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ZFS.TO vs. ZSP.TO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

ZFS.TO vs. ZSP.TO

Last updated Jul 1, 2026
See Documentation

ZFS.TO (BMO Short Federal Bond Index ETF) and ZSP.TO (BMO S&P 500 Index ETF) are both exchange-traded funds - ZFS.TO is a Government Bonds fund managed by BMO, while ZSP.TO is a S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, ZFS.TO returned 1.39%/yr vs 16.20%/yr for ZSP.TO. At a correlation of -0.01, they often move in opposite directions.

Performance

ZFS.TO vs. ZSP.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in BMO Short Federal Bond Index ETF (ZFS.TO) and BMO S&P 500 Index ETF (ZSP.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, ZFS.TO achieves a 1.19% return, which is significantly lower than ZSP.TO's 13.62% return. Over the past 10 years, ZFS.TO has underperformed ZSP.TO with an annualized return of 1.39%, while ZSP.TO has yielded a comparatively higher 16.20% annualized return.

ZFS.TO

1D
0.00%
1M
0.35%
YTD
1.19%
6M
1.26%
1Y
2.43%
3Y*
4.08%
5Y*
1.58%
10Y*
1.39%

ZSP.TO

1D
0.55%
1M
1.75%
YTD
13.62%
6M
13.06%
1Y
27.01%
3Y*
23.01%
5Y*
16.12%
10Y*
16.20%
*Multi-year figures are annualized to reflect compound growth (CAGR)

ZFS.TO vs. ZSP.TO - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
ZFS.TO
BMO Short Federal Bond Index ETF		1.19%3.10%4.61%3.93%-4.03%-1.43%4.42%2.15%1.47%-0.59%
ZSP.TO
BMO S&P 500 Index ETF		13.62%12.36%35.07%23.30%-12.68%27.54%15.61%24.69%3.28%13.60%

Correlation

The correlation between ZFS.TO and ZSP.TO is 0.24, which is low. Their price movements are largely independent, making them effective diversification partners.

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

0.24

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

0.12

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

0.09

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

0.03

Correlation (All Time)
Calculated using the full available price history since Nov 26, 2012

-0.01

The correlation between ZFS.TO and ZSP.TO shifts across timeframes, from -0.01 (all time) to 0.24 (1 year), reflecting how their relationship changes across market environments.

Compare stocks, funds, or ETFs

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BMO Short Federal Bond Index ETF

BMO S&P 500 Index ETF

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Return for Risk

ZFS.TO vs. ZSP.TO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
ZFS.TO
ZFS.TO Risk / Return Rank: 3939
Overall Rank
ZFS.TO Sharpe Ratio Rank: 3939
Sharpe Ratio Rank
ZFS.TO Sortino Ratio Rank: 3737
Sortino Ratio Rank
ZFS.TO Omega Ratio Rank: 4242
Omega Ratio Rank
ZFS.TO Calmar Ratio Rank: 3737
Calmar Ratio Rank
ZFS.TO Martin Ratio Rank: 3838
Martin Ratio Rank
ZSP.TO
ZSP.TO Risk / Return Rank: 7979
Overall Rank
ZSP.TO Sharpe Ratio Rank: 8383
Sharpe Ratio Rank
ZSP.TO Sortino Ratio Rank: 8181
Sortino Ratio Rank
ZSP.TO Omega Ratio Rank: 8282
Omega Ratio Rank
ZSP.TO Calmar Ratio Rank: 7373
Calmar Ratio Rank
ZSP.TO Martin Ratio Rank: 7474
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.

ZFS.TO vs. ZSP.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for BMO Short Federal Bond Index ETF (ZFS.TO) and BMO S&P 500 Index ETF (ZSP.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.

ZFS.TOZSP.TODifference
Sharpe ratioReturn per unit of total volatility
1.24
2.24

-1.00

Sortino ratioReturn per unit of downside risk
1.73
3.05

-1.33

Omega ratioGain probability vs. loss probability

1.24

1.41

-0.17

Calmar ratioReturn relative to maximum drawdown

1.63

3.15

-1.52

Martin ratioReturn relative to average drawdown

5.19

11.67

-6.48

ZFS.TO vs. ZSP.TO - Sharpe Ratio Comparison

The current ZFS.TO Sharpe Ratio is 1.24, which is lower than the ZSP.TO Sharpe Ratio of 2.24. The chart below compares the historical Sharpe Ratios of ZFS.TO and ZSP.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

ZFS.TO vs. ZSP.TO - Drawdown Comparison

The maximum ZFS.TO drawdown since its inception was -6.80%, smaller than the maximum ZSP.TO drawdown of -26.94%. Use the drawdown chart below to compare losses from any high point for ZFS.TO and ZSP.TO.

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Drawdown Indicators

ZFS.TOZSP.TODifference

Max Drawdown

Largest peak-to-trough decline

-6.80%

-26.94%

+20.14%

Max Drawdown (1Y)

Largest decline over 1 year

-1.50%

-8.61%

+7.11%

Max Drawdown (3Y)

Largest decline over 3 years

-1.50%

-18.95%

+17.45%

Max Drawdown (5Y)

Largest decline over 5 years

-6.43%

-22.25%

+15.82%

Max Drawdown (10Y)

Largest decline over 10 years

-6.80%

-26.94%

+20.14%

Current Drawdown

Current decline from peak

-0.01%

-0.09%

+0.08%

Average Drawdown

Average peak-to-trough decline

-1.07%

-3.33%

+2.26%

Ulcer Index

Depth and duration of drawdowns from previous peaks

0.48%

2.32%

-1.84%

Volatility

ZFS.TO vs. ZSP.TO - Volatility Comparison

The current volatility for BMO Short Federal Bond Index ETF (ZFS.TO) is 0.49%, while BMO S&P 500 Index ETF (ZSP.TO) has a volatility of 4.81%. This indicates that ZFS.TO experiences smaller price fluctuations and is considered to be less risky than ZSP.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

ZFS.TOZSP.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

0.49%

4.81%

-4.32%

Volatility (6M)

Calculated over the trailing 6-month period

1.58%

9.58%

-8.00%

Volatility (1Y)

Calculated over the trailing 1-year period

1.97%

12.11%

-10.14%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

2.64%

15.08%

-12.44%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

2.27%

16.39%

-14.12%

Dividends

ZFS.TO vs. ZSP.TO - Dividend Comparison

ZFS.TO's dividend yield for the trailing twelve months is around 2.54%, more than ZSP.TO's 0.76% yield.

PositionTTM20252024202320222021202020192018201720162015
ZFS.TO
BMO Short Federal Bond Index ETF		2.54%2.41%2.06%1.96%1.99%1.88%1.81%1.86%1.59%1.59%1.77%1.90%
ZSP.TO
BMO S&P 500 Index ETF		0.76%0.82%0.94%1.33%1.44%1.15%1.45%1.48%1.68%1.68%2.23%1.60%

Frequently Asked Questions

ZFS.TO and ZSP.TO have a correlation of 0.24, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

ZFS.TO is categorized as Government Bonds, while ZSP.TO is S&P 500.

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