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

ZEA.TO vs. XEM.TO

Last updated Jun 5, 2026

ZEA.TO (BMO MSCI EAFE Index ETF) and XEM.TO (iShares MSCI Emerging Markets Index ETF) are both exchange-traded funds - ZEA.TO is a Global Equities fund tracking the MSCI EAFE Index, while XEM.TO is a Emerging Markets Equities fund tracking the Morningstar EM GR CAD. Both are passively managed. Over the past 10 years, ZEA.TO returned 9.90%/yr vs 10.14%/yr for XEM.TO. A 0.58 correlation means they provide meaningful diversification when combined. ZEA.TO charges 0.22%/yr vs 0.81%/yr for XEM.TO.

Performance

ZEA.TO vs. XEM.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 iShares MSCI Emerging Markets Index ETF (XEM.TO). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, ZEA.TO achieves a 10.79% return, which is significantly lower than XEM.TO's 27.81% return. Both investments have delivered pretty close results over the past 10 years, with ZEA.TO having a 9.90% annualized return and XEM.TO not far ahead at 10.14%.

ZEA.TO

1D
0.72%
1M
4.84%
YTD
10.79%
6M
10.55%
1Y
22.50%
3Y*
17.95%
5Y*
11.18%
10Y*
9.90%

XEM.TO

1D
-1.10%
1M
7.74%
YTD
27.81%
6M
28.11%
1Y
53.83%
3Y*
24.35%
5Y*
9.33%
10Y*
10.14%
*Multi-year figures are annualized to reflect compound growth (CAGR)

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

2026 (YTD)202520242023202220212020201920182017
ZEA.TO
BMO MSCI EAFE Index ETF		10.79%24.28%11.56%16.02%-8.51%10.64%5.13%16.71%-6.24%16.77%
XEM.TO
iShares MSCI Emerging Markets Index ETF		27.81%27.25%14.98%6.49%-15.74%-4.09%14.12%11.48%-8.05%27.78%

Correlation

The correlation between ZEA.TO and XEM.TO is 0.67, 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

0.67

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

0.65

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

0.62

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

0.65

Correlation (All Time)
Calculated using the full available price history since Feb 18, 2014

0.58

The correlation between ZEA.TO and XEM.TO has been stable across timeframes, ranging from 0.58 to 0.67 - a consistent structural relationship.

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

Sectors
ZEA.TO
XEM.TO

Financial Services

24.4%
19.4%

Industrials

20.0%
7.5%

Healthcare

10.5%
2.9%

Technology

10.5%
37.0%

Consumer Cyclical

7.6%
9.6%

Consumer Defensive

6.8%
3.0%

Basic Materials

6.0%
6.5%

Communication Services

4.6%
6.9%

Energy

3.9%
4.0%

Utilities

3.9%
2.1%

Real Estate

1.9%
1.1%

Financial Services

ZEA.TO
24.4%
XEM.TO
19.4%

Industrials

ZEA.TO
20.0%
XEM.TO
7.5%

Healthcare

ZEA.TO
10.5%
XEM.TO
2.9%

Technology

ZEA.TO
10.5%
XEM.TO
37.0%

Consumer Cyclical

ZEA.TO
7.6%
XEM.TO
9.6%

Consumer Defensive

ZEA.TO
6.8%
XEM.TO
3.0%

Basic Materials

ZEA.TO
6.0%
XEM.TO
6.5%

Communication Services

ZEA.TO
4.6%
XEM.TO
6.9%

Energy

ZEA.TO
3.9%
XEM.TO
4.0%

Utilities

ZEA.TO
3.9%
XEM.TO
2.1%

Real Estate

ZEA.TO
1.9%
XEM.TO
1.1%

Compare stocks, funds, or ETFs

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BMO MSCI EAFE Index ETF

iShares MSCI Emerging Markets Index 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 XEM.TO:
XEM.TO vs. XEC.TOXEM.TO vs. XEF.TOXEM.TO vs. XEQT.TOXEM.TO vs. VXC.TOXEM.TO vs. VOOXEM.TO vs. VFV.TOXEM.TO vs. ZLB.TO

Return for Risk

ZEA.TO vs. XEM.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: 4747
Overall Rank
ZEA.TO Sharpe Ratio Rank: 4848
Sharpe Ratio Rank
ZEA.TO Sortino Ratio Rank: 4848
Sortino Ratio Rank
ZEA.TO Omega Ratio Rank: 4949
Omega Ratio Rank
ZEA.TO Calmar Ratio Rank: 4343
Calmar Ratio Rank
ZEA.TO Martin Ratio Rank: 4949
Martin Ratio Rank
XEM.TO
XEM.TO Risk / Return Rank: 8484
Overall Rank
XEM.TO Sharpe Ratio Rank: 8686
Sharpe Ratio Rank
XEM.TO Sortino Ratio Rank: 8383
Sortino Ratio Rank
XEM.TO Omega Ratio Rank: 8585
Omega Ratio Rank
XEM.TO Calmar Ratio Rank: 8383
Calmar Ratio Rank
XEM.TO Martin Ratio Rank: 8181
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. XEM.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for BMO MSCI EAFE Index ETF (ZEA.TO) and iShares MSCI Emerging Markets Index ETF (XEM.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.

ZEA.TOXEM.TODifference
Sharpe ratioReturn per unit of total volatility
1.62
2.80

-1.18

Sortino ratioReturn per unit of downside risk
2.32
3.66

-1.34

Omega ratioGain probability vs. loss probability

1.30

1.52

-0.21

Calmar ratioReturn relative to maximum drawdown

2.07

4.41

-2.34

Martin ratioReturn relative to average drawdown

8.07

16.04

-7.96

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

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

The current ZEA.TO Sharpe Ratio is 1.62, which is lower than the XEM.TO Sharpe Ratio of 2.80. The chart below compares the historical Sharpe Ratios of ZEA.TO and XEM.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.

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Sharpe Ratios by Period

ZEA.TOXEM.TODifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

1.62

2.80

-1.18

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.83

0.56

+0.27

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.67

0.57

+0.10

Sharpe Ratio (All Time)

Calculated using the full available price history

0.60

0.43

+0.17

Drawdowns

ZEA.TO vs. XEM.TO - Drawdown Comparison

The maximum ZEA.TO drawdown since its inception was -27.80%, smaller than the maximum XEM.TO drawdown of -35.29%. Use the drawdown chart below to compare losses from any high point for ZEA.TO and XEM.TO.

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Drawdown Indicators

ZEA.TOXEM.TODifference

Max Drawdown

Largest peak-to-trough decline

-27.80%

-35.29%

+7.49%

Max Drawdown (1Y)

Largest decline over 1 year

-10.91%

-12.27%

+1.36%

Max Drawdown (3Y)

Largest decline over 3 years

-14.11%

-15.30%

+1.19%

Max Drawdown (5Y)

Largest decline over 5 years

-23.67%

-31.08%

+7.41%

Max Drawdown (10Y)

Largest decline over 10 years

-27.80%

-35.29%

+7.49%

Current Drawdown

Current decline from peak

-1.43%

-1.95%

+0.52%

Average Drawdown

Average peak-to-trough decline

-4.63%

-10.45%

+5.82%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.79%

3.37%

-0.58%

Volatility

ZEA.TO vs. XEM.TO - Volatility Comparison

The current volatility for BMO MSCI EAFE Index ETF (ZEA.TO) is 5.56%, while iShares MSCI Emerging Markets Index ETF (XEM.TO) has a volatility of 8.26%. This indicates that ZEA.TO experiences smaller price fluctuations and is considered to be less risky than XEM.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

ZEA.TOXEM.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

5.56%

8.26%

-2.70%

Volatility (6M)

Calculated over the trailing 6-month period

11.70%

16.84%

-5.14%

Volatility (1Y)

Calculated over the trailing 1-year period

13.93%

19.32%

-5.39%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

13.51%

16.84%

-3.33%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

14.92%

18.12%

-3.20%

ZEA.TO vs. XEM.TO - Expense Ratio Comparison

ZEA.TO has a 0.22% expense ratio, which is lower than XEM.TO's 0.81% expense ratio.

Dividends

ZEA.TO vs. XEM.TO - Dividend Comparison

ZEA.TO's dividend yield for the trailing twelve months is around 1.92%, more than XEM.TO's 1.49% yield.

PositionTTM20252024202320222021202020192018201720162015
XEM.TO
iShares MSCI Emerging Markets Index ETF		1.49%1.90%2.08%2.39%2.10%1.91%1.28%2.57%1.96%1.78%1.96%2.22%
ZEA.TO
BMO MSCI EAFE Index ETF		1.92%2.17%2.77%3.00%3.06%2.48%2.72%2.93%3.03%2.39%2.78%2.42%

Frequently Asked Questions

ZEA.TO and XEM.TO have a correlation of 0.67, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

On fees, ZEA.TO is cheaper at 0.22% per year. The better choice depends on whether you care most about return, fees, risk, or income.

ZEA.TO is cheaper with a 0.22% expense ratio, compared with 0.81% for XEM.TO.

ZEA.TO is categorized as Global Equities, while XEM.TO is Emerging Markets Equities. ZEA.TO tracks MSCI EAFE Index, while XEM.TO tracks Morningstar EM GR CAD. They also come from different issuers: BMO and iShares. Their fees differ too: 0.22% for ZEA.TO and 0.81% for XEM.TO.

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