ZAG.TO vs. ^GSPC

Last updated Jun 4, 2026

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 1.66%/yr vs 14.52%/yr for ^GSPC. At a correlation of -0.05, they often move in opposite directions.

Performance

ZAG.TO vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in BMO Aggregate Bond Index ETF (ZAG.TO) and S&P 500 Index (^GSPC). The values are adjusted to include any dividend payments, if applicable.

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 1.70% return, which is significantly lower than ^GSPC's 12.12% return. Over the past 10 years, ZAG.TO has underperformed ^GSPC with an annualized return of 1.66%, while ^GSPC has yielded a comparatively higher 14.52% annualized return.

ZAG.TO

• 1D: 0.00%
• 1M: 1.75%
• YTD: 1.70%
• 6M: 0.89%
• 1Y: 3.25%
• 3Y*: 4.24%
• 5Y*: 0.76%
• 10Y*: 1.66%

^GSPC

• 1D: 0.00%
• 1M: 7.35%
• YTD: 12.12%
• 6M: 10.22%
• 1Y: 28.58%
• 3Y*: 22.37%
• 5Y*: 15.58%
• 10Y*: 14.52%

*Multi-year figures are annualized to reflect compound growth (CAGR)

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	1.70%	2.25%	4.48%	6.41%	-11.60%	-2.60%	8.34%	6.84%	1.12%	2.45%
^GSPC S&P 500 Index	11.75%	11.05%	33.90%	21.49%	-13.70%	25.75%	14.29%	22.54%	1.71%	11.82%

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	0.16
Correlation (5Y) Calculated over the trailing 5-year period	0.12
Correlation (10Y) Calculated over the trailing 10-year period	0.04
Correlation (All Time) Calculated using the full available price history since Jan 26, 2010	-0.05

The correlation between ZAG.TO and ^GSPC shifts across timeframes, from -0.05 (all time) to 0.25 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

ZAG.TO vs. ^GSPC — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ZAG.TO

ZAG.TO Risk / Return Rank: 21
ZAG.TO Sharpe Ratio Rank: 20
ZAG.TO Sortino Ratio Rank: 19
ZAG.TO Omega Ratio Rank: 20
ZAG.TO Calmar Ratio Rank: 24
ZAG.TO Martin Ratio Rank: 22

^GSPC

^GSPC Risk / Return Rank: 73
^GSPC Sharpe Ratio Rank: 71
^GSPC Sortino Ratio Rank: 71
^GSPC Omega Ratio Rank: 72
^GSPC Calmar Ratio Rank: 67
^GSPC Martin Ratio Rank: 81

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.

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.

	ZAG.TO	^GSPC	Difference
Sharpe ratio: Return per unit of total volatility	0.73	2.46	-1.72
Sortino ratio: Return per unit of downside risk	1.02	3.32	-2.29
Omega ratio: Gain probability vs. loss probability	1.13	1.47	-0.33
Calmar ratio: Return relative to maximum drawdown	1.17	3.24	-2.07
Martin ratio: Return relative to average drawdown	2.73	12.23	-9.50
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ZAG.TO vs. ^GSPC - Sharpe Ratio Comparison

The current ZAG.TO Sharpe Ratio is 0.73, which is lower than the ^GSPC Sharpe Ratio of 2.46. The chart below compares the historical Sharpe Ratios of ZAG.TO and ^GSPC, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	ZAG.TO	^GSPC	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.73	2.46	-1.72
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.12	1.05	-0.93
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.23	0.89	-0.66
Sharpe Ratio (All Time) Calculated using the full available price history	0.45	0.99	-0.53

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 -27.59%. Use the drawdown chart below to compare losses from any high point for ZAG.TO and ^GSPC.

Drawdown Indicators

	ZAG.TO	^GSPC	Difference
Max Drawdown Largest peak-to-trough decline	-18.03%	-27.59%	+9.56%
Max Drawdown (1Y) Largest decline over 1 year	-2.79%	-8.86%	+6.07%
Max Drawdown (3Y) Largest decline over 3 years	-5.42%	-19.23%	+13.81%
Max Drawdown (5Y) Largest decline over 5 years	-15.77%	-22.60%	+6.83%
Max Drawdown (10Y) Largest decline over 10 years	-18.03%	-27.59%	+9.56%
Current Drawdown Current decline from peak	-1.09%	0.00%	-1.09%
Average Drawdown Average peak-to-trough decline	-3.54%	-3.51%	-0.03%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.19%	2.34%	-1.15%

Volatility

ZAG.TO vs. ^GSPC - Volatility Comparison

The current volatility for BMO Aggregate Bond Index ETF (ZAG.TO) is 1.68%, while S&P 500 Index (^GSPC) has a volatility of 2.69%. 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.

Volatility by Period

	ZAG.TO	^GSPC	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.68%	2.69%	-1.01%
Volatility (6M) Calculated over the trailing 6-month period	3.43%	8.85%	-5.42%
Volatility (1Y) Calculated over the trailing 1-year period	4.46%	11.70%	-7.24%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	6.58%	14.99%	-8.41%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	7.11%	16.33%	-9.22%

Frequently Asked Questions

Can I hold both ZAG.TO and ^GSPC in my portfolio?

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.