1.01

0.89

+0.13

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

—

0.94

—

Sharpe Ratio (All Time)

Calculated using the full available price history

0.89

0.93

-0.04

Drawdowns

VMO.TO vs. ZGQ.TO - Drawdown Comparison

The maximum VMO.TO drawdown since its inception was -30.53%, which is greater than ZGQ.TO's maximum drawdown of -26.68%. Use the drawdown chart below to compare losses from any high point for VMO.TO and ZGQ.TO.

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Drawdown Indicators

VMO.TOZGQ.TODifference

Max Drawdown

Largest peak-to-trough decline

-30.53%

-26.68%

-3.85%

Max Drawdown (1Y)

Largest decline over 1 year

-10.07%

-9.22%

-0.85%

Max Drawdown (3Y)

Largest decline over 3 years

-19.72%

-18.36%

-1.36%

Max Drawdown (5Y)

Largest decline over 5 years

-23.27%

-26.68%

+3.41%

Max Drawdown (10Y)

Largest decline over 10 years

—

-26.68%

—

Current Drawdown

Current decline from peak

0.00%

-1.17%

+1.17%

Average Drawdown

Average peak-to-trough decline

-5.21%

-4.49%

-0.72%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.49%

2.27%

+0.22%

Volatility

VMO.TO vs. ZGQ.TO - Volatility Comparison

Vanguard Global Momentum Factor ETF CAD (VMO.TO) has a higher volatility of 6.22% compared to BMO MSCI All Country World High Quality Index ETF (ZGQ.TO) at 4.57%. This indicates that VMO.TO's price experiences larger fluctuations and is considered to be riskier than ZGQ.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

VMO.TOZGQ.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

6.22%

4.57%

+1.65%

Volatility (6M)

Calculated over the trailing 6-month period

15.58%

11.49%

+4.09%

Volatility (1Y)

Calculated over the trailing 1-year period

19.21%

14.04%

+5.17%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

17.66%

15.83%

+1.83%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

17.91%

16.15%

+1.76%

VMO.TO vs. ZGQ.TO - Expense Ratio Comparison

VMO.TO has a 0.38% expense ratio, which is lower than ZGQ.TO's 0.50% expense ratio.

Dividends

VMO.TO vs. ZGQ.TO - Dividend Comparison

VMO.TO's dividend yield for the trailing twelve months is around 0.68%, more than ZGQ.TO's 0.49% yield.

PositionTTM20252024202320222021202020192018201720162015
VMO.TO
Vanguard Global Momentum Factor ETF CAD		0.68%0.85%0.90%1.03%1.65%1.09%0.70%1.70%0.80%1.15%0.51%0.00%
ZGQ.TO
BMO MSCI All Country World High Quality Index ETF		0.49%0.60%0.90%1.33%1.34%0.86%0.99%1.10%1.51%1.09%1.35%1.03%

Frequently Asked Questions

VMO.TO and ZGQ.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.

On fees, VMO.TO is cheaper at 0.38% per year. The better choice depends on whether you care most about return, fees, risk, or income.

VMO.TO is cheaper with a 0.38% expense ratio, compared with 0.50% for ZGQ.TO.

VMO.TO is categorized as Momentum, while ZGQ.TO is Global Equities. They also come from different issuers: Vanguard and BMO. Their fees differ too: 0.38% for VMO.TO and 0.50% for ZGQ.TO.

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