ZAAA.NEO vs. ZBI.TO
ZAAA.NEO (BMO AAA CLO ETF) and ZBI.TO (BMO Canadian Bank Income Index ETF) are both exchange-traded funds - ZAAA.NEO is a CLO fund actively managed by BMO, while ZBI.TO is a Canadian Government Bonds fund tracking the Solactive Canadian Bank Income Index. ZAAA.NEO is actively managed, while ZBI.TO is passively managed. Over the past year, ZAAA.NEO returned 7.68% vs 4.48% for ZBI.TO. At a 0.01 correlation, their price movements are largely independent. ZAAA.NEO charges 0.23%/yr vs 0.28%/yr for ZBI.TO.
Performance
ZAAA.NEO vs. ZBI.TO - Performance Comparison
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Returns By Period
In the year-to-date period, ZAAA.NEO achieves a 4.84% return, which is significantly higher than ZBI.TO's 1.98% return.
ZAAA.NEO
- 1D
- -0.65%
- 1M
- 1.60%
- 6M
- 3.53%
- YTD
- 4.84%
- 1Y
- 7.68%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
ZBI.TO
- 1D
- 0.03%
- 1M
- 0.25%
- 6M
- 1.75%
- YTD
- 1.98%
- 1Y
- 4.48%
- 3Y*
- 8.06%
- 5Y*
- —
- 10Y*
- —
ZAAA.NEO vs. ZBI.TO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | |
|---|---|---|
ZAAA.NEO BMO AAA CLO ETF | 4.84% | 3.10% |
ZBI.TO BMO Canadian Bank Income Index ETF | 1.98% | 4.24% |
Correlation
The correlation between ZAAA.NEO and ZBI.TO is -0.05, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.05 |
Correlation (All Time) Calculated using the full available price history since May 5, 2025 | 0.01 |
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Return for Risk
ZAAA.NEO vs. ZBI.TO — Risk / Return Rank
ZAAA.NEO
ZBI.TO
ZAAA.NEO vs. ZBI.TO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for BMO AAA CLO ETF (ZAAA.NEO) and BMO Canadian Bank Income Index ETF (ZBI.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.
| ZAAA.NEO | ZBI.TO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.46 | ||
| Sortino ratioReturn per unit of downside risk | -0.59 | ||
| Omega ratioGain probability vs. loss probability | 1.34 | 1.47 | -0.13 |
| Calmar ratioReturn relative to maximum drawdown | 2.57 | 3.73 | -1.15 |
| Martin ratioReturn relative to average drawdown | 6.24 | 16.88 | -10.64 |
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Drawdowns
ZAAA.NEO vs. ZBI.TO - Drawdown Comparison
The maximum ZAAA.NEO drawdown since its inception was -3.01%, smaller than the maximum ZBI.TO drawdown of -8.31%. Use the drawdown chart below to compare losses from any high point for ZAAA.NEO and ZBI.TO.
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Drawdown Indicators
| ZAAA.NEO | ZBI.TO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -3.01% | -8.31% | +5.30% |
Max Drawdown (1Y)Largest decline over 1 year | -3.01% | -1.21% | -1.80% |
Max Drawdown (3Y)Largest decline over 3 years | — | -1.47% | — |
Current DrawdownCurrent decline from peak | -0.98% | -0.16% | -0.82% |
Average DrawdownAverage peak-to-trough decline | -1.00% | -2.25% | +1.25% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.24% | 0.27% | +0.97% |
Volatility
ZAAA.NEO vs. ZBI.TO - Volatility Comparison
BMO AAA CLO ETF (ZAAA.NEO) has a higher volatility of 1.52% compared to BMO Canadian Bank Income Index ETF (ZBI.TO) at 0.49%. This indicates that ZAAA.NEO's price experiences larger fluctuations and is considered to be riskier than ZBI.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ZAAA.NEO | ZBI.TO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.52% | 0.49% | +1.03% |
Volatility (6M)Calculated over the trailing 6-month period | 3.35% | 1.52% | +1.83% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.57% | 2.09% | +2.48% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 4.63% | 3.62% | +1.01% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 4.63% | 3.62% | +1.01% |
ZAAA.NEO vs. ZBI.TO - Expense Ratio Comparison
ZAAA.NEO has a 0.23% expense ratio, which is lower than ZBI.TO's 0.28% expense ratio.
Dividends
ZAAA.NEO vs. ZBI.TO - Dividend Comparison
ZAAA.NEO's dividend yield for the trailing twelve months is around 5.12%, more than ZBI.TO's 4.36% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 |
|---|---|---|---|---|---|
ZAAA.NEO BMO AAA CLO ETF | 5.12% | 3.16% | 0.00% | 0.00% | 0.00% |
ZBI.TO BMO Canadian Bank Income Index ETF | 4.36% | 4.02% | 3.36% | 3.58% | 2.66% |
Frequently Asked Questions
ZAAA.NEO and ZBI.TO have a correlation of -0.05, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
On fees, ZAAA.NEO is cheaper at 0.23% per year. The better choice depends on whether you care most about return, fees, risk, or income.
ZAAA.NEO is cheaper with a 0.23% expense ratio, compared with 0.28% for ZBI.TO.
ZAAA.NEO is categorized as CLO, while ZBI.TO is Canadian Government Bonds. Their fees differ too: 0.23% for ZAAA.NEO and 0.28% for ZBI.TO.
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