ZLI.TO vs. XEF.TO
ZLI.TO (BMO Low Volatility International Equity ETF) and XEF.TO (iShares Core MSCI EAFE IMI Index ETF) are both Foreign Large Cap Equities funds. ZLI.TO is actively managed, while XEF.TO is passively managed. Over the past 10 years, ZLI.TO returned 5.46%/yr vs 9.77%/yr for XEF.TO. A 0.66 correlation means they provide meaningful diversification when combined. ZLI.TO charges 0.40%/yr vs 0.23%/yr for XEF.TO.
Performance
ZLI.TO vs. XEF.TO - Performance Comparison
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Returns By Period
In the year-to-date period, ZLI.TO achieves a 0.78% return, which is significantly lower than XEF.TO's 9.95% return. Over the past 10 years, ZLI.TO has underperformed XEF.TO with an annualized return of 5.46%, while XEF.TO has yielded a comparatively higher 9.77% annualized return.
ZLI.TO
- 1D
- -0.17%
- 1M
- 0.17%
- YTD
- 0.78%
- 6M
- -0.15%
- 1Y
- -0.04%
- 3Y*
- 9.46%
- 5Y*
- 5.73%
- 10Y*
- 5.46%
XEF.TO
- 1D
- -0.41%
- 1M
- 5.38%
- YTD
- 9.95%
- 6M
- 10.72%
- 1Y
- 23.12%
- 3Y*
- 17.83%
- 5Y*
- 10.89%
- 10Y*
- 9.77%
ZLI.TO vs. XEF.TO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ZLI.TO BMO Low Volatility International Equity ETF | 0.78% | 12.93% | 11.92% | 9.08% | -9.81% | 6.78% | -0.89% | 9.70% | 4.88% | 13.87% |
XEF.TO iShares Core MSCI EAFE IMI Index ETF | 9.95% | 25.69% | 12.04% | 15.21% | -9.53% | 10.36% | 6.13% | 15.86% | -6.65% | 18.19% |
Correlation
The correlation between ZLI.TO and XEF.TO is 0.71, 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 | 0.71 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.64 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.63 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.67 |
Correlation (All Time) Calculated using the full available price history since Sep 10, 2015 | 0.66 |
The correlation between ZLI.TO and XEF.TO has been stable across timeframes, ranging from 0.63 to 0.71 - a consistent structural relationship.
ZLI.TO vs. XEF.TO - Sectors Allocation Comparison
Sectors
ZLI.TO
XEF.TO
Financial Services
Consumer Defensive
Communication Services
Healthcare
Industrials
Utilities
Real Estate
Technology
Consumer Cyclical
Basic Materials
Energy
Financial Services
ZLI.TO
XEF.TO
Consumer Defensive
ZLI.TO
XEF.TO
Communication Services
ZLI.TO
XEF.TO
Healthcare
ZLI.TO
XEF.TO
Industrials
ZLI.TO
XEF.TO
Utilities
ZLI.TO
XEF.TO
Real Estate
ZLI.TO
XEF.TO
Technology
ZLI.TO
XEF.TO
Consumer Cyclical
ZLI.TO
XEF.TO
Basic Materials
ZLI.TO
XEF.TO
Energy
ZLI.TO
XEF.TO
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Return for Risk
ZLI.TO vs. XEF.TO — Risk / Return Rank
ZLI.TO
XEF.TO
ZLI.TO vs. XEF.TO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for BMO Low Volatility International Equity ETF (ZLI.TO) and iShares Core MSCI EAFE IMI Index ETF (XEF.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.
| ZLI.TO | XEF.TO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.68 | ||
| Sortino ratioReturn per unit of downside risk | -2.35 | ||
| Omega ratioGain probability vs. loss probability | 1.01 | 1.31 | -0.30 |
| Calmar ratioReturn relative to maximum drawdown | -0.01 | 2.06 | -2.07 |
| Martin ratioReturn relative to average drawdown | -0.01 | 8.22 | -8.24 |
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
| ZLI.TO | XEF.TO | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.00 | 1.68 | -1.68 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.53 | 0.81 | -0.27 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.44 | 0.66 | -0.22 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.48 | 0.71 | -0.22 |
Drawdowns
ZLI.TO vs. XEF.TO - Drawdown Comparison
The maximum ZLI.TO drawdown since its inception was -24.67%, smaller than the maximum XEF.TO drawdown of -28.51%. Use the drawdown chart below to compare losses from any high point for ZLI.TO and XEF.TO.
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Drawdown Indicators
| ZLI.TO | XEF.TO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -24.67% | -28.51% | +3.84% |
Max Drawdown (1Y)Largest decline over 1 year | -8.37% | -11.27% | +2.90% |
Max Drawdown (3Y)Largest decline over 3 years | -8.37% | -14.32% | +5.95% |
Max Drawdown (5Y)Largest decline over 5 years | -24.67% | -24.58% | -0.09% |
Max Drawdown (10Y)Largest decline over 10 years | -24.67% | -28.51% | +3.84% |
Current DrawdownCurrent decline from peak | -6.78% | -1.09% | -5.69% |
Average DrawdownAverage peak-to-trough decline | -4.99% | -4.62% | -0.37% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.29% | 2.82% | +0.47% |
Volatility
ZLI.TO vs. XEF.TO - Volatility Comparison
The current volatility for BMO Low Volatility International Equity ETF (ZLI.TO) is 3.58%, while iShares Core MSCI EAFE IMI Index ETF (XEF.TO) has a volatility of 4.77%. This indicates that ZLI.TO experiences smaller price fluctuations and is considered to be less risky than XEF.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ZLI.TO | XEF.TO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.58% | 4.77% | -1.19% |
Volatility (6M)Calculated over the trailing 6-month period | 8.28% | 11.56% | -3.28% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.30% | 13.85% | -3.55% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.78% | 13.58% | -2.80% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.41% | 14.85% | -2.44% |
ZLI.TO vs. XEF.TO - Expense Ratio Comparison
ZLI.TO has a 0.40% expense ratio, which is higher than XEF.TO's 0.23% expense ratio.
Dividends
ZLI.TO vs. XEF.TO - Dividend Comparison
ZLI.TO's dividend yield for the trailing twelve months is around 2.23%, which matches XEF.TO's 2.21% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
XEF.TO iShares Core MSCI EAFE IMI Index ETF | 2.21% | 2.43% | 2.76% | 2.75% | 2.93% | 2.42% | 1.93% | 2.72% | 2.76% | 2.10% | 2.42% | 2.42% |
ZLI.TO BMO Low Volatility International Equity ETF | 2.23% | 2.24% | 2.47% | 2.69% | 2.86% | 2.50% | 2.65% | 2.35% | 2.48% | 2.21% | 2.49% | 0.91% |
Frequently Asked Questions
ZLI.TO and XEF.TO have a correlation of 0.71, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
On fees, XEF.TO is cheaper at 0.23% per year. The better choice depends on whether you care most about return, fees, risk, or income.
XEF.TO is cheaper with a 0.23% expense ratio, compared with 0.40% for ZLI.TO.
They also come from different issuers: BMO and iShares. Their fees differ too: 0.40% for ZLI.TO and 0.23% for XEF.TO.
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