ZEA.TO vs. ZLI.TO

Last updated Jun 25, 2026

ZEA.TO (BMO MSCI EAFE Index ETF) and ZLI.TO (BMO Low Volatility International Equity ETF) are both Foreign Large Cap Equities funds from BMO. ZEA.TO is passively managed, while ZLI.TO is actively managed. Over the past 10 years, ZEA.TO returned 10.70%/yr vs 6.23%/yr for ZLI.TO. A 0.65 correlation means they provide meaningful diversification when combined. ZEA.TO charges 0.22%/yr vs 0.40%/yr for ZLI.TO.

Performance

ZEA.TO vs. ZLI.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 Low Volatility International Equity ETF (ZLI.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 12.12% return, which is significantly higher than ZLI.TO's 2.99% return. Over the past 10 years, ZEA.TO has outperformed ZLI.TO with an annualized return of 10.70%, while ZLI.TO has yielded a comparatively lower 6.23% 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%

ZLI.TO

• 1D: 0.10%
• 1M: -0.74%
• YTD: 2.99%
• 6M: 2.67%
• 1Y: 2.18%
• 3Y*: 11.29%
• 5Y*: 5.78%
• 10Y*: 6.23%

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

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

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
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%
ZLI.TO BMO Low Volatility International Equity ETF	2.99%	13.39%	11.93%	9.09%	-9.80%	6.79%	-0.88%	9.71%	4.89%	13.91%

Correlation

The correlation between ZEA.TO and ZLI.TO is 0.66, 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	0.66
Correlation (3Y) Calculated over the trailing 3-year period	0.61
Correlation (5Y) Calculated over the trailing 5-year period	0.60
Correlation (10Y) Calculated over the trailing 10-year period	0.65
Correlation (All Time) Calculated using the full available price history since Sep 9, 2015	0.65

The correlation between ZEA.TO and ZLI.TO has been stable across timeframes, ranging from 0.60 to 0.66 - a consistent structural relationship.

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

Sectors	ZEA.TO	ZLI.TO
Financial Services	24.6%	16.7%
Industrials	19.5%	12.4%
Technology	10.8%	4.6%
Healthcare	10.4%	12.8%
Consumer Cyclical	7.6%	2.9%
Consumer Defensive	6.8%	14.7%
Basic Materials	5.9%	2.0%
Communication Services	4.8%	14.2%
Energy	4.0%	0.9%
Utilities	3.7%	12.1%
Real Estate	1.8%	6.6%

Return for Risk

ZEA.TO vs. ZLI.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: 54
ZEA.TO Sharpe Ratio Rank: 55
ZEA.TO Sortino Ratio Rank: 56
ZEA.TO Omega Ratio Rank: 56
ZEA.TO Calmar Ratio Rank: 50
ZEA.TO Martin Ratio Rank: 54

ZLI.TO

ZLI.TO Risk / Return Rank: 11
ZLI.TO Sharpe Ratio Rank: 12
ZLI.TO Sortino Ratio Rank: 11
ZLI.TO Omega Ratio Rank: 11
ZLI.TO Calmar Ratio Rank: 12
ZLI.TO Martin Ratio Rank: 12

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. ZLI.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 Low Volatility International Equity ETF (ZLI.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	ZLI.TO	Difference
Sharpe ratio: Return per unit of total volatility	1.67	0.21	+1.46
Sortino ratio: Return per unit of downside risk	2.40	0.36	+2.04
Omega ratio: Gain probability vs. loss probability	1.31	1.05	+0.27
Calmar ratio: Return relative to maximum drawdown	2.22	0.26	+1.96
Martin ratio: Return relative to average drawdown	8.56	0.63	+7.93

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

The current ZEA.TO Sharpe Ratio is 1.67, which is higher than the ZLI.TO Sharpe Ratio of 0.21. The chart below compares the historical Sharpe Ratios of ZEA.TO and ZLI.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. ZLI.TO - Drawdown Comparison

The maximum ZEA.TO drawdown since its inception was -27.80%, which is greater than ZLI.TO's maximum drawdown of -24.66%. Use the drawdown chart below to compare losses from any high point for ZEA.TO and ZLI.TO.

Drawdown Indicators

	ZEA.TO	ZLI.TO	Difference
Max Drawdown Largest peak-to-trough decline	-27.80%	-24.66%	-3.14%
Max Drawdown (1Y) Largest decline over 1 year	-10.91%	-8.37%	-2.54%
Max Drawdown (3Y) Largest decline over 3 years	-14.11%	-8.37%	-5.74%
Max Drawdown (5Y) Largest decline over 5 years	-23.66%	-24.66%	+1.00%
Max Drawdown (10Y) Largest decline over 10 years	-27.80%	-24.66%	-3.14%
Current Drawdown Current decline from peak	-2.09%	-4.73%	+2.64%
Average Drawdown Average peak-to-trough decline	-4.61%	-4.98%	+0.37%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.83%	3.50%	-0.67%

Volatility

ZEA.TO vs. ZLI.TO - Volatility Comparison

BMO MSCI EAFE Index ETF (ZEA.TO) has a higher volatility of 4.91% compared to BMO Low Volatility International Equity ETF (ZLI.TO) at 2.95%. This indicates that ZEA.TO's price experiences larger fluctuations and is considered to be riskier than ZLI.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ZEA.TO	ZLI.TO	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.91%	2.95%	+1.96%
Volatility (6M) Calculated over the trailing 6-month period	12.41%	8.55%	+3.86%
Volatility (1Y) Calculated over the trailing 1-year period	14.51%	10.46%	+4.05%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	13.63%	10.86%	+2.77%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.79%	12.30%	+2.49%

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

ZEA.TO has a 0.22% expense ratio, which is lower than ZLI.TO's 0.40% expense ratio.

Dividends

ZEA.TO vs. ZLI.TO - Dividend Comparison

ZEA.TO's dividend yield for the trailing twelve months is around 1.90%, less than ZLI.TO's 2.18% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
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%
ZLI.TO BMO Low Volatility International Equity ETF	2.18%	2.24%	2.48%	2.70%	2.87%	2.51%	2.66%	2.36%	2.49%	2.25%	2.50%	0.91%

Frequently Asked Questions

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

ZEA.TO and ZLI.TO have a correlation of 0.66, 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 ZLI.TO?

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.

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

ZEA.TO is cheaper with a 0.22% expense ratio, compared with 0.40% for ZLI.TO.

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

Their fees differ too: 0.22% for ZEA.TO and 0.40% for ZLI.TO.