ZUE.TO vs. ESG.TO
Compare and contrast key facts about BMO S&P 500 (CAD Hedged) (ZUE.TO) and Invesco S&P 500 ESG Index ETF (ESG.TO).
ZUE.TO and ESG.TO are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. ZUE.TO is a passively managed fund by BMO that tracks the performance of the S&P 500 Index. It was launched on May 29, 2009. ESG.TO is a passively managed fund by Invesco that tracks the performance of the S&P 500 Equal Weight ESG Leaders Select Index. It was launched on Mar 5, 2020. Both ZUE.TO and ESG.TO are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Performance
ZUE.TO vs. ESG.TO - Performance Comparison
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ZUE.TO vs. ESG.TO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
ZUE.TO BMO S&P 500 (CAD Hedged) | -4.96% | 15.57% | 23.40% | 24.35% | -19.43% | 27.86% | 23.19% |
ESG.TO Invesco S&P 500 ESG Index ETF | -3.46% | 10.99% | 33.33% | 25.19% | -14.05% | 32.71% | 19.30% |
Returns By Period
In the year-to-date period, ZUE.TO achieves a -4.96% return, which is significantly lower than ESG.TO's -3.46% return.
ZUE.TO
- 1D
- 3.00%
- 1M
- -5.24%
- YTD
- -4.96%
- 6M
- -2.91%
- 1Y
- 15.40%
- 3Y*
- 16.29%
- 5Y*
- 10.14%
- 10Y*
- 12.34%
ESG.TO
- 1D
- 3.05%
- 1M
- -3.23%
- YTD
- -3.46%
- 6M
- -2.19%
- 1Y
- 14.25%
- 3Y*
- 18.23%
- 5Y*
- 14.03%
- 10Y*
- —
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ZUE.TO vs. ESG.TO - Expense Ratio Comparison
ZUE.TO has a 0.09% expense ratio, which is lower than ESG.TO's 0.20% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Return for Risk
ZUE.TO vs. ESG.TO — Risk / Return Rank
ZUE.TO
ESG.TO
ZUE.TO vs. ESG.TO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for BMO S&P 500 (CAD Hedged) (ZUE.TO) and Invesco S&P 500 ESG Index ETF (ESG.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.
| ZUE.TO | ESG.TO | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.86 | 0.77 | +0.08 |
Sortino ratioReturn per unit of downside risk | 1.32 | 1.19 | +0.14 |
Omega ratioGain probability vs. loss probability | 1.20 | 1.18 | +0.02 |
Calmar ratioReturn relative to maximum drawdown | 1.34 | 1.09 | +0.25 |
Martin ratioReturn relative to average drawdown | 6.15 | 3.97 | +2.17 |
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
| ZUE.TO | ESG.TO | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.86 | 0.77 | +0.08 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.61 | 0.94 | -0.34 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.68 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.77 | 0.96 | -0.20 |
Correlation
The correlation between ZUE.TO and ESG.TO is 0.73, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
ZUE.TO vs. ESG.TO - Dividend Comparison
ZUE.TO's dividend yield for the trailing twelve months is around 0.92%, more than ESG.TO's 0.87% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ZUE.TO BMO S&P 500 (CAD Hedged) | 0.92% | 0.86% | 1.02% | 1.33% | 1.50% | 1.13% | 1.37% | 1.47% | 1.76% | 1.61% | 1.67% | 1.72% |
ESG.TO Invesco S&P 500 ESG Index ETF | 0.87% | 0.85% | 0.92% | 1.11% | 1.38% | 1.11% | 0.95% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
ZUE.TO vs. ESG.TO - Drawdown Comparison
The maximum ZUE.TO drawdown since its inception was -35.56%, which is greater than ESG.TO's maximum drawdown of -22.31%. Use the drawdown chart below to compare losses from any high point for ZUE.TO and ESG.TO.
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Drawdown Indicators
| ZUE.TO | ESG.TO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -35.56% | -22.31% | -13.25% |
Max Drawdown (1Y)Largest decline over 1 year | -11.95% | -13.02% | +1.07% |
Max Drawdown (5Y)Largest decline over 5 years | -25.34% | -22.31% | -3.03% |
Max Drawdown (10Y)Largest decline over 10 years | -35.56% | — | — |
Current DrawdownCurrent decline from peak | -6.72% | -6.93% | +0.21% |
Average DrawdownAverage peak-to-trough decline | -4.12% | -4.39% | +0.27% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.60% | 3.57% | -0.97% |
Volatility
ZUE.TO vs. ESG.TO - Volatility Comparison
BMO S&P 500 (CAD Hedged) (ZUE.TO) and Invesco S&P 500 ESG Index ETF (ESG.TO) have volatilities of 5.44% and 5.29%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ZUE.TO | ESG.TO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.44% | 5.29% | +0.15% |
Volatility (6M)Calculated over the trailing 6-month period | 9.50% | 9.59% | -0.09% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.08% | 18.52% | -0.44% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.86% | 14.98% | +1.88% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.12% | 16.45% | +1.67% |