ZLH.TO vs. ESGY.TO

Last updated Jul 14, 2026

ZLH.TO (BMO Low Volatility US Equity Hedged to CAD ETF) and ESGY.TO (BMO MSCI USA Selection Equity Index ETF) are both Large Cap Blend Equities funds from BMO. Over the past 5 years, ZLH.TO returned 7.04%/yr vs 15.48%/yr for ESGY.TO. At a 0.27 correlation, their price movements are largely independent.

Performance

ZLH.TO vs. ESGY.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in BMO Low Volatility US Equity Hedged to CAD ETF (ZLH.TO) and BMO MSCI USA Selection Equity Index ETF (ESGY.TO). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ZLH.TO achieves a 10.70% return, which is significantly lower than ESGY.TO's 12.54% return.

ZLH.TO

• 1D: 0.45%
• 1M: 1.77%
• 6M: 9.80%
• YTD: 10.70%
• 1Y: 10.45%
• 3Y*: 9.07%
• 5Y*: 7.04%
• 10Y*: 7.49%

ESGY.TO

• 1D: -0.09%
• 1M: 3.00%
• 6M: 9.73%
• YTD: 12.54%
• 1Y: 26.13%
• 3Y*: 22.66%
• 5Y*: 15.48%
• 10Y*: —

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

ZLH.TO vs. ESGY.TO - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
ZLH.TO BMO Low Volatility US Equity Hedged to CAD ETF	10.70%	5.90%	10.95%	-2.11%	0.20%	22.07%	-0.67%
ESGY.TO BMO MSCI USA Selection Equity Index ETF	12.54%	13.67%	33.83%	26.54%	-15.46%	30.67%	11.27%

Correlation

The correlation between ZLH.TO and ESGY.TO is 0.16, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.16
Correlation (3Y) Calculated over the trailing 3-year period	0.18
Correlation (5Y) Calculated over the trailing 5-year period	0.27
Correlation (All Time) Calculated using the full available price history since Jan 21, 2020	0.27

The correlation between ZLH.TO and ESGY.TO shifts across timeframes, from 0.16 (1 year) to 0.27 (all time), reflecting how their relationship changes across market environments.

ZLH.TO vs. ESGY.TO - Sectors Allocation Comparison

Sectors	ZLH.TO	ESGY.TO
Utilities	20.7%	1.0%
Technology	18.7%	39.6%
Healthcare	17.8%	9.7%
Consumer Defensive	12.4%	4.0%
Financial Services	11.7%	10.0%
Industrials	6.3%	7.7%
Real Estate	3.4%	2.1%
Consumer Cyclical	3.2%	8.5%
Communication Services	3.0%	13.7%
Basic Materials	2.2%	2.0%
Energy	0.7%	1.9%

Return for Risk

ZLH.TO vs. ESGY.TO — Risk / Return Rank

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

ZLH.TO

ZLH.TO Risk / Return Rank: 32
ZLH.TO Sharpe Ratio Rank: 33
ZLH.TO Sortino Ratio Rank: 29
ZLH.TO Omega Ratio Rank: 34
ZLH.TO Calmar Ratio Rank: 35
ZLH.TO Martin Ratio Rank: 30

ESGY.TO

ESGY.TO Risk / Return Rank: 74
ESGY.TO Sharpe Ratio Rank: 81
ESGY.TO Sortino Ratio Rank: 84
ESGY.TO Omega Ratio Rank: 80
ESGY.TO Calmar Ratio Rank: 62
ESGY.TO Martin Ratio Rank: 64

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.

ZLH.TO vs. ESGY.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for BMO Low Volatility US Equity Hedged to CAD ETF (ZLH.TO) and BMO MSCI USA Selection Equity Index ETF (ESGY.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.

	ZLH.TO	ESGY.TO	Difference
Sharpe ratio: Return per unit of total volatility	0.98	2.05	-1.07
Sortino ratio: Return per unit of downside risk	1.33	2.98	-1.65
Omega ratio: Gain probability vs. loss probability	1.19	1.37	-0.19
Calmar ratio: Return relative to maximum drawdown	1.43	2.47	-1.04
Martin ratio: Return relative to average drawdown	3.47	8.95	-5.49

ZLH.TO vs. ESGY.TO - Sharpe Ratio Comparison

The current ZLH.TO Sharpe Ratio is 0.98, which is lower than the ESGY.TO Sharpe Ratio of 2.05. The chart below compares the historical Sharpe Ratios of ZLH.TO and ESGY.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.

Drawdowns

ZLH.TO vs. ESGY.TO - Drawdown Comparison

The maximum ZLH.TO drawdown since its inception was -33.34%, which is greater than ESGY.TO's maximum drawdown of -26.36%. Use the drawdown chart below to compare losses from any high point for ZLH.TO and ESGY.TO.

Drawdown Indicators

	ZLH.TO	ESGY.TO	Difference
Max Drawdown Largest peak-to-trough decline	-33.34%	-26.36%	-6.98%
Max Drawdown (1Y) Largest decline over 1 year	-7.35%	-10.62%	+3.27%
Max Drawdown (3Y) Largest decline over 3 years	-10.17%	-20.83%	+10.66%
Max Drawdown (5Y) Largest decline over 5 years	-14.66%	-22.89%	+8.23%
Max Drawdown (10Y) Largest decline over 10 years	-33.34%	—	—
Current Drawdown Current decline from peak	-0.67%	-0.92%	+0.25%
Average Drawdown Average peak-to-trough decline	-3.90%	-5.25%	+1.35%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.02%	2.93%	+0.09%

Volatility

ZLH.TO vs. ESGY.TO - Volatility Comparison

BMO Low Volatility US Equity Hedged to CAD ETF (ZLH.TO) has a higher volatility of 4.01% compared to BMO MSCI USA Selection Equity Index ETF (ESGY.TO) at 3.81%. This indicates that ZLH.TO's price experiences larger fluctuations and is considered to be riskier than ESGY.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ZLH.TO	ESGY.TO	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.01%	3.81%	+0.20%
Volatility (6M) Calculated over the trailing 6-month period	7.61%	9.94%	-2.33%
Volatility (1Y) Calculated over the trailing 1-year period	10.69%	12.82%	-2.13%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.25%	15.61%	-3.36%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	13.83%	16.83%	-3.00%

Dividends

ZLH.TO vs. ESGY.TO - Dividend Comparison

ZLH.TO's dividend yield for the trailing twelve months is around 1.71%, more than ESGY.TO's 0.61% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
ESGY.TO BMO MSCI USA Selection Equity Index ETF	0.61%	0.66%	0.79%	1.16%	1.34%	1.12%	1.44%	0.00%	0.00%	0.00%	0.00%
ZLH.TO BMO Low Volatility US Equity Hedged to CAD ETF	1.71%	1.92%	2.25%	2.45%	2.12%	1.84%	1.95%	1.55%	2.00%	1.93%	2.02%

Frequently Asked Questions

Can I hold both ZLH.TO and ESGY.TO in my portfolio?

ZLH.TO and ESGY.TO have a correlation of 0.16, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.