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ZEA.TO vs. VYMI
Performance
Return for Risk
Drawdowns
Volatility
Dividends

ZEA.TO vs. VYMI

Last updated Jun 25, 2026

ZEA.TO (BMO MSCI EAFE Index ETF) and VYMI (Vanguard International High Dividend Yield ETF) are both exchange-traded funds - ZEA.TO is a Foreign Large Cap Equities fund tracking the MSCI EAFE Index, while VYMI is a Dividend fund tracking the FTSE All-World ex US High Dividend Yield Index. Both are passively managed. Over the past 10 years, ZEA.TO returned 10.70%/yr vs 12.29%/yr for VYMI. A 0.66 correlation means they provide meaningful diversification when combined. ZEA.TO charges 0.22%/yr vs 0.07%/yr for VYMI.

Performance

ZEA.TO vs. VYMI - Performance Comparison

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

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Different Trading Currencies

ZEA.TO is traded in CAD, while VYMI is traded in USD. To make them comparable, the VYMI values have been converted to CAD using the latest available exchange rates.

Returns By Period

In the year-to-date period, ZEA.TO achieves a 12.12% return, which is significantly lower than VYMI's 14.87% return. Over the past 10 years, ZEA.TO has underperformed VYMI with an annualized return of 10.70%, while VYMI has yielded a comparatively higher 12.29% annualized return.

ZEA.TO

1D
-0.19%
1M
-0.25%
YTD
12.12%
6M
12.00%
1Y
24.12%
3Y*
19.22%
5Y*
11.38%
10Y*
10.70%

VYMI

1D
-0.24%
1M
2.25%
YTD
14.87%
6M
14.67%
1Y
32.47%
3Y*
24.80%
5Y*
15.45%
10Y*
12.29%
*Multi-year figures are annualized to reflect compound growth (CAGR)

ZEA.TO vs. VYMI - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
ZEA.TO
BMO MSCI EAFE Index ETF		12.12%24.92%11.58%16.04%-8.50%10.66%5.15%16.72%-6.23%16.78%
VYMI
Vanguard International High Dividend Yield ETF		14.87%31.75%16.12%14.29%-1.13%15.34%-3.45%13.55%-5.30%14.08%

Correlation

The correlation between ZEA.TO and VYMI is 0.75, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.75

Correlation (3Y)
Calculated over the trailing 3-year period

0.71

Correlation (5Y)
Calculated over the trailing 5-year period

0.69

Correlation (10Y)
Calculated over the trailing 10-year period

0.66

Correlation (All Time)
Calculated using the full available price history since Mar 2, 2016

0.66

The correlation between ZEA.TO and VYMI has been stable across timeframes, ranging from 0.66 to 0.75 - a consistent structural relationship.

ZEA.TO vs. VYMI - Sectors Allocation Comparison

Sectors
ZEA.TO
VYMI

Financial Services

24.6%
40.7%

Industrials

19.5%
6.2%

Technology

10.8%
5.2%

Healthcare

10.4%
6.5%

Consumer Cyclical

7.6%
6.4%

Consumer Defensive

6.8%
6.7%

Basic Materials

5.9%
6.9%

Communication Services

4.8%
3.7%

Energy

4.0%
8.6%

Utilities

3.7%
5.0%

Real Estate

1.8%
1.3%

Financial Services

ZEA.TO
24.6%
VYMI
40.7%

Industrials

ZEA.TO
19.5%
VYMI
6.2%

Technology

ZEA.TO
10.8%
VYMI
5.2%

Healthcare

ZEA.TO
10.4%
VYMI
6.5%

Consumer Cyclical

ZEA.TO
7.6%
VYMI
6.4%

Consumer Defensive

ZEA.TO
6.8%
VYMI
6.7%

Basic Materials

ZEA.TO
5.9%
VYMI
6.9%

Communication Services

ZEA.TO
4.8%
VYMI
3.7%

Energy

ZEA.TO
4.0%
VYMI
8.6%

Utilities

ZEA.TO
3.7%
VYMI
5.0%

Real Estate

ZEA.TO
1.8%
VYMI
1.3%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

BMO MSCI EAFE Index ETF

Vanguard International High Dividend Yield ETF

Often compared with ZEA.TO:
ZEA.TO vs. XEF.TOZEA.TO vs. XEQT.TOZEA.TO vs. VXC.TOZEA.TO vs. XAW.TOZEA.TO vs. IEFAZEA.TO vs. VDU.TOZEA.TO vs. ZSP.TO
Often compared with VYMI:
VYMI vs. VYMVYMI vs. SCHYVYMI vs. SCHDVYMI vs. VIGIVYMI vs. VOOVYMI vs. IDEVVYMI vs. VT

Return for Risk

ZEA.TO vs. VYMI — 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: 5454
Overall Rank
ZEA.TO Sharpe Ratio Rank: 5555
Sharpe Ratio Rank
ZEA.TO Sortino Ratio Rank: 5656
Sortino Ratio Rank
ZEA.TO Omega Ratio Rank: 5656
Omega Ratio Rank
ZEA.TO Calmar Ratio Rank: 5050
Calmar Ratio Rank
ZEA.TO Martin Ratio Rank: 5454
Martin Ratio Rank
VYMI
VYMI Risk / Return Rank: 6969
Overall Rank
VYMI Sharpe Ratio Rank: 7474
Sharpe Ratio Rank
VYMI Sortino Ratio Rank: 7272
Sortino Ratio Rank
VYMI Omega Ratio Rank: 7373
Omega Ratio Rank
VYMI Calmar Ratio Rank: 6262
Calmar Ratio Rank
VYMI Martin Ratio Rank: 6666
Martin Ratio Rank
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. VYMI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for BMO MSCI EAFE Index ETF (ZEA.TO) and Vanguard International High Dividend Yield ETF (VYMI). 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.TOVYMIDifference
Sharpe ratioReturn per unit of total volatility
1.67
2.38

-0.70

Sortino ratioReturn per unit of downside risk
2.40
3.27

-0.87

Omega ratioGain probability vs. loss probability

1.31

1.42

-0.10

Calmar ratioReturn relative to maximum drawdown

2.22

3.29

-1.07

Martin ratioReturn relative to average drawdown

8.56

13.03

-4.48

ZEA.TO vs. VYMI - Sharpe Ratio Comparison

The current ZEA.TO Sharpe Ratio is 1.67, which is comparable to the VYMI Sharpe Ratio of 2.38. The chart below compares the historical Sharpe Ratios of ZEA.TO and VYMI, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

ZEA.TO vs. VYMI - Drawdown Comparison

The maximum ZEA.TO drawdown since its inception was -27.80%, smaller than the maximum VYMI drawdown of -31.42%. Use the drawdown chart below to compare losses from any high point for ZEA.TO and VYMI.

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Drawdown Indicators

ZEA.TOVYMIDifference

Max Drawdown

Largest peak-to-trough decline

-27.80%

-31.42%

+3.62%

Max Drawdown (1Y)

Largest decline over 1 year

-10.91%

-9.91%

-1.00%

Max Drawdown (3Y)

Largest decline over 3 years

-14.11%

-13.29%

-0.82%

Max Drawdown (5Y)

Largest decline over 5 years

-23.66%

-18.21%

-5.45%

Max Drawdown (10Y)

Largest decline over 10 years

-27.80%

-31.42%

+3.62%

Current Drawdown

Current decline from peak

-2.09%

-1.58%

-0.51%

Average Drawdown

Average peak-to-trough decline

-4.61%

-4.16%

-0.45%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.83%

2.50%

+0.33%

Volatility

ZEA.TO vs. VYMI - Volatility Comparison

BMO MSCI EAFE Index ETF (ZEA.TO) has a higher volatility of 4.91% compared to Vanguard International High Dividend Yield ETF (VYMI) at 4.45%. This indicates that ZEA.TO's price experiences larger fluctuations and is considered to be riskier than VYMI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

ZEA.TOVYMIDifference

Volatility (1M)

Calculated over the trailing 1-month period

4.91%

4.45%

+0.46%

Volatility (6M)

Calculated over the trailing 6-month period

12.41%

11.63%

+0.78%

Volatility (1Y)

Calculated over the trailing 1-year period

14.51%

13.77%

+0.74%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

13.63%

16.04%

-2.41%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

14.79%

17.73%

-2.94%

ZEA.TO vs. VYMI - Expense Ratio Comparison

ZEA.TO has a 0.22% expense ratio, which is higher than VYMI's 0.07% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

ZEA.TO vs. VYMI - Dividend Comparison

ZEA.TO's dividend yield for the trailing twelve months is around 1.90%, less than VYMI's 3.69% yield.

PositionTTM20252024202320222021202020192018201720162015
VYMI
Vanguard International High Dividend Yield ETF		3.69%3.68%4.84%4.58%4.70%4.30%3.22%4.20%4.29%3.21%2.39%0.00%
ZEA.TO
BMO MSCI EAFE Index ETF		1.90%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

ZEA.TO and VYMI have a correlation of 0.75, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

On fees, VYMI is cheaper at 0.07% per year. The better choice depends on whether you care most about return, fees, risk, or income.

VYMI is cheaper with a 0.07% expense ratio, compared with 0.22% for ZEA.TO.

ZEA.TO is categorized as Foreign Large Cap Equities, while VYMI is Dividend. ZEA.TO tracks MSCI EAFE Index, while VYMI tracks FTSE All-World ex US High Dividend Yield Index. They also come from different issuers: BMO and Vanguard. Their fees differ too: 0.22% for ZEA.TO and 0.07% for VYMI.

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