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ZMU.TO vs. ZSP.TO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

ZMU.TO vs. ZSP.TO

Last updated Jul 1, 2026
See Documentation

ZMU.TO (BMO Mid-Term US IG Corporate Bond Hedged to CAD Index ETF) and ZSP.TO (BMO S&P 500 Index ETF) are both exchange-traded funds - ZMU.TO is a Corporate Bonds fund managed by BMO, while ZSP.TO is a S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, ZMU.TO returned 1.75%/yr vs 16.20%/yr for ZSP.TO. At a 0.03 correlation, their price movements are largely independent.

Performance

ZMU.TO vs. ZSP.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in BMO Mid-Term US IG Corporate Bond Hedged to CAD Index ETF (ZMU.TO) and BMO S&P 500 Index ETF (ZSP.TO). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, ZMU.TO achieves a -0.41% return, which is significantly lower than ZSP.TO's 13.62% return. Over the past 10 years, ZMU.TO has underperformed ZSP.TO with an annualized return of 1.75%, while ZSP.TO has yielded a comparatively higher 16.20% annualized return.

ZMU.TO

1D
-0.48%
1M
-0.10%
YTD
-0.41%
6M
-0.72%
1Y
2.28%
3Y*
4.49%
5Y*
-0.16%
10Y*
1.75%

ZSP.TO

1D
0.55%
1M
1.75%
YTD
13.62%
6M
13.06%
1Y
27.01%
3Y*
23.01%
5Y*
16.12%
10Y*
16.20%
*Multi-year figures are annualized to reflect compound growth (CAGR)

ZMU.TO vs. ZSP.TO - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
ZMU.TO
BMO Mid-Term US IG Corporate Bond Hedged to CAD Index ETF		-0.41%7.47%1.42%7.89%-14.71%-1.75%8.27%12.98%-2.77%4.58%
ZSP.TO
BMO S&P 500 Index ETF		13.62%12.36%35.07%23.30%-12.68%27.54%15.61%24.69%3.28%13.60%

Correlation

The correlation between ZMU.TO and ZSP.TO is 0.30, which is low. Their price movements are largely independent, making them effective diversification partners.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.30

Correlation (3Y)
Calculated over the trailing 3-year period

0.18

Correlation (5Y)
Calculated over the trailing 5-year period

0.17

Correlation (10Y)
Calculated over the trailing 10-year period

0.08

Correlation (All Time)
Calculated using the full available price history since Mar 27, 2013

0.03

Over the past year, ZMU.TO and ZSP.TO have become more correlated (0.30) than their long-term average of 0.03, meaning their price movements have been converging.

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BMO Mid-Term US IG Corporate Bond Hedged to CAD Index ETF

BMO S&P 500 Index ETF

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Return for Risk

ZMU.TO vs. ZSP.TO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
ZMU.TO
ZMU.TO Risk / Return Rank: 1717
Overall Rank
ZMU.TO Sharpe Ratio Rank: 1717
Sharpe Ratio Rank
ZMU.TO Sortino Ratio Rank: 1515
Sortino Ratio Rank
ZMU.TO Omega Ratio Rank: 1515
Omega Ratio Rank
ZMU.TO Calmar Ratio Rank: 1919
Calmar Ratio Rank
ZMU.TO Martin Ratio Rank: 1818
Martin Ratio Rank
ZSP.TO
ZSP.TO Risk / Return Rank: 7979
Overall Rank
ZSP.TO Sharpe Ratio Rank: 8383
Sharpe Ratio Rank
ZSP.TO Sortino Ratio Rank: 8181
Sortino Ratio Rank
ZSP.TO Omega Ratio Rank: 8282
Omega Ratio Rank
ZSP.TO Calmar Ratio Rank: 7373
Calmar Ratio Rank
ZSP.TO Martin Ratio Rank: 7474
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.

ZMU.TO vs. ZSP.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for BMO Mid-Term US IG Corporate Bond Hedged to CAD Index ETF (ZMU.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.

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.

ZMU.TOZSP.TODifference
Sharpe ratioReturn per unit of total volatility
0.49
2.24

-1.75

Sortino ratioReturn per unit of downside risk
0.71
3.05

-2.34

Omega ratioGain probability vs. loss probability

1.09

1.41

-0.32

Calmar ratioReturn relative to maximum drawdown

0.74

3.15

-2.41

Martin ratioReturn relative to average drawdown

1.76

11.67

-9.91

ZMU.TO vs. ZSP.TO - Sharpe Ratio Comparison

The current ZMU.TO Sharpe Ratio is 0.49, which is lower than the ZSP.TO Sharpe Ratio of 2.24. The chart below compares the historical Sharpe Ratios of ZMU.TO and ZSP.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.

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Drawdowns

ZMU.TO vs. ZSP.TO - Drawdown Comparison

The maximum ZMU.TO drawdown since its inception was -21.30%, smaller than the maximum ZSP.TO drawdown of -26.94%. Use the drawdown chart below to compare losses from any high point for ZMU.TO and ZSP.TO.

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Drawdown Indicators

ZMU.TOZSP.TODifference

Max Drawdown

Largest peak-to-trough decline

-21.30%

-26.94%

+5.64%

Max Drawdown (1Y)

Largest decline over 1 year

-3.11%

-8.61%

+5.50%

Max Drawdown (3Y)

Largest decline over 3 years

-6.05%

-18.95%

+12.90%

Max Drawdown (5Y)

Largest decline over 5 years

-21.30%

-22.25%

+0.95%

Max Drawdown (10Y)

Largest decline over 10 years

-21.30%

-26.94%

+5.64%

Current Drawdown

Current decline from peak

-2.24%

-0.09%

-2.15%

Average Drawdown

Average peak-to-trough decline

-4.54%

-3.33%

-1.21%

Ulcer Index

Depth and duration of drawdowns from previous peaks

1.30%

2.32%

-1.02%

Volatility

ZMU.TO vs. ZSP.TO - Volatility Comparison

The current volatility for BMO Mid-Term US IG Corporate Bond Hedged to CAD Index ETF (ZMU.TO) is 1.63%, while BMO S&P 500 Index ETF (ZSP.TO) has a volatility of 4.81%. This indicates that ZMU.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

ZMU.TOZSP.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

1.63%

4.81%

-3.18%

Volatility (6M)

Calculated over the trailing 6-month period

3.40%

9.58%

-6.18%

Volatility (1Y)

Calculated over the trailing 1-year period

4.70%

12.11%

-7.41%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

6.90%

15.08%

-8.18%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

7.88%

16.39%

-8.51%

Dividends

ZMU.TO vs. ZSP.TO - Dividend Comparison

ZMU.TO's dividend yield for the trailing twelve months is around 4.48%, more than ZSP.TO's 0.76% yield.

PositionTTM20252024202320222021202020192018201720162015
ZMU.TO
BMO Mid-Term US IG Corporate Bond Hedged to CAD Index ETF		4.48%4.10%4.15%4.22%4.35%3.56%3.51%3.66%3.70%3.28%3.37%3.53%
ZSP.TO
BMO S&P 500 Index ETF		0.76%0.82%0.94%1.33%1.44%1.15%1.45%1.48%1.68%1.68%2.23%1.60%

Frequently Asked Questions

ZMU.TO and ZSP.TO have a correlation of 0.30, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

ZMU.TO is categorized as Corporate Bonds, while ZSP.TO is S&P 500.

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