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XEF-U.TO vs. ZAG.TO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

XEF-U.TO vs. ZAG.TO

Last updated Jun 4, 2026

XEF-U.TO (iShares Core MSCI EAFE IMI Index ETF) and ZAG.TO (BMO Aggregate Bond Index ETF) are both exchange-traded funds - XEF-U.TO is a Global Equities fund tracking the MSCI EAFE® Investable Market Index, while ZAG.TO is a Canadian Government Bonds fund tracking the FTSE Canada Universe Bond Index. Both are passively managed. Over the past 5 years, XEF-U.TO returned 7.17%/yr vs -2.03%/yr for ZAG.TO. At a 0.29 correlation, their price movements are largely independent. XEF-U.TO charges 0.21%/yr vs 0.09%/yr for ZAG.TO.

Performance

XEF-U.TO vs. ZAG.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Core MSCI EAFE IMI Index ETF (XEF-U.TO) and BMO Aggregate Bond Index ETF (ZAG.TO). The values are adjusted to include any dividend payments, if applicable.

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Different Trading Currencies

XEF-U.TO is traded in USD, while ZAG.TO is traded in CAD. To make them comparable, the ZAG.TO values have been converted to USD using the latest available exchange rates.

Returns By Period

In the year-to-date period, XEF-U.TO achieves a 8.45% return, which is significantly higher than ZAG.TO's 0.44% return.

XEF-U.TO

1D
-0.76%
1M
3.58%
YTD
8.45%
6M
10.90%
1Y
20.77%
3Y*
15.95%
5Y*
7.17%
10Y*
—

ZAG.TO

1D
-0.40%
1M
-0.28%
YTD
0.44%
6M
1.29%
1Y
1.93%
3Y*
3.05%
5Y*
-2.03%
10Y*
0.94%
*Multi-year figures are annualized to reflect compound growth (CAGR)

XEF-U.TO vs. ZAG.TO - Yearly Performance Comparison

2026 (YTD)2025202420232022202120202019
XEF-U.TO
iShares Core MSCI EAFE IMI Index ETF		8.45%31.24%2.23%15.90%-15.58%10.81%10.61%1.79%
ZAG.TO
BMO Aggregate Bond Index ETF		0.44%7.15%-3.77%8.83%-17.51%-1.88%10.51%1.51%

Correlation

The correlation between XEF-U.TO and ZAG.TO is 0.54, 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

0.54

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

0.36

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

0.31

Correlation (All Time)
Calculated using the full available price history since Oct 30, 2019

0.29

Over the past year, XEF-U.TO and ZAG.TO have become more correlated (0.54) than their long-term average of 0.29, meaning their price movements have been converging.

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iShares Core MSCI EAFE IMI Index ETF

BMO Aggregate Bond Index ETF

Often compared with XEF-U.TO:
XEF-U.TO vs. XEF.TOXEF-U.TO vs. VEAXEF-U.TO vs. VXUSXEF-U.TO vs. IEFAXEF-U.TO vs. ZSP.TOXEF-U.TO vs. VTIXEF-U.TO vs. IEMG
Often compared with ZAG.TO:
ZAG.TO vs. VAB.TOZAG.TO vs. XBB.TOZAG.TO vs. XSB.TOZAG.TO vs. ZMMK.TOZAG.TO vs. ZST.TOZAG.TO vs. XBBZAG.TO vs. XCB.TO

Return for Risk

XEF-U.TO vs. ZAG.TO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
XEF-U.TO
XEF-U.TO Risk / Return Rank: 3838
Overall Rank
XEF-U.TO Sharpe Ratio Rank: 3838
Sharpe Ratio Rank
XEF-U.TO Sortino Ratio Rank: 3737
Sortino Ratio Rank
XEF-U.TO Omega Ratio Rank: 3838
Omega Ratio Rank
XEF-U.TO Calmar Ratio Rank: 3636
Calmar Ratio Rank
XEF-U.TO Martin Ratio Rank: 4242
Martin Ratio Rank
ZAG.TO
ZAG.TO Risk / Return Rank: 2121
Overall Rank
ZAG.TO Sharpe Ratio Rank: 2020
Sharpe Ratio Rank
ZAG.TO Sortino Ratio Rank: 1919
Sortino Ratio Rank
ZAG.TO Omega Ratio Rank: 2020
Omega Ratio Rank
ZAG.TO Calmar Ratio Rank: 2424
Calmar Ratio Rank
ZAG.TO Martin Ratio Rank: 2222
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.

XEF-U.TO vs. ZAG.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Core MSCI EAFE IMI Index ETF (XEF-U.TO) and BMO Aggregate Bond Index ETF (ZAG.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.

XEF-U.TOZAG.TODifference
Sharpe ratioReturn per unit of total volatility
1.38
0.30

+1.08

Sortino ratioReturn per unit of downside risk
1.96
0.48

+1.48

Omega ratioGain probability vs. loss probability

1.26

1.05

+0.20

Calmar ratioReturn relative to maximum drawdown

1.80

0.45

+1.36

Martin ratioReturn relative to average drawdown

6.90

1.11

+5.79

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

XEF-U.TO vs. ZAG.TO - Sharpe Ratio Comparison

The current XEF-U.TO Sharpe Ratio is 1.38, which is higher than the ZAG.TO Sharpe Ratio of 0.30. The chart below compares the historical Sharpe Ratios of XEF-U.TO and ZAG.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

XEF-U.TOZAG.TODifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

1.38

0.30

+1.08

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.53

-0.22

+0.74

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

—

0.09

—

Sharpe Ratio (All Time)

Calculated using the full available price history

0.68

0.12

+0.56

Drawdowns

XEF-U.TO vs. ZAG.TO - Drawdown Comparison

The maximum XEF-U.TO drawdown since its inception was -33.72%, which is greater than ZAG.TO's maximum drawdown of -25.30%. Use the drawdown chart below to compare losses from any high point for XEF-U.TO and ZAG.TO.

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Drawdown Indicators

XEF-U.TOZAG.TODifference

Max Drawdown

Largest peak-to-trough decline

-33.72%

-25.30%

-8.42%

Max Drawdown (1Y)

Largest decline over 1 year

-11.67%

-4.35%

-7.32%

Max Drawdown (3Y)

Largest decline over 3 years

-13.48%

-8.85%

-4.63%

Max Drawdown (5Y)

Largest decline over 5 years

-31.18%

-24.72%

-6.46%

Max Drawdown (10Y)

Largest decline over 10 years

—

-24.74%

—

Current Drawdown

Current decline from peak

-1.58%

-10.03%

+8.45%

Average Drawdown

Average peak-to-trough decline

-5.61%

-9.78%

+4.17%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.03%

1.74%

+1.29%

Volatility

XEF-U.TO vs. ZAG.TO - Volatility Comparison

iShares Core MSCI EAFE IMI Index ETF (XEF-U.TO) has a higher volatility of 5.01% compared to BMO Aggregate Bond Index ETF (ZAG.TO) at 2.04%. This indicates that XEF-U.TO's price experiences larger fluctuations and is considered to be riskier than ZAG.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

XEF-U.TOZAG.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

5.01%

2.04%

+2.97%

Volatility (6M)

Calculated over the trailing 6-month period

12.61%

4.67%

+7.94%

Volatility (1Y)

Calculated over the trailing 1-year period

15.24%

6.38%

+8.86%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

21.28%

9.40%

+11.88%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

24.41%

9.99%

+14.42%

XEF-U.TO vs. ZAG.TO - Expense Ratio Comparison

XEF-U.TO has a 0.21% expense ratio, which is higher than ZAG.TO's 0.09% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

XEF-U.TO vs. ZAG.TO - Dividend Comparison

XEF-U.TO's dividend yield for the trailing twelve months is around 1.63%, less than ZAG.TO's 3.42% yield.

PositionTTM20252024202320222021202020192018201720162015
XEF-U.TO
iShares Core MSCI EAFE IMI Index ETF		1.63%1.77%2.05%2.09%2.27%1.94%1.41%0.77%0.00%0.00%0.00%0.00%
ZAG.TO
BMO Aggregate Bond Index ETF		3.42%3.48%3.44%3.47%3.56%3.04%2.88%3.03%2.92%2.95%3.07%3.13%

Frequently Asked Questions

XEF-U.TO and ZAG.TO have a correlation of 0.54, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

On fees, ZAG.TO is cheaper at 0.09% per year. The better choice depends on whether you care most about return, fees, risk, or income.

ZAG.TO is cheaper with a 0.09% expense ratio, compared with 0.21% for XEF-U.TO.

XEF-U.TO is categorized as Global Equities, while ZAG.TO is Canadian Government Bonds. XEF-U.TO tracks MSCI EAFE® Investable Market Index, while ZAG.TO tracks FTSE Canada Universe Bond Index. They also come from different issuers: iShares and BMO. Their fees differ too: 0.21% for XEF-U.TO and 0.09% for ZAG.TO.

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