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ZLI.TO vs. ZWE.TO
Performance
Return for Risk
Dividends
Drawdowns
Volatility

ZLI.TO vs. ZWE.TO

Last updated Apr 1, 2026

Compare and contrast key facts about BMO Low Volatility International Equity ETF (ZLI.TO) and BMO Europe High Dividend Covered Call Hedged to CAD ETF (ZWE.TO).

ZLI.TO and ZWE.TO are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. ZLI.TO is an actively managed fund by BMO. It was launched on Sep 2, 2015. ZWE.TO is an actively managed fund by BMO. It was launched on Sep 2, 2015.

Performance

ZLI.TO vs. ZWE.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in BMO Low Volatility International Equity ETF (ZLI.TO) and BMO Europe High Dividend Covered Call Hedged to CAD ETF (ZWE.TO). The values are adjusted to include any dividend payments, if applicable.

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ZLI.TO vs. ZWE.TO - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
ZLI.TO
BMO Low Volatility International Equity ETF		2.60%12.93%11.92%9.08%-9.81%6.78%-0.89%9.70%4.88%13.87%
ZWE.TO
BMO Europe High Dividend Covered Call Hedged to CAD ETF		-0.59%14.25%7.16%14.84%0.29%19.26%-8.67%22.06%-10.78%11.22%

Returns By Period

In the year-to-date period, ZLI.TO achieves a 2.60% return, which is significantly higher than ZWE.TO's -0.59% return. Over the past 10 years, ZLI.TO has underperformed ZWE.TO with an annualized return of 5.84%, while ZWE.TO has yielded a comparatively higher 8.24% annualized return.

ZLI.TO

1D
1.81%
1M
-5.09%
YTD
2.60%
6M
1.49%
1Y
6.89%
3Y*
10.15%
5Y*
6.50%
10Y*
5.84%

ZWE.TO

1D
2.38%
1M
-5.74%
YTD
-0.59%
6M
4.72%
1Y
7.56%
3Y*
9.13%
5Y*
9.12%
10Y*
8.24%
*Multi-year figures are annualized to reflect compound growth (CAGR)

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BMO Low Volatility International Equity ETF

BMO Europe High Dividend Covered Call Hedged to CAD ETF

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ZLI.TO vs. ZWE.TO - Expense Ratio Comparison

ZLI.TO has a 0.40% expense ratio, which is lower than ZWE.TO's 0.65% expense ratio.

ZWE.TO
BMO Europe High Dividend Covered Call Hedged to CAD ETF
ZLI.TO
BMO Low Volatility International Equity ETF

Return for Risk

ZLI.TO vs. ZWE.TO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
ZLI.TO
ZLI.TO Risk / Return Rank: 3030
Overall Rank
ZLI.TO Sharpe Ratio Rank: 3131
Sharpe Ratio Rank
ZLI.TO Sortino Ratio Rank: 3030
Sortino Ratio Rank
ZLI.TO Omega Ratio Rank: 2929
Omega Ratio Rank
ZLI.TO Calmar Ratio Rank: 3131
Calmar Ratio Rank
ZLI.TO Martin Ratio Rank: 2929
Martin Ratio Rank
ZWE.TO
ZWE.TO Risk / Return Rank: 2727
Overall Rank
ZWE.TO Sharpe Ratio Rank: 2929
Sharpe Ratio Rank
ZWE.TO Sortino Ratio Rank: 2626
Sortino Ratio Rank
ZWE.TO Omega Ratio Rank: 2828
Omega Ratio Rank
ZWE.TO Calmar Ratio Rank: 2626
Calmar Ratio Rank
ZWE.TO Martin Ratio Rank: 2525
Martin Ratio Rank
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.

ZLI.TO vs. ZWE.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 BMO Europe High Dividend Covered Call Hedged to CAD ETF (ZWE.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.TOZWE.TODifference

Sharpe ratio

Return per unit of total volatility

0.58

0.52

+0.06

Sortino ratio

Return per unit of downside risk

0.87

0.77

+0.11

Omega ratio

Gain probability vs. loss probability

1.12

1.11

+0.01

Calmar ratio

Return relative to maximum drawdown

0.78

0.59

+0.18

Martin ratio

Return relative to average drawdown

2.50

1.98

+0.52

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ZLI.TO vs. ZWE.TO - Sharpe Ratio Comparison

The current ZLI.TO Sharpe Ratio is 0.58, which is comparable to the ZWE.TO Sharpe Ratio of 0.52. The chart below compares the historical Sharpe Ratios of ZLI.TO and ZWE.TO, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

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Sharpe Ratios by Period

ZLI.TOZWE.TODifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

0.58

0.52

+0.06

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.61

0.74

-0.12

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.47

0.54

-0.06

Sharpe Ratio (All Time)

Calculated using the full available price history

0.50

0.47

+0.03

Correlation

The correlation between ZLI.TO and ZWE.TO is 0.44, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Dividends

ZLI.TO vs. ZWE.TO - Dividend Comparison

ZLI.TO's dividend yield for the trailing twelve months is around 2.19%, less than ZWE.TO's 6.97% yield.

TTM20252024202320222021202020192018201720162015
ZLI.TO
BMO Low Volatility International Equity ETF		2.19%2.24%2.47%2.69%2.86%2.50%2.65%2.35%2.48%2.21%2.49%0.91%
ZWE.TO
BMO Europe High Dividend Covered Call Hedged to CAD ETF		6.97%6.81%7.25%7.25%6.98%6.30%7.74%6.53%7.59%6.49%6.76%2.32%

Drawdowns

ZLI.TO vs. ZWE.TO - Drawdown Comparison

The maximum ZLI.TO drawdown since its inception was -24.67%, smaller than the maximum ZWE.TO drawdown of -35.38%. Use the drawdown chart below to compare losses from any high point for ZLI.TO and ZWE.TO.

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Drawdown Indicators

ZLI.TOZWE.TODifference

Max Drawdown

Largest peak-to-trough decline

-24.67%

-35.38%

+10.71%

Max Drawdown (1Y)

Largest decline over 1 year

-8.37%

-9.65%

+1.28%

Max Drawdown (5Y)

Largest decline over 5 years

-24.67%

-13.60%

-11.07%

Max Drawdown (10Y)

Largest decline over 10 years

-24.67%

-35.38%

+10.71%

Current Drawdown

Current decline from peak

-5.09%

-6.20%

+1.11%

Average Drawdown

Average peak-to-trough decline

-4.99%

-4.16%

-0.83%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.60%

2.90%

-0.30%

Volatility

ZLI.TO vs. ZWE.TO - Volatility Comparison

The current volatility for BMO Low Volatility International Equity ETF (ZLI.TO) is 5.34%, while BMO Europe High Dividend Covered Call Hedged to CAD ETF (ZWE.TO) has a volatility of 6.28%. This indicates that ZLI.TO experiences smaller price fluctuations and is considered to be less risky than ZWE.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.TOZWE.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

5.34%

6.28%

-0.94%

Volatility (6M)

Calculated over the trailing 6-month period

7.59%

8.53%

-0.94%

Volatility (1Y)

Calculated over the trailing 1-year period

11.89%

14.64%

-2.75%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

10.70%

12.48%

-1.78%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

12.39%

15.47%

-3.08%