ZAG.TO vs. ^GSPC
Compare and contrast key facts about BMO Aggregate Bond Index ETF (ZAG.TO) and S&P 500 (^GSPC).
ZAG.TO is a passively managed fund by BMO that tracks the performance of the FTSE Canada Universe Bond Index. It was launched on Jan 19, 2010.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ZAG.TO or ^GSPC.
Key characteristics
| ZAG.TO | ^GSPC | |
|---|---|---|
| YTD Return | 3.51% | 25.45% |
| 1Y Return | 9.84% | 35.64% |
| 3Y Return (Ann) | -0.10% | 8.55% |
| 5Y Return (Ann) | 0.46% | 14.13% |
| 10Y Return (Ann) | 1.99% | 11.39% |
| Sharpe Ratio | 1.65 | 2.90 |
| Sortino Ratio | 2.46 | 3.87 |
| Omega Ratio | 1.29 | 1.54 |
| Calmar Ratio | 0.70 | 4.19 |
| Martin Ratio | 5.70 | 18.72 |
| Ulcer Index | 1.76% | 1.90% |
| Daily Std Dev | 6.06% | 12.27% |
| Max Drawdown | -18.03% | -56.78% |
| Current Drawdown | -5.77% | -0.29% |
Correlation
The correlation between ZAG.TO and ^GSPC is 0.35, 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.
Performance
ZAG.TO vs. ^GSPC - Performance Comparison
In the year-to-date period, ZAG.TO achieves a 3.51% return, which is significantly lower than ^GSPC's 25.45% return. Over the past 10 years, ZAG.TO has underperformed ^GSPC with an annualized return of 1.99%, while ^GSPC has yielded a comparatively higher 11.39% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
ZAG.TO vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for BMO Aggregate Bond Index ETF (ZAG.TO) and S&P 500 (^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.
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 -56.78%. Use the drawdown chart below to compare losses from any high point for ZAG.TO and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
ZAG.TO vs. ^GSPC - Volatility Comparison
The current volatility for BMO Aggregate Bond Index ETF (ZAG.TO) is 2.40%, while S&P 500 (^GSPC) has a volatility of 3.86%. 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.