ZGQ.TO vs. GAA

Last updated Jun 26, 2026

ZGQ.TO (BMO MSCI All Country World High Quality Index ETF) and GAA (Cambria Global Asset Allocation ETF) are both exchange-traded funds - ZGQ.TO is a Global Equities fund tracking the MSCI All Country World High Quality Index, while GAA is a Diversified Portfolio fund actively managed by Cambria. ZGQ.TO is passively managed, while GAA is actively managed. Over the past 10 years, ZGQ.TO returned 15.52%/yr vs 8.65%/yr for GAA. At a 0.34 correlation, their price movements are largely independent. ZGQ.TO charges 0.50%/yr vs 0.41%/yr for GAA.

Performance

ZGQ.TO vs. GAA - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in BMO MSCI All Country World High Quality Index ETF (ZGQ.TO) and Cambria Global Asset Allocation ETF (GAA). The values are adjusted to include any dividend payments, if applicable.

Different Trading Currencies

ZGQ.TO is traded in CAD, while GAA is traded in USD. To make them comparable, the GAA values have been converted to CAD using the latest available exchange rates.

Returns By Period

In the year-to-date period, ZGQ.TO achieves a 13.01% return, which is significantly higher than GAA's 11.69% return. Over the past 10 years, ZGQ.TO has outperformed GAA with an annualized return of 15.52%, while GAA has yielded a comparatively lower 8.65% annualized return.

ZGQ.TO

• 1D: -0.24%
• 1M: 0.45%
• YTD: 13.01%
• 6M: 8.84%
• 1Y: 23.33%
• 3Y*: 21.05%
• 5Y*: 13.14%
• 10Y*: 15.52%

GAA

• 1D: 0.25%
• 1M: 1.25%
• YTD: 11.69%
• 6M: 10.81%
• 1Y: 22.02%
• 3Y*: 16.17%
• 5Y*: 9.29%
• 10Y*: 8.65%

*Multi-year figures are annualized to reflect compound growth (CAGR)

ZGQ.TO vs. GAA - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ZGQ.TO BMO MSCI All Country World High Quality Index ETF	13.01%	8.06%	29.51%	29.44%	-18.72%	21.48%	22.46%	28.96%	-0.05%	19.61%
GAA Cambria Global Asset Allocation ETF	11.69%	13.34%	15.70%	5.09%	-2.67%	11.11%	6.52%	10.38%	0.66%	7.32%

Correlation

The correlation between ZGQ.TO and GAA is 0.45, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.45
Correlation (3Y) Calculated over the trailing 3-year period	0.37
Correlation (5Y) Calculated over the trailing 5-year period	0.34
Correlation (10Y) Calculated over the trailing 10-year period	0.34
Correlation (All Time) Calculated using the full available price history since Dec 10, 2014	0.34

The correlation between ZGQ.TO and GAA shifts across timeframes, from 0.34 (10 years) to 0.45 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

ZGQ.TO vs. GAA — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ZGQ.TO

ZGQ.TO Risk / Return Rank: 58
ZGQ.TO Sharpe Ratio Rank: 55
ZGQ.TO Sortino Ratio Rank: 55
ZGQ.TO Omega Ratio Rank: 57
ZGQ.TO Calmar Ratio Rank: 59
ZGQ.TO Martin Ratio Rank: 64

GAA

GAA Risk / Return Rank: 68
GAA Sharpe Ratio Rank: 67
GAA Sortino Ratio Rank: 66
GAA Omega Ratio Rank: 67
GAA Calmar Ratio Rank: 70
GAA Martin Ratio Rank: 71

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.

ZGQ.TO vs. GAA - 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 Cambria Global Asset Allocation ETF (GAA). 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	GAA	Difference
Sharpe ratio: Return per unit of total volatility	1.62	2.22	-0.60
Sortino ratio: Return per unit of downside risk	2.30	3.08	-0.78
Omega ratio: Gain probability vs. loss probability	1.31	1.40	-0.09
Calmar ratio: Return relative to maximum drawdown	2.54	4.12	-1.58
Martin ratio: Return relative to average drawdown	10.16	15.77	-5.61

ZGQ.TO vs. GAA - Sharpe Ratio Comparison

The current ZGQ.TO Sharpe Ratio is 1.62, which is comparable to the GAA Sharpe Ratio of 2.22. The chart below compares the historical Sharpe Ratios of ZGQ.TO and GAA, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

ZGQ.TO vs. GAA - Drawdown Comparison

The maximum ZGQ.TO drawdown since its inception was -26.67%, which is greater than GAA's maximum drawdown of -19.48%. Use the drawdown chart below to compare losses from any high point for ZGQ.TO and GAA.

Drawdown Indicators

	ZGQ.TO	GAA	Difference
Max Drawdown Largest peak-to-trough decline	-26.67%	-19.48%	-7.19%
Max Drawdown (1Y) Largest decline over 1 year	-9.22%	-5.37%	-3.85%
Max Drawdown (3Y) Largest decline over 3 years	-18.35%	-7.53%	-10.82%
Max Drawdown (5Y) Largest decline over 5 years	-26.67%	-12.23%	-14.44%
Max Drawdown (10Y) Largest decline over 10 years	-26.67%	-19.48%	-7.19%
Current Drawdown Current decline from peak	-1.94%	-1.49%	-0.45%
Average Drawdown Average peak-to-trough decline	-4.47%	-2.44%	-2.03%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.30%	1.40%	+0.90%

Volatility

ZGQ.TO vs. GAA - Volatility Comparison

BMO MSCI All Country World High Quality Index ETF (ZGQ.TO) has a higher volatility of 4.60% compared to Cambria Global Asset Allocation ETF (GAA) at 4.01%. This indicates that ZGQ.TO's price experiences larger fluctuations and is considered to be riskier than GAA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ZGQ.TO	GAA	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.60%	4.01%	+0.59%
Volatility (6M) Calculated over the trailing 6-month period	12.12%	8.32%	+3.80%
Volatility (1Y) Calculated over the trailing 1-year period	14.42%	9.94%	+4.48%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.93%	12.54%	+3.39%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.17%	12.41%	+3.76%

ZGQ.TO vs. GAA - Expense Ratio Comparison

ZGQ.TO has a 0.50% expense ratio, which is higher than GAA's 0.41% expense ratio.

Dividends

ZGQ.TO vs. GAA - Dividend Comparison

ZGQ.TO's dividend yield for the trailing twelve months is around 0.50%, less than GAA's 3.54% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GAA Cambria Global Asset Allocation ETF	3.54%	4.24%	3.88%	3.73%	6.05%	4.21%	2.73%	3.32%	3.01%	2.36%	2.82%	2.49%
ZGQ.TO BMO MSCI All Country World High Quality Index ETF	0.50%	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

Can I hold both ZGQ.TO and GAA in my portfolio?

ZGQ.TO and GAA have a correlation of 0.45, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which ETF is better, ZGQ.TO or GAA?

On fees, GAA is cheaper at 0.41% per year. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF is cheaper, ZGQ.TO or GAA?

GAA is cheaper with a 0.41% expense ratio, compared with 0.50% for ZGQ.TO.

What is the main difference between ZGQ.TO and GAA?

ZGQ.TO is categorized as Global Equities, while GAA is Diversified Portfolio. They also come from different issuers: BMO and Cambria. Their fees differ too: 0.50% for ZGQ.TO and 0.41% for GAA.