ZEA.TO vs. ESGE.TO

Last updated Jul 18, 2026

ZEA.TO (BMO MSCI EAFE Index ETF) and ESGE.TO (BMO MSCI EAFE Selection Equity Index ETF) are both Foreign Large Cap Equities funds from BMO. Over the past 5 years, ZEA.TO returned 11.18%/yr vs 9.86%/yr for ESGE.TO. A 0.76 correlation means they provide meaningful diversification when combined.

Performance

ZEA.TO vs. ESGE.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in BMO MSCI EAFE Index ETF (ZEA.TO) and BMO MSCI EAFE Selection Equity Index ETF (ESGE.TO). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ZEA.TO achieves a 11.67% return, which is significantly lower than ESGE.TO's 12.92% return.

ZEA.TO

• 1D: -0.61%
• 1M: -1.06%
• 6M: 6.15%
• YTD: 11.67%
• 1Y: 22.76%
• 3Y*: 17.32%
• 5Y*: 11.18%
• 10Y*: 10.08%

ESGE.TO

• 1D: -0.36%
• 1M: -0.32%
• 6M: 7.81%
• YTD: 12.92%
• 1Y: 24.06%
• 3Y*: 15.54%
• 5Y*: 9.86%
• 10Y*: —

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

ZEA.TO vs. ESGE.TO - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
ZEA.TO BMO MSCI EAFE Index ETF	11.67%	24.92%	11.58%	16.04%	-8.50%	10.66%	3.60%
ESGE.TO BMO MSCI EAFE Selection Equity Index ETF	12.92%	19.50%	10.61%	15.06%	-11.25%	11.14%	4.41%

Correlation

The correlation between ZEA.TO and ESGE.TO is 0.84, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.84
Correlation (3Y) Calculated over the trailing 3-year period	0.81
Correlation (5Y) Calculated over the trailing 5-year period	0.79
Correlation (All Time) Calculated using the full available price history since Jan 21, 2020	0.76

The correlation between ZEA.TO and ESGE.TO has been stable across timeframes, ranging from 0.76 to 0.84 - a consistent structural relationship.

ZEA.TO vs. ESGE.TO - Sectors Allocation Comparison

Sectors	ZEA.TO	ESGE.TO
Financial Services	27.3%	23.0%
Industrials	18.2%	18.1%
Technology	13.2%	14.3%
Healthcare	10.2%	10.0%
Consumer Cyclical	7.0%	6.8%
Consumer Defensive	6.4%	6.2%
Basic Materials	5.8%	6.1%
Utilities	3.5%	4.3%
Communication Services	3.3%	6.2%
Energy	3.2%	3.1%
Real Estate	1.5%	1.9%

Return for Risk

ZEA.TO vs. ESGE.TO — Risk / Return Rank

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

ZEA.TO

ZEA.TO Risk / Return Rank: 57
ZEA.TO Sharpe Ratio Rank: 58
ZEA.TO Sortino Ratio Rank: 59
ZEA.TO Omega Ratio Rank: 59
ZEA.TO Calmar Ratio Rank: 52
ZEA.TO Martin Ratio Rank: 58

ESGE.TO

ESGE.TO Risk / Return Rank: 65
ESGE.TO Sharpe Ratio Rank: 68
ESGE.TO Sortino Ratio Rank: 68
ESGE.TO Omega Ratio Rank: 66
ESGE.TO Calmar Ratio Rank: 57
ESGE.TO Martin Ratio Rank: 63

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.

ZEA.TO vs. ESGE.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for BMO MSCI EAFE Index ETF (ZEA.TO) and BMO MSCI EAFE Selection Equity Index ETF (ESGE.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.

	ZEA.TO	ESGE.TO	Difference
Sharpe ratio: Return per unit of total volatility	1.56	1.65	-0.09
Sortino ratio: Return per unit of downside risk	2.24	2.35	-0.11
Omega ratio: Gain probability vs. loss probability	1.29	1.30	-0.01
Calmar ratio: Return relative to maximum drawdown	2.10	2.16	-0.07
Martin ratio: Return relative to average drawdown	8.00	8.28	-0.29

ZEA.TO vs. ESGE.TO - Sharpe Ratio Comparison

The current ZEA.TO Sharpe Ratio is 1.56, which is comparable to the ESGE.TO Sharpe Ratio of 1.65. The chart below compares the historical Sharpe Ratios of ZEA.TO and ESGE.TO, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

ZEA.TO vs. ESGE.TO - Drawdown Comparison

The maximum ZEA.TO drawdown since its inception was -27.80%, roughly equal to the maximum ESGE.TO drawdown of -27.77%. Use the drawdown chart below to compare losses from any high point for ZEA.TO and ESGE.TO.

Drawdown Indicators

	ZEA.TO	ESGE.TO	Difference
Max Drawdown Largest peak-to-trough decline	-27.80%	-27.77%	-0.03%
Max Drawdown (1Y) Largest decline over 1 year	-10.91%	-11.17%	+0.26%
Max Drawdown (3Y) Largest decline over 3 years	-14.11%	-14.68%	+0.57%
Max Drawdown (5Y) Largest decline over 5 years	-23.66%	-25.79%	+2.13%
Max Drawdown (10Y) Largest decline over 10 years	-27.80%	—	—
Current Drawdown Current decline from peak	-3.30%	-2.46%	-0.84%
Average Drawdown Average peak-to-trough decline	-4.59%	-5.27%	+0.68%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.85%	2.91%	-0.06%

Volatility

ZEA.TO vs. ESGE.TO - Volatility Comparison

BMO MSCI EAFE Index ETF (ZEA.TO) and BMO MSCI EAFE Selection Equity Index ETF (ESGE.TO) have volatilities of 3.60% and 3.74%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ZEA.TO	ESGE.TO	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.60%	3.74%	-0.14%
Volatility (6M) Calculated over the trailing 6-month period	12.56%	12.58%	-0.02%
Volatility (1Y) Calculated over the trailing 1-year period	14.63%	14.62%	+0.01%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	13.66%	13.85%	-0.19%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.71%	16.27%	-1.56%

Dividends

ZEA.TO vs. ESGE.TO - Dividend Comparison

ZEA.TO's dividend yield for the trailing twelve months is around 1.94%, more than ESGE.TO's 1.78% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ESGE.TO BMO MSCI EAFE Selection Equity Index ETF	1.78%	2.10%	2.60%	2.89%	2.95%	2.54%	2.75%	0.00%	0.00%	0.00%	0.00%	0.00%
ZEA.TO BMO MSCI EAFE Index ETF	1.94%	2.17%	2.78%	3.02%	3.08%	2.49%	2.74%	2.95%	3.05%	2.40%	2.80%	2.43%

Frequently Asked Questions

Can I hold both ZEA.TO and ESGE.TO in my portfolio?

ZEA.TO and ESGE.TO have a correlation of 0.84, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.