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

ZSP.TO vs. FEZ

Last updated Jun 14, 2026

ZSP.TO (BMO S&P 500 Index ETF) and FEZ (State Street SPDR EURO STOXX 50 ETF) are both exchange-traded funds - ZSP.TO is a S&P 500 fund tracking the S&P 500 Index, while FEZ is a Europe Equities fund tracking the EURO STOXX 50 Index. Both are passively managed. Over the past 10 years, ZSP.TO returned 16.12%/yr vs 12.29%/yr for FEZ. A 0.50 correlation means they provide meaningful diversification when combined. ZSP.TO charges 0.09%/yr vs 0.29%/yr for FEZ.

Performance

ZSP.TO vs. FEZ - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in BMO S&P 500 Index ETF (ZSP.TO) and State Street SPDR EURO STOXX 50 ETF (FEZ). The values are adjusted to include any dividend payments, if applicable.

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Different Trading Currencies

ZSP.TO is traded in CAD, while FEZ is traded in USD. To make them comparable, the FEZ values have been converted to CAD using the latest available exchange rates.

Returns By Period

In the year-to-date period, ZSP.TO achieves a 11.01% return, which is significantly higher than FEZ's 9.47% return. Over the past 10 years, ZSP.TO has outperformed FEZ with an annualized return of 16.12%, while FEZ has yielded a comparatively lower 12.29% annualized return.

ZSP.TO

1D
0.74%
1M
2.05%
YTD
11.01%
6M
11.06%
1Y
29.16%
3Y*
22.66%
5Y*
16.33%
10Y*
16.12%

FEZ

1D
0.27%
1M
6.01%
YTD
9.47%
6M
9.61%
1Y
23.26%
3Y*
19.74%
5Y*
13.44%
10Y*
12.29%
*Multi-year figures are annualized to reflect compound growth (CAGR)

ZSP.TO vs. FEZ - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
ZSP.TO
BMO S&P 500 Index ETF		11.01%12.36%35.07%23.30%-12.68%27.54%15.61%24.69%3.28%13.60%
FEZ
State Street SPDR EURO STOXX 50 ETF		9.47%31.52%12.34%24.14%-8.84%14.79%2.35%20.85%-8.78%16.35%

Correlation

The correlation between ZSP.TO and FEZ is 0.61, 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

0.61

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

0.48

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

0.53

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

0.51

Correlation (All Time)
Calculated using the full available price history since Nov 26, 2012

0.50

The correlation between ZSP.TO and FEZ shifts across timeframes, from 0.48 (3 years) to 0.61 (1 year), reflecting how their relationship changes across market environments.

ZSP.TO vs. FEZ - Sectors Allocation Comparison

Sectors
ZSP.TO
FEZ

Technology

36.2%
18.0%

Financial Services

11.9%
24.9%

Communication Services

10.9%
2.4%

Consumer Cyclical

10.1%
9.8%

Healthcare

8.4%
5.1%

Industrials

8.2%
21.7%

Consumer Defensive

4.8%
5.4%

Energy

3.5%
4.8%

Utilities

2.3%
4.5%

Real Estate

1.9%

-

Basic Materials

1.8%
3.4%

Technology

ZSP.TO
36.2%
FEZ
18.0%

Financial Services

ZSP.TO
11.9%
FEZ
24.9%

Communication Services

ZSP.TO
10.9%
FEZ
2.4%

Consumer Cyclical

ZSP.TO
10.1%
FEZ
9.8%

Healthcare

ZSP.TO
8.4%
FEZ
5.1%

Industrials

ZSP.TO
8.2%
FEZ
21.7%

Consumer Defensive

ZSP.TO
4.8%
FEZ
5.4%

Energy

ZSP.TO
3.5%
FEZ
4.8%

Utilities

ZSP.TO
2.3%
FEZ
4.5%

Real Estate

ZSP.TO
1.9%
FEZ

-

Basic Materials

ZSP.TO
1.8%
FEZ
3.4%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

BMO S&P 500 Index ETF

State Street SPDR EURO STOXX 50 ETF

Often compared with ZSP.TO:
ZSP.TO vs. VOOZSP.TO vs. XSP.TOZSP.TO vs. ZCN.TOZSP.TO vs. XUS.TOZSP.TO vs. ZEQT.TOZSP.TO vs. VSP.TOZSP.TO vs. ZQQ.TO
Often compared with FEZ:
FEZ vs. VGKFEZ vs. IEURFEZ vs. EZUFEZ vs. IEVFEZ vs. VOOFEZ vs. EWQFEZ vs. EWN

Return for Risk

ZSP.TO vs. FEZ — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
ZSP.TO
ZSP.TO Risk / Return Rank: 7979
Overall Rank
ZSP.TO Sharpe Ratio Rank: 8484
Sharpe Ratio Rank
ZSP.TO Sortino Ratio Rank: 8181
Sortino Ratio Rank
ZSP.TO Omega Ratio Rank: 8383
Omega Ratio Rank
ZSP.TO Calmar Ratio Rank: 7373
Calmar Ratio Rank
ZSP.TO Martin Ratio Rank: 7474
Martin Ratio Rank
FEZ
FEZ Risk / Return Rank: 3030
Overall Rank
FEZ Sharpe Ratio Rank: 3030
Sharpe Ratio Rank
FEZ Sortino Ratio Rank: 3030
Sortino Ratio Rank
FEZ Omega Ratio Rank: 2828
Omega Ratio Rank
FEZ Calmar Ratio Rank: 3030
Calmar Ratio Rank
FEZ Martin Ratio Rank: 3434
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.

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

This table presents a comparison of risk-adjusted performance metrics for BMO S&P 500 Index ETF (ZSP.TO) and State Street SPDR EURO STOXX 50 ETF (FEZ). 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.

ZSP.TOFEZDifference
Sharpe ratioReturn per unit of total volatility
2.32
1.08

+1.25

Sortino ratioReturn per unit of downside risk
3.12
1.61

+1.51

Omega ratioGain probability vs. loss probability

1.43

1.19

+0.24

Calmar ratioReturn relative to maximum drawdown

3.22

1.53

+1.69

Martin ratioReturn relative to average drawdown

12.00

5.18

+6.82

ZSP.TO vs. FEZ - Sharpe Ratio Comparison

The current ZSP.TO Sharpe Ratio is 2.32, which is higher than the FEZ Sharpe Ratio of 1.08. The chart below compares the historical Sharpe Ratios of ZSP.TO and FEZ, 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

ZSP.TO vs. FEZ - Drawdown Comparison

The maximum ZSP.TO drawdown since its inception was -26.94%, smaller than the maximum FEZ drawdown of -53.81%. Use the drawdown chart below to compare losses from any high point for ZSP.TO and FEZ.

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Drawdown Indicators

ZSP.TOFEZDifference

Max Drawdown

Largest peak-to-trough decline

-26.94%

-53.81%

+26.87%

Max Drawdown (1Y)

Largest decline over 1 year

-8.61%

-13.25%

+4.64%

Max Drawdown (3Y)

Largest decline over 3 years

-18.95%

-16.21%

-2.74%

Max Drawdown (5Y)

Largest decline over 5 years

-22.25%

-28.89%

+6.64%

Max Drawdown (10Y)

Largest decline over 10 years

-26.94%

-33.95%

+7.01%

Current Drawdown

Current decline from peak

-1.47%

0.00%

-1.47%

Average Drawdown

Average peak-to-trough decline

-3.34%

-13.54%

+10.20%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.31%

3.92%

-1.61%

Volatility

ZSP.TO vs. FEZ - Volatility Comparison

The current volatility for BMO S&P 500 Index ETF (ZSP.TO) is 4.54%, while State Street SPDR EURO STOXX 50 ETF (FEZ) has a volatility of 6.75%. This indicates that ZSP.TO experiences smaller price fluctuations and is considered to be less risky than FEZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

ZSP.TOFEZDifference

Volatility (1M)

Calculated over the trailing 1-month period

4.54%

6.75%

-2.21%

Volatility (6M)

Calculated over the trailing 6-month period

9.31%

15.81%

-6.50%

Volatility (1Y)

Calculated over the trailing 1-year period

11.94%

18.84%

-6.90%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

15.03%

21.57%

-6.54%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

16.39%

21.99%

-5.60%

ZSP.TO vs. FEZ - Expense Ratio Comparison

ZSP.TO has a 0.09% expense ratio, which is lower than FEZ's 0.29% expense ratio.

Dividends

ZSP.TO vs. FEZ - Dividend Comparison

ZSP.TO's dividend yield for the trailing twelve months is around 0.76%, less than FEZ's 2.52% yield.

PositionTTM20252024202320222021202020192018201720162015
FEZ
State Street SPDR EURO STOXX 50 ETF		2.52%2.78%2.94%2.75%3.06%2.61%2.13%2.61%3.45%2.44%3.35%3.03%
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

ZSP.TO and FEZ have a correlation of 0.61, 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 0.29% for FEZ.

ZSP.TO is categorized as S&P 500, while FEZ is Europe Equities. ZSP.TO tracks S&P 500 Index, while FEZ tracks EURO STOXX 50 Index. They also come from different issuers: BMO and State Street. Their fees differ too: 0.09% for ZSP.TO and 0.29% for FEZ.

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