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ZFM.TO vs. ZAG.TO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

ZFM.TO vs. ZAG.TO

Last updated Jul 1, 2026
See Documentation

ZFM.TO (BMO Mid Federal Bond Index ETF) and ZAG.TO (BMO Aggregate Bond Index ETF) are both exchange-traded funds - ZFM.TO is a Government Bonds fund managed by BMO, while ZAG.TO is a Canadian Government Bonds fund tracking the FTSE Canada Universe Bond Index. Over the past 10 years, ZFM.TO returned 0.66%/yr vs 1.60%/yr for ZAG.TO. A 0.79 correlation means they provide meaningful diversification when combined.

Performance

ZFM.TO vs. ZAG.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in BMO Mid Federal Bond Index ETF (ZFM.TO) and BMO Aggregate Bond Index ETF (ZAG.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, ZFM.TO achieves a 1.97% return, which is significantly lower than ZAG.TO's 2.13% return. Over the past 10 years, ZFM.TO has underperformed ZAG.TO with an annualized return of 0.66%, while ZAG.TO has yielded a comparatively higher 1.60% annualized return.

ZFM.TO

1D
-0.13%
1M
0.70%
YTD
1.97%
6M
1.83%
1Y
2.94%
3Y*
3.84%
5Y*
0.19%
10Y*
0.66%

ZAG.TO

1D
-0.14%
1M
0.43%
YTD
2.13%
6M
2.13%
1Y
3.17%
3Y*
4.31%
5Y*
0.71%
10Y*
1.60%
*Multi-year figures are annualized to reflect compound growth (CAGR)

ZFM.TO vs. ZAG.TO - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
ZFM.TO
BMO Mid Federal Bond Index ETF		1.97%2.87%3.06%4.83%-11.10%-3.87%9.29%3.40%2.20%-0.63%
ZAG.TO
BMO Aggregate Bond Index ETF		2.13%2.25%4.48%6.41%-11.60%-2.60%8.34%6.84%1.12%2.45%

Correlation

The correlation between ZFM.TO and ZAG.TO is 0.91, 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

0.91

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

0.92

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

0.91

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

0.86

Correlation (All Time)
Calculated using the full available price history since Apr 20, 2010

0.79

The correlation between ZFM.TO and ZAG.TO shifts across timeframes, from 0.79 (all time) to 0.92 (3 years), reflecting how their relationship changes across market environments.

Compare stocks, funds, or ETFs

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BMO Mid Federal Bond Index ETF

BMO Aggregate Bond Index ETF

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Return for Risk

ZFM.TO vs. ZAG.TO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
ZFM.TO
ZFM.TO Risk / Return Rank: 2020
Overall Rank
ZFM.TO Sharpe Ratio Rank: 2020
Sharpe Ratio Rank
ZFM.TO Sortino Ratio Rank: 1818
Sortino Ratio Rank
ZFM.TO Omega Ratio Rank: 1818
Omega Ratio Rank
ZFM.TO Calmar Ratio Rank: 2323
Calmar Ratio Rank
ZFM.TO Martin Ratio Rank: 2121
Martin Ratio Rank
ZAG.TO
ZAG.TO Risk / Return Rank: 2222
Overall Rank
ZAG.TO Sharpe Ratio Rank: 2222
Sharpe Ratio Rank
ZAG.TO Sortino Ratio Rank: 1919
Sortino Ratio Rank
ZAG.TO Omega Ratio Rank: 2020
Omega Ratio Rank
ZAG.TO Calmar Ratio Rank: 2525
Calmar Ratio Rank
ZAG.TO Martin Ratio Rank: 2323
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.

ZFM.TO vs. ZAG.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for BMO Mid Federal Bond Index ETF (ZFM.TO) and BMO Aggregate Bond Index ETF (ZAG.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.

ZFM.TOZAG.TODifference
Sharpe ratioReturn per unit of total volatility
0.64
0.72

-0.08

Sortino ratioReturn per unit of downside risk
0.91
1.02

-0.10

Omega ratioGain probability vs. loss probability

1.12

1.13

-0.02

Calmar ratioReturn relative to maximum drawdown

0.96

1.14

-0.18

Martin ratioReturn relative to average drawdown

2.23

2.79

-0.56

ZFM.TO vs. ZAG.TO - Sharpe Ratio Comparison

The current ZFM.TO Sharpe Ratio is 0.64, which is comparable to the ZAG.TO Sharpe Ratio of 0.72. The chart below compares the historical Sharpe Ratios of ZFM.TO and ZAG.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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Drawdowns

ZFM.TO vs. ZAG.TO - Drawdown Comparison

The maximum ZFM.TO drawdown since its inception was -19.06%, which is greater than ZAG.TO's maximum drawdown of -18.03%. Use the drawdown chart below to compare losses from any high point for ZFM.TO and ZAG.TO.

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Drawdown Indicators

ZFM.TOZAG.TODifference

Max Drawdown

Largest peak-to-trough decline

-19.06%

-18.03%

-1.03%

Max Drawdown (1Y)

Largest decline over 1 year

-3.08%

-2.79%

-0.29%

Max Drawdown (3Y)

Largest decline over 3 years

-5.74%

-5.42%

-0.32%

Max Drawdown (5Y)

Largest decline over 5 years

-16.77%

-15.77%

-1.00%

Max Drawdown (10Y)

Largest decline over 10 years

-19.06%

-18.03%

-1.03%

Current Drawdown

Current decline from peak

-3.87%

-0.67%

-3.20%

Average Drawdown

Average peak-to-trough decline

-4.51%

-3.53%

-0.98%

Ulcer Index

Depth and duration of drawdowns from previous peaks

1.37%

1.19%

+0.18%

Volatility

ZFM.TO vs. ZAG.TO - Volatility Comparison

BMO Mid Federal Bond Index ETF (ZFM.TO) has a higher volatility of 1.34% compared to BMO Aggregate Bond Index ETF (ZAG.TO) at 1.09%. This indicates that ZFM.TO's price experiences larger fluctuations and is considered to be riskier than ZAG.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

ZFM.TOZAG.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

1.34%

1.09%

+0.25%

Volatility (6M)

Calculated over the trailing 6-month period

3.51%

3.37%

+0.14%

Volatility (1Y)

Calculated over the trailing 1-year period

4.60%

4.45%

+0.15%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

7.05%

6.58%

+0.47%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

5.78%

7.11%

-1.33%

Dividends

ZFM.TO vs. ZAG.TO - Dividend Comparison

ZFM.TO's dividend yield for the trailing twelve months is around 2.55%, less than ZAG.TO's 3.40% yield.

PositionTTM20252024202320222021202020192018201720162015
ZAG.TO
BMO Aggregate Bond Index ETF		3.40%3.48%3.44%3.47%3.56%3.04%2.88%3.03%2.92%2.95%3.07%3.13%
ZFM.TO
BMO Mid Federal Bond Index ETF		2.55%2.37%2.29%2.30%2.36%2.05%2.04%2.14%2.02%2.05%2.23%2.41%

Frequently Asked Questions

With a correlation of 0.91, ZFM.TO and ZAG.TO move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

ZFM.TO is categorized as Government Bonds, while ZAG.TO is Canadian Government Bonds.

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