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ZESG.TO vs. BMAX.TO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

ZESG.TO vs. BMAX.TO

Last updated Jun 5, 2026

ZESG.TO (BMO Balanced ESG ETF) and BMAX.TO (Brompton Enhanced Multi-Asset Income ETF) are both Diversified Portfolio funds. Over the past 3 years, ZESG.TO returned 14.47%/yr vs 19.11%/yr for BMAX.TO. At a 0.46 correlation, their price movements are largely independent. ZESG.TO charges 0.18%/yr vs 2.62%/yr for BMAX.TO.

Performance

ZESG.TO vs. BMAX.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in BMO Balanced ESG ETF (ZESG.TO) and Brompton Enhanced Multi-Asset Income ETF (BMAX.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, ZESG.TO achieves a 6.18% return, which is significantly lower than BMAX.TO's 10.24% return.

ZESG.TO

1D
0.61%
1M
4.05%
YTD
6.18%
6M
5.50%
1Y
17.13%
3Y*
14.47%
5Y*
8.76%
10Y*
—

BMAX.TO

1D
0.89%
1M
4.57%
YTD
10.24%
6M
10.69%
1Y
23.36%
3Y*
19.11%
5Y*
—
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

ZESG.TO vs. BMAX.TO - Yearly Performance Comparison

2026 (YTD)2025202420232022
ZESG.TO
BMO Balanced ESG ETF		6.18%12.26%16.70%15.27%4.99%
BMAX.TO
Brompton Enhanced Multi-Asset Income ETF		10.24%17.88%19.42%11.56%6.10%

Correlation

The correlation between ZESG.TO and BMAX.TO is 0.72, 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

0.72

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

0.51

Correlation (All Time)
Calculated using the full available price history since Oct 21, 2022

0.46

Over the past year, ZESG.TO and BMAX.TO have become more correlated (0.72) than their long-term average of 0.46, meaning their price movements have been converging.

ZESG.TO vs. BMAX.TO - Sectors Allocation Comparison

Sectors
ZESG.TO
BMAX.TO

Technology

24.7%
18.8%

Financial Services

19.7%
24.1%

Industrials

10.1%
13.0%

Communication Services

8.5%
4.3%

Healthcare

8.4%
17.0%

Consumer Cyclical

6.8%
2.6%

Basic Materials

6.6%
2.6%

Energy

5.8%
7.0%

Consumer Defensive

5.4%
4.9%

Utilities

2.3%
4.4%

Real Estate

1.8%
1.3%

Technology

ZESG.TO
24.7%
BMAX.TO
18.8%

Financial Services

ZESG.TO
19.7%
BMAX.TO
24.1%

Industrials

ZESG.TO
10.1%
BMAX.TO
13.0%

Communication Services

ZESG.TO
8.5%
BMAX.TO
4.3%

Healthcare

ZESG.TO
8.4%
BMAX.TO
17.0%

Consumer Cyclical

ZESG.TO
6.8%
BMAX.TO
2.6%

Basic Materials

ZESG.TO
6.6%
BMAX.TO
2.6%

Energy

ZESG.TO
5.8%
BMAX.TO
7.0%

Consumer Defensive

ZESG.TO
5.4%
BMAX.TO
4.9%

Utilities

ZESG.TO
2.3%
BMAX.TO
4.4%

Real Estate

ZESG.TO
1.8%
BMAX.TO
1.3%

Compare stocks, funds, or ETFs

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BMO Balanced ESG ETF

Brompton Enhanced Multi-Asset Income ETF

Often compared with ZESG.TO:
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Often compared with BMAX.TO:
BMAX.TO vs. HDIV.TOBMAX.TO vs. UTES.TOBMAX.TO vs. ZWQT.TOBMAX.TO vs. CLSA.TOBMAX.TO vs. BANK.TOBMAX.TO vs. HUTE.TOBMAX.TO vs. SPLT.TO

Return for Risk

ZESG.TO vs. BMAX.TO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
ZESG.TO
ZESG.TO Risk / Return Rank: 6666
Overall Rank
ZESG.TO Sharpe Ratio Rank: 6767
Sharpe Ratio Rank
ZESG.TO Sortino Ratio Rank: 7272
Sortino Ratio Rank
ZESG.TO Omega Ratio Rank: 6868
Omega Ratio Rank
ZESG.TO Calmar Ratio Rank: 5757
Calmar Ratio Rank
ZESG.TO Martin Ratio Rank: 6565
Martin Ratio Rank
BMAX.TO
BMAX.TO Risk / Return Rank: 6464
Overall Rank
BMAX.TO Sharpe Ratio Rank: 6868
Sharpe Ratio Rank
BMAX.TO Sortino Ratio Rank: 7070
Sortino Ratio Rank
BMAX.TO Omega Ratio Rank: 6868
Omega Ratio Rank
BMAX.TO Calmar Ratio Rank: 5151
Calmar Ratio Rank
BMAX.TO Martin Ratio Rank: 6262
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.

ZESG.TO vs. BMAX.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for BMO Balanced ESG ETF (ZESG.TO) and Brompton Enhanced Multi-Asset Income ETF (BMAX.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.

ZESG.TOBMAX.TODifference
Sharpe ratioReturn per unit of total volatility
2.19
2.20

-0.02

Sortino ratioReturn per unit of downside risk
3.20
3.15

+0.05

Omega ratioGain probability vs. loss probability

1.40

1.40

0.00

Calmar ratioReturn relative to maximum drawdown

2.82

2.51

+0.31

Martin ratioReturn relative to average drawdown

11.81

11.01

+0.79

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

ZESG.TO vs. BMAX.TO - Sharpe Ratio Comparison

The current ZESG.TO Sharpe Ratio is 2.19, which is comparable to the BMAX.TO Sharpe Ratio of 2.20. The chart below compares the historical Sharpe Ratios of ZESG.TO and BMAX.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

ZESG.TOBMAX.TODifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

2.19

2.20

-0.02

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.99

—

—

Sharpe Ratio (All Time)

Calculated using the full available price history

0.87

1.40

-0.53

Drawdowns

ZESG.TO vs. BMAX.TO - Drawdown Comparison

The maximum ZESG.TO drawdown since its inception was -19.68%, which is greater than BMAX.TO's maximum drawdown of -15.42%. Use the drawdown chart below to compare losses from any high point for ZESG.TO and BMAX.TO.

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Drawdown Indicators

ZESG.TOBMAX.TODifference

Max Drawdown

Largest peak-to-trough decline

-19.68%

-15.42%

-4.26%

Max Drawdown (1Y)

Largest decline over 1 year

-6.09%

-9.35%

+3.26%

Max Drawdown (3Y)

Largest decline over 3 years

-10.28%

-15.42%

+5.14%

Max Drawdown (5Y)

Largest decline over 5 years

-18.81%

—

—

Current Drawdown

Current decline from peak

0.00%

-0.09%

+0.09%

Average Drawdown

Average peak-to-trough decline

-4.19%

-1.90%

-2.29%

Ulcer Index

Depth and duration of drawdowns from previous peaks

1.45%

2.13%

-0.68%

Volatility

ZESG.TO vs. BMAX.TO - Volatility Comparison

The current volatility for BMO Balanced ESG ETF (ZESG.TO) is 2.61%, while Brompton Enhanced Multi-Asset Income ETF (BMAX.TO) has a volatility of 3.25%. This indicates that ZESG.TO experiences smaller price fluctuations and is considered to be less risky than BMAX.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

ZESG.TOBMAX.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

2.61%

3.25%

-0.64%

Volatility (6M)

Calculated over the trailing 6-month period

6.23%

8.84%

-2.61%

Volatility (1Y)

Calculated over the trailing 1-year period

7.87%

10.65%

-2.78%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

8.92%

13.13%

-4.21%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

9.92%

13.13%

-3.21%

ZESG.TO vs. BMAX.TO - Expense Ratio Comparison

ZESG.TO has a 0.18% expense ratio, which is lower than BMAX.TO's 2.62% expense ratio.

Dividends

ZESG.TO vs. BMAX.TO - Dividend Comparison

ZESG.TO's dividend yield for the trailing twelve months is around 1.65%, less than BMAX.TO's 9.51% yield.

PositionTTM202520242023202220212020
BMAX.TO
Brompton Enhanced Multi-Asset Income ETF		9.51%9.70%9.64%9.55%2.41%0.00%0.00%
ZESG.TO
BMO Balanced ESG ETF		1.65%1.71%1.89%2.22%2.53%2.05%2.27%

Frequently Asked Questions

ZESG.TO and BMAX.TO have a correlation of 0.72, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

On fees, ZESG.TO is cheaper at 0.18% per year. The better choice depends on whether you care most about return, fees, risk, or income.

ZESG.TO is cheaper with a 0.18% expense ratio, compared with 2.62% for BMAX.TO.

They also come from different issuers: BMO and Brompton Funds. Their fees differ too: 0.18% for ZESG.TO and 2.62% for BMAX.TO.

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