ZUE.TO vs. ^GSPC
ZUE.TO (BMO S&P 500 (CAD Hedged)) is S&P 500 fund tracking the S&P 500 Index, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, ZUE.TO returned 13.26%/yr vs 14.08%/yr for ^GSPC. A 0.77 correlation means they provide meaningful diversification when combined.
Performance
ZUE.TO vs. ^GSPC - Performance Comparison
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Different Trading Currencies
ZUE.TO is traded in CAD, while ^GSPC is traded in USD. To make them comparable, the ^GSPC values have been converted to CAD using the latest available exchange rates.
Returns By Period
In the year-to-date period, ZUE.TO achieves a 8.21% return, which is significantly lower than ^GSPC's 11.62% return. Over the past 10 years, ZUE.TO has underperformed ^GSPC with an annualized return of 13.26%, while ^GSPC has yielded a comparatively higher 14.08% annualized return.
ZUE.TO
- 1D
- -0.61%
- 1M
- 0.58%
- 6M
- 6.78%
- YTD
- 8.21%
- 1Y
- 17.31%
- 3Y*
- 17.25%
- 5Y*
- 11.26%
- 10Y*
- 13.26%
^GSPC
- 1D
- -1.05%
- 1M
- 0.76%
- 6M
- 8.56%
- YTD
- 11.62%
- 1Y
- 21.38%
- 3Y*
- 20.28%
- 5Y*
- 13.95%
- 10Y*
- 14.08%
ZUE.TO vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ZUE.TO BMO S&P 500 (CAD Hedged) | 8.21% | 15.57% | 23.40% | 24.35% | -19.43% | 27.86% | 15.42% | 29.70% | -6.88% | 21.02% |
^GSPC S&P 500 Index | 11.51% | 11.07% | 33.75% | 21.28% | -14.34% | 26.83% | 13.50% | 23.57% | 1.65% | 11.33% |
Correlation
The correlation between ZUE.TO and ^GSPC is 0.87, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.87 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.85 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.86 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.82 |
Correlation (All Time) Calculated using the full available price history since Oct 16, 2009 | 0.77 |
The correlation between ZUE.TO and ^GSPC has been stable across timeframes, ranging from 0.77 to 0.87 - a consistent structural relationship.
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Return for Risk
ZUE.TO vs. ^GSPC — Risk / Return Rank
ZUE.TO
^GSPC
ZUE.TO vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for BMO S&P 500 (CAD Hedged) (ZUE.TO) and S&P 500 Index (^GSPC). 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.
| ZUE.TO | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.29 | ||
| Sortino ratioReturn per unit of downside risk | -0.42 | ||
| Omega ratioGain probability vs. loss probability | 1.25 | 1.29 | -0.04 |
| Calmar ratioReturn relative to maximum drawdown | 1.84 | 2.34 | -0.50 |
| Martin ratioReturn relative to average drawdown | 7.97 | 8.65 | -0.67 |
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Drawdowns
ZUE.TO vs. ^GSPC - Drawdown Comparison
The maximum ZUE.TO drawdown since its inception was -35.56%, smaller than the maximum ^GSPC drawdown of -48.87%. Use the drawdown chart below to compare losses from any high point for ZUE.TO and ^GSPC.
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Drawdown Indicators
| ZUE.TO | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -35.56% | -48.87% | +13.31% |
Max Drawdown (1Y)Largest decline over 1 year | -9.43% | -9.17% | -0.26% |
Max Drawdown (3Y)Largest decline over 3 years | -18.72% | -19.59% | +0.87% |
Max Drawdown (5Y)Largest decline over 5 years | -25.34% | -23.14% | -2.20% |
Max Drawdown (10Y)Largest decline over 10 years | -35.56% | -27.97% | -7.59% |
Current DrawdownCurrent decline from peak | -1.97% | -2.47% | +0.50% |
Average DrawdownAverage peak-to-trough decline | -4.11% | -9.63% | +5.52% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.18% | 2.48% | -0.30% |
Volatility
ZUE.TO vs. ^GSPC - Volatility Comparison
The current volatility for BMO S&P 500 (CAD Hedged) (ZUE.TO) is 3.26%, while S&P 500 Index (^GSPC) has a volatility of 3.68%. This indicates that ZUE.TO experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ZUE.TO | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.26% | 3.68% | -0.42% |
Volatility (6M)Calculated over the trailing 6-month period | 10.30% | 10.42% | -0.12% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.74% | 12.95% | -0.21% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.96% | 17.95% | -0.99% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.12% | 19.12% | -1.00% |
Frequently Asked Questions
ZUE.TO and ^GSPC have a correlation of 0.87, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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