ZLB.TO vs. ZSP.TO
ZLB.TO (BMO Low Volatility Canadian Equity ETF) and ZSP.TO (BMO S&P 500 Index ETF) are both exchange-traded funds - ZLB.TO is a Canada Equities fund actively managed by BMO, while ZSP.TO is a S&P 500 fund tracking the S&P 500 Index. ZLB.TO is actively managed, while ZSP.TO is passively managed. Over the past 10 years, ZLB.TO returned 10.67%/yr vs 15.98%/yr for ZSP.TO. A 0.55 correlation means they provide meaningful diversification when combined. ZLB.TO charges 0.39%/yr vs 0.09%/yr for ZSP.TO.
Performance
ZLB.TO vs. ZSP.TO - Performance Comparison
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Returns By Period
In the year-to-date period, ZLB.TO achieves a 3.14% return, which is significantly lower than ZSP.TO's 12.15% return. Over the past 10 years, ZLB.TO has underperformed ZSP.TO with an annualized return of 10.67%, while ZSP.TO has yielded a comparatively higher 15.98% annualized return.
ZLB.TO
- 1D
- 0.03%
- 1M
- 1.40%
- YTD
- 3.14%
- 6M
- 4.82%
- 1Y
- 14.81%
- 3Y*
- 15.17%
- 5Y*
- 11.61%
- 10Y*
- 10.67%
ZSP.TO
- 1D
- -0.29%
- 1M
- 7.18%
- YTD
- 12.15%
- 6M
- 10.04%
- 1Y
- 28.96%
- 3Y*
- 23.44%
- 5Y*
- 16.74%
- 10Y*
- 15.98%
ZLB.TO vs. ZSP.TO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ZLB.TO BMO Low Volatility Canadian Equity ETF | 3.14% | 25.29% | 15.31% | 9.41% | -0.35% | 22.93% | 1.51% | 21.92% | -2.76% | 11.07% |
ZSP.TO BMO S&P 500 Index ETF | 12.15% | 12.02% | 35.07% | 23.30% | -12.68% | 27.53% | 15.61% | 24.69% | 3.24% | 13.54% |
Correlation
The correlation between ZLB.TO and ZSP.TO is 0.36, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.36 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.44 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.51 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.54 |
Correlation (All Time) Calculated using the full available price history since Nov 27, 2012 | 0.55 |
The correlation between ZLB.TO and ZSP.TO shifts across timeframes, from 0.36 (1 year) to 0.55 (all time), reflecting how their relationship changes across market environments.
ZLB.TO vs. ZSP.TO - Sectors Allocation Comparison
Sectors
ZLB.TO
ZSP.TO
Financial Services
Consumer Defensive
Utilities
Industrials
Communication Services
Consumer Cyclical
Basic Materials
Real Estate
Technology
Energy
-
Healthcare
-
Financial Services
ZLB.TO
ZSP.TO
Consumer Defensive
ZLB.TO
ZSP.TO
Utilities
ZLB.TO
ZSP.TO
Industrials
ZLB.TO
ZSP.TO
Communication Services
ZLB.TO
ZSP.TO
Consumer Cyclical
ZLB.TO
ZSP.TO
Basic Materials
ZLB.TO
ZSP.TO
Real Estate
ZLB.TO
ZSP.TO
Technology
ZLB.TO
ZSP.TO
Energy
ZLB.TO
-
ZSP.TO
Healthcare
ZLB.TO
-
ZSP.TO
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Return for Risk
ZLB.TO vs. ZSP.TO — Risk / Return Rank
ZLB.TO
ZSP.TO
ZLB.TO vs. ZSP.TO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for BMO Low Volatility Canadian Equity ETF (ZLB.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.
| ZLB.TO | ZSP.TO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.73 | ||
| Sortino ratioReturn per unit of downside risk | -0.76 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 1.47 | -0.14 |
| Calmar ratioReturn relative to maximum drawdown | 2.77 | 3.38 | -0.60 |
| Martin ratioReturn relative to average drawdown | 10.29 | 12.70 | -2.41 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| ZLB.TO | ZSP.TO | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.80 | 2.53 | -0.73 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.24 | 1.13 | +0.11 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.88 | 0.98 | -0.10 |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.14 | 1.15 | -0.01 |
Drawdowns
ZLB.TO vs. ZSP.TO - Drawdown Comparison
The maximum ZLB.TO drawdown since its inception was -33.96%, which is greater than ZSP.TO's maximum drawdown of -26.94%. Use the drawdown chart below to compare losses from any high point for ZLB.TO and ZSP.TO.
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Drawdown Indicators
| ZLB.TO | ZSP.TO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.96% | -26.94% | -7.02% |
Max Drawdown (1Y)Largest decline over 1 year | -5.36% | -8.61% | +3.25% |
Max Drawdown (3Y)Largest decline over 3 years | -8.01% | -18.95% | +10.94% |
Max Drawdown (5Y)Largest decline over 5 years | -13.00% | -22.25% | +9.25% |
Max Drawdown (10Y)Largest decline over 10 years | -33.96% | -26.94% | -7.02% |
Current DrawdownCurrent decline from peak | -1.70% | -0.29% | -1.41% |
Average DrawdownAverage peak-to-trough decline | -2.46% | -3.34% | +0.88% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.45% | 2.29% | -0.84% |
Volatility
ZLB.TO vs. ZSP.TO - Volatility Comparison
The current volatility for BMO Low Volatility Canadian Equity ETF (ZLB.TO) is 2.47%, while BMO S&P 500 Index ETF (ZSP.TO) has a volatility of 3.14%. This indicates that ZLB.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
| ZLB.TO | ZSP.TO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.47% | 3.14% | -0.67% |
Volatility (6M)Calculated over the trailing 6-month period | 6.38% | 8.65% | -2.27% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.29% | 11.53% | -3.24% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.44% | 14.97% | -5.53% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.15% | 16.36% | -4.21% |
ZLB.TO vs. ZSP.TO - Expense Ratio Comparison
ZLB.TO has a 0.39% expense ratio, which is higher than ZSP.TO's 0.09% expense ratio.
Dividends
ZLB.TO vs. ZSP.TO - Dividend Comparison
ZLB.TO's dividend yield for the trailing twelve months is around 1.88%, more than ZSP.TO's 0.75% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ZLB.TO BMO Low Volatility Canadian Equity ETF | 1.88% | 1.93% | 2.37% | 2.67% | 2.66% | 2.39% | 2.83% | 2.44% | 2.76% | 2.52% | 2.94% | 2.34% |
ZSP.TO BMO S&P 500 Index ETF | 0.75% | 0.82% | 0.94% | 1.33% | 1.44% | 1.15% | 1.44% | 1.47% | 1.63% | 1.63% | 2.20% | 1.53% |
Frequently Asked Questions
ZLB.TO and ZSP.TO have a correlation of 0.36, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
On fees, ZSP.TO is cheaper at 0.09% per year. The better choice depends on whether you care most about return, fees, risk, or income.
ZSP.TO is cheaper with a 0.09% expense ratio, compared with 0.39% for ZLB.TO.
ZLB.TO is categorized as Canada Equities, while ZSP.TO is S&P 500. Their fees differ too: 0.39% for ZLB.TO and 0.09% for ZSP.TO.
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