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ZFL.TO vs. XEF.TO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

ZFL.TO vs. XEF.TO

Last updated Jun 4, 2026

ZFL.TO (BMO Long Federal Bond) and XEF.TO (iShares Core MSCI EAFE IMI Index ETF) are both exchange-traded funds - ZFL.TO is a Canadian Government Bonds fund tracking the FTSE TMX Canada Long Term Federal Bond Index, while XEF.TO is a Foreign Large Cap Equities fund tracking the MSCI EAFE Investable Market Index (CAD). Both are passively managed. Over the past 10 years, ZFL.TO returned -1.37%/yr vs 9.77%/yr for XEF.TO. At a 0.00 correlation, their price movements are largely independent. ZFL.TO charges 0.22%/yr vs 0.23%/yr for XEF.TO.

Performance

ZFL.TO vs. XEF.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in BMO Long Federal Bond (ZFL.TO) and iShares Core MSCI EAFE IMI Index ETF (XEF.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, ZFL.TO achieves a 2.39% return, which is significantly lower than XEF.TO's 9.95% return. Over the past 10 years, ZFL.TO has underperformed XEF.TO with an annualized return of -1.37%, while XEF.TO has yielded a comparatively higher 9.77% annualized return.

ZFL.TO

1D
-0.33%
1M
2.93%
YTD
2.39%
6M
-0.37%
1Y
-0.83%
3Y*
-0.42%
5Y*
-3.89%
10Y*
-1.37%

XEF.TO

1D
-0.41%
1M
5.38%
YTD
9.95%
6M
10.72%
1Y
23.12%
3Y*
17.83%
5Y*
10.89%
10Y*
9.77%
*Multi-year figures are annualized to reflect compound growth (CAGR)

ZFL.TO vs. XEF.TO - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
ZFL.TO
BMO Long Federal Bond		2.39%-5.14%-2.20%7.30%-23.89%-7.47%12.68%8.73%2.69%2.84%
XEF.TO
iShares Core MSCI EAFE IMI Index ETF		9.95%25.69%12.04%15.21%-9.53%10.36%6.13%15.86%-6.65%18.19%

Correlation

The correlation between ZFL.TO and XEF.TO is 0.40, which is low. Their price movements are largely independent, making them effective diversification partners.

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

0.40

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

0.30

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

0.19

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

0.04

Correlation (All Time)
Calculated using the full available price history since Apr 16, 2013

0.00

Over the past year, ZFL.TO and XEF.TO have become more correlated (0.40) than their long-term average of 0.00, meaning their price movements have been converging.

ZFL.TO vs. XEF.TO - Sectors Allocation Comparison

Sectors
ZFL.TO
XEF.TO

Financial Services

100.0%
22.9%

Basic Materials

-

6.6%

Communication Services

-

4.4%

Consumer Cyclical

-

8.2%

Consumer Defensive

-

6.4%

Energy

-

4.0%

Healthcare

-

9.8%

Industrials

-

20.5%

Real Estate

-

3.1%

Technology

-

10.2%

Utilities

-

3.8%

Financial Services

ZFL.TO
100.0%
XEF.TO
22.9%

Basic Materials

ZFL.TO

-

XEF.TO
6.6%

Communication Services

ZFL.TO

-

XEF.TO
4.4%

Consumer Cyclical

ZFL.TO

-

XEF.TO
8.2%

Consumer Defensive

ZFL.TO

-

XEF.TO
6.4%

Energy

ZFL.TO

-

XEF.TO
4.0%

Healthcare

ZFL.TO

-

XEF.TO
9.8%

Industrials

ZFL.TO

-

XEF.TO
20.5%

Real Estate

ZFL.TO

-

XEF.TO
3.1%

Technology

ZFL.TO

-

XEF.TO
10.2%

Utilities

ZFL.TO

-

XEF.TO
3.8%

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BMO Long Federal Bond

iShares Core MSCI EAFE IMI Index ETF

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Return for Risk

ZFL.TO vs. XEF.TO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
ZFL.TO
ZFL.TO Risk / Return Rank: 77
Overall Rank
ZFL.TO Sharpe Ratio Rank: 88
Sharpe Ratio Rank
ZFL.TO Sortino Ratio Rank: 77
Sortino Ratio Rank
ZFL.TO Omega Ratio Rank: 77
Omega Ratio Rank
ZFL.TO Calmar Ratio Rank: 77
Calmar Ratio Rank
ZFL.TO Martin Ratio Rank: 88
Martin Ratio Rank
XEF.TO
XEF.TO Risk / Return Rank: 4747
Overall Rank
XEF.TO Sharpe Ratio Rank: 4848
Sharpe Ratio Rank
XEF.TO Sortino Ratio Rank: 4848
Sortino Ratio Rank
XEF.TO Omega Ratio Rank: 4848
Omega Ratio Rank
XEF.TO Calmar Ratio Rank: 4141
Calmar Ratio Rank
XEF.TO Martin Ratio Rank: 4848
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.

ZFL.TO vs. XEF.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for BMO Long Federal Bond (ZFL.TO) and iShares Core MSCI EAFE IMI Index ETF (XEF.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.

ZFL.TOXEF.TODifference
Sharpe ratioReturn per unit of total volatility
-0.09
1.68

-1.76

Sortino ratioReturn per unit of downside risk
-0.05
2.41

-2.46

Omega ratioGain probability vs. loss probability

0.99

1.31

-0.32

Calmar ratioReturn relative to maximum drawdown

-0.12

2.06

-2.19

Martin ratioReturn relative to average drawdown

-0.22

8.22

-8.44

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

ZFL.TO vs. XEF.TO - Sharpe Ratio Comparison

The current ZFL.TO Sharpe Ratio is -0.09, which is lower than the XEF.TO Sharpe Ratio of 1.68. The chart below compares the historical Sharpe Ratios of ZFL.TO and XEF.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

ZFL.TOXEF.TODifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

-0.09

1.68

-1.76

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

-0.27

0.81

-1.07

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

-0.11

0.66

-0.77

Sharpe Ratio (All Time)

Calculated using the full available price history

0.16

0.71

-0.54

Drawdowns

ZFL.TO vs. XEF.TO - Drawdown Comparison

The maximum ZFL.TO drawdown since its inception was -40.32%, which is greater than XEF.TO's maximum drawdown of -28.51%. Use the drawdown chart below to compare losses from any high point for ZFL.TO and XEF.TO.

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Drawdown Indicators

ZFL.TOXEF.TODifference

Max Drawdown

Largest peak-to-trough decline

-40.32%

-28.51%

-11.81%

Max Drawdown (1Y)

Largest decline over 1 year

-6.68%

-11.27%

+4.59%

Max Drawdown (3Y)

Largest decline over 3 years

-14.51%

-14.32%

-0.19%

Max Drawdown (5Y)

Largest decline over 5 years

-32.25%

-24.58%

-7.67%

Max Drawdown (10Y)

Largest decline over 10 years

-40.32%

-28.51%

-11.81%

Current Drawdown

Current decline from peak

-31.87%

-1.09%

-30.78%

Average Drawdown

Average peak-to-trough decline

-12.45%

-4.62%

-7.83%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.82%

2.82%

+1.00%

Volatility

ZFL.TO vs. XEF.TO - Volatility Comparison

The current volatility for BMO Long Federal Bond (ZFL.TO) is 3.14%, while iShares Core MSCI EAFE IMI Index ETF (XEF.TO) has a volatility of 4.77%. This indicates that ZFL.TO experiences smaller price fluctuations and is considered to be less risky than XEF.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

ZFL.TOXEF.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

3.14%

4.77%

-1.63%

Volatility (6M)

Calculated over the trailing 6-month period

7.05%

11.56%

-4.51%

Volatility (1Y)

Calculated over the trailing 1-year period

9.72%

13.85%

-4.13%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

14.71%

13.58%

+1.13%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

12.54%

14.85%

-2.31%

ZFL.TO vs. XEF.TO - Expense Ratio Comparison

ZFL.TO has a 0.22% expense ratio, which is lower than XEF.TO's 0.23% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

ZFL.TO vs. XEF.TO - Dividend Comparison

ZFL.TO's dividend yield for the trailing twelve months is around 2.84%, more than XEF.TO's 2.21% yield.

PositionTTM20252024202320222021202020192018201720162015
XEF.TO
iShares Core MSCI EAFE IMI Index ETF		2.21%2.43%2.76%2.75%2.93%2.42%1.93%2.72%2.76%2.10%2.42%2.42%
ZFL.TO
BMO Long Federal Bond		2.84%3.13%3.20%3.49%3.77%2.85%2.57%2.95%3.00%2.99%3.05%3.10%

Frequently Asked Questions

ZFL.TO and XEF.TO have a correlation of 0.40, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

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

ZFL.TO is cheaper with a 0.22% expense ratio, compared with 0.23% for XEF.TO.

ZFL.TO is categorized as Canadian Government Bonds, while XEF.TO is Foreign Large Cap Equities. ZFL.TO tracks FTSE TMX Canada Long Term Federal Bond Index, while XEF.TO tracks MSCI EAFE Investable Market Index (CAD). They also come from different issuers: BMO and iShares. Their fees differ too: 0.22% for ZFL.TO and 0.23% for XEF.TO.

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