ZGQ.TO vs. DRFG.TO
ZGQ.TO (BMO MSCI All Country World High Quality Index ETF) and DRFG.TO (Desjardins RI Global Multifactor Fossil Fuel Reserves Free ETF) are both Global Equities funds. ZGQ.TO is passively managed, while DRFG.TO is actively managed. Over the past 5 years, ZGQ.TO returned 12.16%/yr vs 13.44%/yr for DRFG.TO. At a 0.45 correlation, their price movements are largely independent.
Performance
ZGQ.TO vs. DRFG.TO - Performance Comparison
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Returns By Period
In the year-to-date period, ZGQ.TO achieves a 12.75% return, which is significantly lower than DRFG.TO's 13.90% return.
ZGQ.TO
- 1D
- -1.52%
- 1M
- -0.95%
- 6M
- 8.24%
- YTD
- 12.75%
- 1Y
- 20.06%
- 3Y*
- 18.91%
- 5Y*
- 12.16%
- 10Y*
- 14.72%
DRFG.TO
- 1D
- -0.94%
- 1M
- -1.27%
- 6M
- 10.30%
- YTD
- 13.90%
- 1Y
- 29.11%
- 3Y*
- 23.18%
- 5Y*
- 13.44%
- 10Y*
- —
ZGQ.TO vs. DRFG.TO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
ZGQ.TO BMO MSCI All Country World High Quality Index ETF | 12.75% | 8.06% | 29.51% | 29.44% | -18.72% | 21.48% | 22.46% | 17.33% |
DRFG.TO Desjardins RI Global Multifactor Fossil Fuel Reserves Free ETF | 13.90% | 24.31% | 26.78% | 12.68% | -12.16% | 17.99% | 7.88% | 8.78% |
Correlation
The correlation between ZGQ.TO and DRFG.TO is 0.74, 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 | 0.74 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.53 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.45 |
Correlation (All Time) Calculated using the full available price history since Mar 6, 2019 | 0.45 |
Over the past year, ZGQ.TO and DRFG.TO have become more correlated (0.74) than their long-term average of 0.45, meaning their price movements have been converging.
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Return for Risk
ZGQ.TO vs. DRFG.TO — Risk / Return Rank
ZGQ.TO
DRFG.TO
ZGQ.TO vs. DRFG.TO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for BMO MSCI All Country World High Quality Index ETF (ZGQ.TO) and Desjardins RI Global Multifactor Fossil Fuel Reserves Free ETF (DRFG.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.
| ZGQ.TO | DRFG.TO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.88 | ||
| Sortino ratioReturn per unit of downside risk | -1.17 | ||
| Omega ratioGain probability vs. loss probability | 1.26 | 1.41 | -0.15 |
| Calmar ratioReturn relative to maximum drawdown | 2.18 | 3.48 | -1.30 |
| Martin ratioReturn relative to average drawdown | 8.64 | 13.73 | -5.08 |
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Drawdowns
ZGQ.TO vs. DRFG.TO - Drawdown Comparison
The maximum ZGQ.TO drawdown since its inception was -26.67%, roughly equal to the maximum DRFG.TO drawdown of -27.73%. Use the drawdown chart below to compare losses from any high point for ZGQ.TO and DRFG.TO.
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Drawdown Indicators
| ZGQ.TO | DRFG.TO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -26.67% | -27.73% | +1.06% |
Max Drawdown (1Y)Largest decline over 1 year | -9.22% | -8.40% | -0.82% |
Max Drawdown (3Y)Largest decline over 3 years | -18.35% | -16.44% | -1.91% |
Max Drawdown (5Y)Largest decline over 5 years | -26.67% | -21.09% | -5.58% |
Max Drawdown (10Y)Largest decline over 10 years | -26.67% | — | — |
Current DrawdownCurrent decline from peak | -3.45% | -2.91% | -0.54% |
Average DrawdownAverage peak-to-trough decline | -4.45% | -4.62% | +0.17% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.33% | 2.13% | +0.20% |
Volatility
ZGQ.TO vs. DRFG.TO - Volatility Comparison
BMO MSCI All Country World High Quality Index ETF (ZGQ.TO) has a higher volatility of 3.86% compared to Desjardins RI Global Multifactor Fossil Fuel Reserves Free ETF (DRFG.TO) at 3.31%. This indicates that ZGQ.TO's price experiences larger fluctuations and is considered to be riskier than DRFG.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ZGQ.TO | DRFG.TO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.86% | 3.31% | +0.55% |
Volatility (6M)Calculated over the trailing 6-month period | 11.90% | 10.85% | +1.05% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.68% | 12.99% | +1.69% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.97% | 12.73% | +3.24% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.17% | 14.24% | +1.93% |
Dividends
ZGQ.TO vs. DRFG.TO - Dividend Comparison
ZGQ.TO's dividend yield for the trailing twelve months is around 0.49%, less than DRFG.TO's 1.57% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DRFG.TO Desjardins RI Global Multifactor Fossil Fuel Reserves Free ETF | 1.57% | 2.14% | 1.40% | 1.49% | 1.58% | 1.37% | 1.59% | 1.68% | 0.00% | 0.00% | 0.00% | 0.00% |
ZGQ.TO BMO MSCI All Country World High Quality Index ETF | 0.49% | 0.62% | 0.93% | 1.38% | 1.39% | 0.89% | 1.03% | 1.13% | 1.58% | 1.15% | 1.40% | 1.13% |
Frequently Asked Questions
ZGQ.TO and DRFG.TO have a correlation of 0.74, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
They also come from different issuers: BMO and Desjardins.
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