ZCN.TO vs. ZAAA.NEO
ZCN.TO (BMO S&P/TSX Capped Composite Index ETF) and ZAAA.NEO (BMO AAA CLO ETF) are both exchange-traded funds - ZCN.TO is a Canada Equities fund tracking the S&P/TSX Capped Composite Index, while ZAAA.NEO is a CLO fund actively managed by BMO. ZCN.TO is passively managed, while ZAAA.NEO is actively managed. Over the past year, ZCN.TO returned 32.92% vs 8.64% for ZAAA.NEO. At a correlation of -0.15, they often move in opposite directions. ZCN.TO charges 0.06%/yr vs 0.23%/yr for ZAAA.NEO.
Performance
ZCN.TO vs. ZAAA.NEO - Performance Comparison
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Returns By Period
In the year-to-date period, ZCN.TO achieves a 10.54% return, which is significantly higher than ZAAA.NEO's 5.64% return.
ZCN.TO
- 1D
- -0.64%
- 1M
- -0.13%
- YTD
- 10.54%
- 6M
- 9.63%
- 1Y
- 32.92%
- 3Y*
- 24.74%
- 5Y*
- 14.61%
- 10Y*
- 12.84%
ZAAA.NEO
- 1D
- 0.32%
- 1M
- 3.29%
- YTD
- 5.64%
- 6M
- 6.23%
- 1Y
- 8.64%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
ZCN.TO vs. ZAAA.NEO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | |
|---|---|---|
ZCN.TO BMO S&P/TSX Capped Composite Index ETF | 10.54% | 28.83% |
ZAAA.NEO BMO AAA CLO ETF | 5.64% | 3.10% |
Correlation
The correlation between ZCN.TO and ZAAA.NEO is -0.19, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.19 |
Correlation (All Time) Calculated using the full available price history since May 5, 2025 | -0.15 |
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Return for Risk
ZCN.TO vs. ZAAA.NEO — Risk / Return Rank
ZCN.TO
ZAAA.NEO
ZCN.TO vs. ZAAA.NEO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for BMO S&P/TSX Capped Composite Index ETF (ZCN.TO) and BMO AAA CLO ETF (ZAAA.NEO). 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.
| ZCN.TO | ZAAA.NEO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.66 | ||
| Sortino ratioReturn per unit of downside risk | +0.54 | ||
| Omega ratioGain probability vs. loss probability | 1.45 | 1.37 | +0.07 |
| Calmar ratioReturn relative to maximum drawdown | 3.55 | 2.89 | +0.66 |
| Martin ratioReturn relative to average drawdown | 16.26 | 7.00 | +9.26 |
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Drawdowns
ZCN.TO vs. ZAAA.NEO - Drawdown Comparison
The maximum ZCN.TO drawdown since its inception was -37.18%, which is greater than ZAAA.NEO's maximum drawdown of -3.01%. Use the drawdown chart below to compare losses from any high point for ZCN.TO and ZAAA.NEO.
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Drawdown Indicators
| ZCN.TO | ZAAA.NEO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -37.18% | -3.01% | -34.17% |
Max Drawdown (1Y)Largest decline over 1 year | -9.30% | -3.01% | -6.29% |
Max Drawdown (3Y)Largest decline over 3 years | -12.25% | — | — |
Max Drawdown (5Y)Largest decline over 5 years | -16.25% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -37.18% | — | — |
Current DrawdownCurrent decline from peak | -1.89% | 0.00% | -1.89% |
Average DrawdownAverage peak-to-trough decline | -4.72% | -1.03% | -3.69% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.03% | 1.24% | +0.79% |
Volatility
ZCN.TO vs. ZAAA.NEO - Volatility Comparison
BMO S&P/TSX Capped Composite Index ETF (ZCN.TO) has a higher volatility of 4.23% compared to BMO AAA CLO ETF (ZAAA.NEO) at 1.38%. This indicates that ZCN.TO's price experiences larger fluctuations and is considered to be riskier than ZAAA.NEO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ZCN.TO | ZAAA.NEO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.23% | 1.38% | +2.85% |
Volatility (6M)Calculated over the trailing 6-month period | 10.71% | 3.38% | +7.33% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.13% | 4.71% | +8.42% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.19% | 4.68% | +8.51% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.00% | 4.68% | +10.32% |
ZCN.TO vs. ZAAA.NEO - Expense Ratio Comparison
ZCN.TO has a 0.06% expense ratio, which is lower than ZAAA.NEO's 0.23% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
ZCN.TO vs. ZAAA.NEO - Dividend Comparison
ZCN.TO's dividend yield for the trailing twelve months is around 2.03%, less than ZAAA.NEO's 5.09% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ZAAA.NEO BMO AAA CLO ETF | 5.09% | 3.16% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
ZCN.TO BMO S&P/TSX Capped Composite Index ETF | 2.03% | 2.22% | 2.78% | 3.29% | 3.27% | 2.74% | 3.24% | 3.13% | 3.16% | 2.75% | 2.86% | 3.36% |
Frequently Asked Questions
ZCN.TO and ZAAA.NEO have a correlation of -0.19, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
On fees, ZCN.TO is cheaper at 0.06% per year. The better choice depends on whether you care most about return, fees, risk, or income.
ZCN.TO is cheaper with a 0.06% expense ratio, compared with 0.23% for ZAAA.NEO.
ZCN.TO is categorized as Canada Equities, while ZAAA.NEO is CLO. Their fees differ too: 0.06% for ZCN.TO and 0.23% for ZAAA.NEO.
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