ZEA.TO vs. ZDM.TO

Last updated Jun 5, 2026

ZEA.TO (BMO MSCI EAFE Index ETF) and ZDM.TO (BMO MSCI EAFE Hedged to CAD Index ETF) are both exchange-traded funds - ZEA.TO is a Global Equities fund tracking the MSCI EAFE Index, while ZDM.TO is a International Equity fund tracking the MSCI EAFE 100% Hedged to CAD Index. Both are passively managed. Over the past 10 years, ZEA.TO returned 9.90%/yr vs 10.94%/yr for ZDM.TO. A 0.72 correlation means they provide meaningful diversification when combined. Both charge a 0.22% expense ratio.

Performance

ZEA.TO vs. ZDM.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 Hedged to CAD Index ETF (ZDM.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 10.79% return, which is significantly higher than ZDM.TO's 9.96% return. Over the past 10 years, ZEA.TO has underperformed ZDM.TO with an annualized return of 9.90%, while ZDM.TO has yielded a comparatively higher 10.94% annualized return.

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%

ZDM.TO

• 1D: 0.61%
• 1M: 3.68%
• YTD: 9.96%
• 6M: 11.50%
• 1Y: 22.37%
• 3Y*: 16.59%
• 5Y*: 11.87%
• 10Y*: 10.94%

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

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

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
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%
ZDM.TO BMO MSCI EAFE Hedged to CAD Index ETF	9.96%	20.34%	12.72%	18.62%	-5.78%	18.93%	0.25%	23.21%	-10.06%	16.18%

Correlation

The correlation between ZEA.TO and ZDM.TO is 0.88, 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	0.88
Correlation (3Y) Calculated over the trailing 3-year period	0.85
Correlation (5Y) Calculated over the trailing 5-year period	0.83
Correlation (10Y) Calculated over the trailing 10-year period	0.81
Correlation (All Time) Calculated using the full available price history since Feb 18, 2014	0.72

The correlation between ZEA.TO and ZDM.TO shifts across timeframes, from 0.72 (all time) to 0.88 (1 year), reflecting how their relationship changes across market environments.

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

Sectors	ZEA.TO	ZDM.TO
Financial Services	24.4%	24.1%
Industrials	20.0%	19.6%
Healthcare	10.5%	11.1%
Technology	10.5%	9.5%
Consumer Cyclical	7.6%	7.9%
Consumer Defensive	6.8%	7.1%
Basic Materials	6.0%	5.8%
Communication Services	4.6%	4.6%
Energy	3.9%	4.3%
Utilities	3.9%	3.9%
Real Estate	1.9%	1.9%

Return for Risk

ZEA.TO vs. ZDM.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: 47
ZEA.TO Sharpe Ratio Rank: 48
ZEA.TO Sortino Ratio Rank: 48
ZEA.TO Omega Ratio Rank: 49
ZEA.TO Calmar Ratio Rank: 43
ZEA.TO Martin Ratio Rank: 49

ZDM.TO

ZDM.TO Risk / Return Rank: 52
ZDM.TO Sharpe Ratio Rank: 51
ZDM.TO Sortino Ratio Rank: 52
ZDM.TO Omega Ratio Rank: 53
ZDM.TO Calmar Ratio Rank: 47
ZDM.TO Martin Ratio Rank: 56

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. ZDM.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 Hedged to CAD Index ETF (ZDM.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.TO	ZDM.TO	Difference
Sharpe ratio: Return per unit of total volatility	1.62	1.73	-0.10
Sortino ratio: Return per unit of downside risk	2.32	2.48	-0.15
Omega ratio: Gain probability vs. loss probability	1.30	1.33	-0.02
Calmar ratio: Return relative to maximum drawdown	2.07	2.30	-0.23
Martin ratio: Return relative to average drawdown	8.07	9.58	-1.50
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. ZDM.TO - Sharpe Ratio Comparison

The current ZEA.TO Sharpe Ratio is 1.62, which is comparable to the ZDM.TO Sharpe Ratio of 1.73. The chart below compares the historical Sharpe Ratios of ZEA.TO and ZDM.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.

Sharpe Ratios by Period

	ZEA.TO	ZDM.TO	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.62	1.73	-0.10
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.83	0.86	-0.03
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.67	0.70	-0.03
Sharpe Ratio (All Time) Calculated using the full available price history	0.60	0.52	+0.08

Drawdowns

ZEA.TO vs. ZDM.TO - Drawdown Comparison

The maximum ZEA.TO drawdown since its inception was -27.80%, smaller than the maximum ZDM.TO drawdown of -33.13%. Use the drawdown chart below to compare losses from any high point for ZEA.TO and ZDM.TO.

Drawdown Indicators

	ZEA.TO	ZDM.TO	Difference
Max Drawdown Largest peak-to-trough decline	-27.80%	-33.13%	+5.33%
Max Drawdown (1Y) Largest decline over 1 year	-10.91%	-9.82%	-1.09%
Max Drawdown (3Y) Largest decline over 3 years	-14.11%	-14.07%	-0.04%
Max Drawdown (5Y) Largest decline over 5 years	-23.67%	-15.63%	-8.04%
Max Drawdown (10Y) Largest decline over 10 years	-27.80%	-33.13%	+5.33%
Current Drawdown Current decline from peak	-1.43%	-1.02%	-0.41%
Average Drawdown Average peak-to-trough decline	-4.63%	-5.13%	+0.50%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.79%	2.35%	+0.44%

Volatility

ZEA.TO vs. ZDM.TO - Volatility Comparison

BMO MSCI EAFE Index ETF (ZEA.TO) has a higher volatility of 5.56% compared to BMO MSCI EAFE Hedged to CAD Index ETF (ZDM.TO) at 4.61%. This indicates that ZEA.TO's price experiences larger fluctuations and is considered to be riskier than ZDM.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ZEA.TO	ZDM.TO	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.56%	4.61%	+0.95%
Volatility (6M) Calculated over the trailing 6-month period	11.70%	10.72%	+0.98%
Volatility (1Y) Calculated over the trailing 1-year period	13.93%	13.06%	+0.87%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	13.51%	13.83%	-0.32%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.92%	15.83%	-0.91%

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

Both ZEA.TO and ZDM.TO have an expense ratio of 0.22%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.

Dividends

ZEA.TO vs. ZDM.TO - Dividend Comparison

ZEA.TO's dividend yield for the trailing twelve months is around 1.92%, more than ZDM.TO's 1.90% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ZDM.TO BMO MSCI EAFE Hedged to CAD Index ETF	1.90%	2.13%	2.71%	2.97%	3.20%	2.38%	2.80%	2.90%	3.21%	2.41%	3.23%	2.46%
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

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

ZEA.TO and ZDM.TO have a correlation of 0.88, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which ETF is better, ZEA.TO or ZDM.TO?

Both ETFs have the same 0.22% expense ratio. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF is cheaper, ZEA.TO or ZDM.TO?

ZEA.TO and ZDM.TO have the same expense ratio: 0.22% per year.

What is the main difference between ZEA.TO and ZDM.TO?

ZEA.TO is categorized as Global Equities, while ZDM.TO is International Equity. ZEA.TO tracks MSCI EAFE Index, while ZDM.TO tracks MSCI EAFE 100% Hedged to CAD Index.