ZAG.TO vs. ^GSPC
ZAG.TO (BMO Aggregate Bond Index ETF) is Canadian Government Bonds fund tracking the FTSE Canada Universe Bond Index, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, ZAG.TO returned 1.70%/yr vs 14.87%/yr for ^GSPC. At a correlation of -0.09, they often move in opposite directions.
Performance
ZAG.TO vs. ^GSPC - Performance Comparison
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Different Trading Currencies
ZAG.TO is traded in CAD, while ^GSPC is traded in USD. To make them comparable, the ^GSPC values have been converted to CAD using the latest available exchange rates.
Returns By Period
In the year-to-date period, ZAG.TO achieves a 2.21% return, which is significantly lower than ^GSPC's 11.53% return. Over the past 10 years, ZAG.TO has underperformed ^GSPC with an annualized return of 1.70%, while ^GSPC has yielded a comparatively higher 14.87% annualized return.
ZAG.TO
- 1D
- 0.51%
- 1M
- 1.00%
- YTD
- 2.21%
- 6M
- 2.06%
- 1Y
- 3.62%
- 3Y*
- 4.70%
- 5Y*
- 0.81%
- 10Y*
- 1.70%
^GSPC
- 1D
- 0.26%
- 1M
- 1.56%
- YTD
- 11.53%
- 6M
- 10.21%
- 1Y
- 25.01%
- 3Y*
- 22.30%
- 5Y*
- 14.66%
- 10Y*
- 14.87%
ZAG.TO vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ZAG.TO BMO Aggregate Bond Index ETF | 2.21% | 2.25% | 4.48% | 6.41% | -11.60% | -2.60% | 8.34% | 6.84% | 1.12% | 2.45% |
^GSPC S&P 500 Index | 11.53% | 11.07% | 33.75% | 21.28% | -14.34% | 26.83% | 13.50% | 23.57% | 1.65% | 11.33% |
Correlation
The correlation between ZAG.TO and ^GSPC is 0.25, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.25 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.15 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.10 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.02 |
Correlation (All Time) Calculated using the full available price history since Jan 25, 2010 | -0.09 |
The correlation between ZAG.TO and ^GSPC shifts across timeframes, from -0.09 (all time) to 0.25 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
ZAG.TO vs. ^GSPC — Risk / Return Rank
ZAG.TO
^GSPC
ZAG.TO vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for BMO Aggregate Bond Index ETF (ZAG.TO) and S&P 500 Index (^GSPC). 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.
| ZAG.TO | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.14 | ||
| Sortino ratioReturn per unit of downside risk | -1.57 | ||
| Omega ratioGain probability vs. loss probability | 1.15 | 1.34 | -0.19 |
| Calmar ratioReturn relative to maximum drawdown | 1.31 | 2.74 | -1.43 |
| Martin ratioReturn relative to average drawdown | 3.04 | 10.16 | -7.12 |
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Drawdowns
ZAG.TO vs. ^GSPC - Drawdown Comparison
The maximum ZAG.TO drawdown since its inception was -18.03%, smaller than the maximum ^GSPC drawdown of -48.87%. Use the drawdown chart below to compare losses from any high point for ZAG.TO and ^GSPC.
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Drawdown Indicators
| ZAG.TO | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -18.03% | -48.87% | +30.84% |
Max Drawdown (1Y)Largest decline over 1 year | -2.79% | -9.17% | +6.38% |
Max Drawdown (3Y)Largest decline over 3 years | -5.42% | -19.59% | +14.17% |
Max Drawdown (5Y)Largest decline over 5 years | -15.77% | -23.14% | +7.37% |
Max Drawdown (10Y)Largest decline over 10 years | -18.03% | -27.97% | +9.94% |
Current DrawdownCurrent decline from peak | -0.59% | -1.29% | +0.70% |
Average DrawdownAverage peak-to-trough decline | -3.53% | -9.65% | +6.12% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.19% | 2.47% | -1.28% |
Volatility
ZAG.TO vs. ^GSPC - Volatility Comparison
The current volatility for BMO Aggregate Bond Index ETF (ZAG.TO) is 1.08%, while S&P 500 Index (^GSPC) has a volatility of 5.19%. This indicates that ZAG.TO experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ZAG.TO | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.08% | 5.19% | -4.11% |
Volatility (6M)Calculated over the trailing 6-month period | 3.39% | 10.32% | -6.93% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.48% | 12.90% | -8.42% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.58% | 17.97% | -11.39% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.11% | 19.15% | -12.04% |
Frequently Asked Questions
ZAG.TO and ^GSPC have a correlation of 0.25, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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