XMTM.TO vs. ZLU.TO
Compare and contrast key facts about iShares MSCI USA Momentum Factor Index ETF (XMTM.TO) and BMO Low Volatility US Equity ETF (CAD) (ZLU.TO).
XMTM.TO and ZLU.TO are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. XMTM.TO is a passively managed fund by iShares that tracks the performance of the MSCI USA Momentum SR Variant Index. It was launched on Sep 4, 2019. ZLU.TO is an actively managed fund by BMO. It was launched on Mar 19, 2013.
Performance
XMTM.TO vs. ZLU.TO - Performance Comparison
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XMTM.TO vs. ZLU.TO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
XMTM.TO iShares MSCI USA Momentum Factor Index ETF | -1.05% | 14.02% | 43.59% | 6.48% | -14.53% | 15.01% | 25.77% | 3.42% |
ZLU.TO BMO Low Volatility US Equity ETF (CAD) | 7.40% | 1.95% | 21.52% | -3.36% | 7.85% | 20.62% | 1.98% | 1.10% |
Returns By Period
In the year-to-date period, XMTM.TO achieves a -1.05% return, which is significantly lower than ZLU.TO's 7.40% return.
XMTM.TO
- 1D
- 3.68%
- 1M
- -1.68%
- YTD
- -1.05%
- 6M
- -6.34%
- 1Y
- 15.66%
- 3Y*
- 21.86%
- 5Y*
- 11.32%
- 10Y*
- —
ZLU.TO
- 1D
- 0.31%
- 1M
- -3.83%
- YTD
- 7.40%
- 6M
- 0.42%
- 1Y
- 2.06%
- 3Y*
- 9.25%
- 5Y*
- 10.08%
- 10Y*
- 9.22%
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XMTM.TO vs. ZLU.TO - Expense Ratio Comparison
XMTM.TO has a 0.31% expense ratio, which is lower than ZLU.TO's 0.33% expense ratio.
Return for Risk
XMTM.TO vs. ZLU.TO — Risk / Return Rank
XMTM.TO
ZLU.TO
XMTM.TO vs. ZLU.TO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA Momentum Factor Index ETF (XMTM.TO) and BMO Low Volatility US Equity ETF (CAD) (ZLU.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.
| XMTM.TO | ZLU.TO | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.69 | 0.16 | +0.53 |
Sortino ratioReturn per unit of downside risk | 1.10 | 0.29 | +0.81 |
Omega ratioGain probability vs. loss probability | 1.15 | 1.04 | +0.11 |
Calmar ratioReturn relative to maximum drawdown | 1.25 | 0.13 | +1.11 |
Martin ratioReturn relative to average drawdown | 3.49 | 0.26 | +3.24 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| XMTM.TO | ZLU.TO | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.69 | 0.16 | +0.53 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.61 | 0.89 | -0.28 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.67 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.65 | 0.97 | -0.32 |
Correlation
The correlation between XMTM.TO and ZLU.TO is 0.15, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Dividends
XMTM.TO vs. ZLU.TO - Dividend Comparison
XMTM.TO's dividend yield for the trailing twelve months is around 0.62%, less than ZLU.TO's 1.76% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
XMTM.TO iShares MSCI USA Momentum Factor Index ETF | 0.62% | 0.70% | 0.62% | 0.84% | 1.66% | 0.33% | 0.64% | 1.24% | 0.00% | 0.00% | 0.00% | 0.00% |
ZLU.TO BMO Low Volatility US Equity ETF (CAD) | 1.76% | 1.89% | 1.89% | 2.29% | 1.87% | 1.69% | 1.75% | 1.51% | 1.81% | 1.91% | 2.26% | 1.73% |
Drawdowns
XMTM.TO vs. ZLU.TO - Drawdown Comparison
The maximum XMTM.TO drawdown since its inception was -29.01%, which is greater than ZLU.TO's maximum drawdown of -25.49%. Use the drawdown chart below to compare losses from any high point for XMTM.TO and ZLU.TO.
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Drawdown Indicators
| XMTM.TO | ZLU.TO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -29.01% | -25.49% | -3.52% |
Max Drawdown (1Y)Largest decline over 1 year | -12.39% | -8.43% | -3.96% |
Max Drawdown (5Y)Largest decline over 5 years | -29.01% | -10.40% | -18.61% |
Max Drawdown (10Y)Largest decline over 10 years | — | -25.49% | — |
Current DrawdownCurrent decline from peak | -7.42% | -3.83% | -3.59% |
Average DrawdownAverage peak-to-trough decline | -8.14% | -3.10% | -5.04% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.42% | 4.32% | +0.10% |
Volatility
XMTM.TO vs. ZLU.TO - Volatility Comparison
iShares MSCI USA Momentum Factor Index ETF (XMTM.TO) has a higher volatility of 7.19% compared to BMO Low Volatility US Equity ETF (CAD) (ZLU.TO) at 3.36%. This indicates that XMTM.TO's price experiences larger fluctuations and is considered to be riskier than ZLU.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| XMTM.TO | ZLU.TO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.19% | 3.36% | +3.83% |
Volatility (6M)Calculated over the trailing 6-month period | 13.57% | 8.13% | +5.44% |
Volatility (1Y)Calculated over the trailing 1-year period | 22.81% | 12.64% | +10.17% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.61% | 11.37% | +7.24% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.90% | 13.92% | +5.98% |