ZWE.TO vs. ESGE.TO

Last updated Jul 16, 2026

ZWE.TO (BMO Europe High Dividend Covered Call Hedged to CAD ETF) and ESGE.TO (BMO MSCI EAFE Selection Equity Index ETF) are both Foreign Large Cap Equities funds from BMO. Over the past 5 years, ZWE.TO returned 9.38%/yr vs 9.94%/yr for ESGE.TO. A 0.53 correlation means they provide meaningful diversification when combined.

Performance

ZWE.TO vs. ESGE.TO - Performance Comparison

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

Returns By Period

In the year-to-date period, ZWE.TO achieves a 6.03% return, which is significantly lower than ESGE.TO's 13.32% return.

ZWE.TO

• 1D: 0.28%
• 1M: 0.09%
• 6M: 3.82%
• YTD: 6.03%
• 1Y: 15.29%
• 3Y*: 11.19%
• 5Y*: 9.38%
• 10Y*: 8.39%

ESGE.TO

• 1D: 0.29%
• 1M: 0.93%
• 6M: 8.94%
• YTD: 13.32%
• 1Y: 24.17%
• 3Y*: 15.70%
• 5Y*: 9.94%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

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

	2026 (YTD)	2025	2024	2023	2022	2021	2020
ZWE.TO BMO Europe High Dividend Covered Call Hedged to CAD ETF	6.03%	14.25%	7.16%	14.84%	0.29%	19.26%	-9.78%
ESGE.TO BMO MSCI EAFE Selection Equity Index ETF	13.32%	19.50%	10.61%	15.06%	-11.25%	11.14%	4.41%

Correlation

The correlation between ZWE.TO and ESGE.TO is 0.68, 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	0.68
Correlation (3Y) Calculated over the trailing 3-year period	0.55
Correlation (5Y) Calculated over the trailing 5-year period	0.54
Correlation (All Time) Calculated using the full available price history since Jan 21, 2020	0.53

The correlation between ZWE.TO and ESGE.TO shifts across timeframes, from 0.53 (all time) to 0.68 (1 year), reflecting how their relationship changes across market environments.

ZWE.TO vs. ESGE.TO - Sectors Allocation Comparison

Sectors	ZWE.TO	ESGE.TO
Financial Services	24.2%	23.0%
Industrials	13.5%	18.1%
Healthcare	12.5%	10.0%
Energy	9.8%	3.1%
Utilities	9.8%	4.3%
Consumer Defensive	8.3%	6.2%
Basic Materials	7.0%	6.1%
Communication Services	6.4%	6.2%
Technology	5.2%	14.3%
Consumer Cyclical	3.3%	6.8%
Real Estate	-	1.9%

Return for Risk

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

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ZWE.TO

ZWE.TO Risk / Return Rank: 45
ZWE.TO Sharpe Ratio Rank: 49
ZWE.TO Sortino Ratio Rank: 46
ZWE.TO Omega Ratio Rank: 47
ZWE.TO Calmar Ratio Rank: 38
ZWE.TO Martin Ratio Rank: 44

ESGE.TO

ESGE.TO Risk / Return Rank: 59
ESGE.TO Sharpe Ratio Rank: 61
ESGE.TO Sortino Ratio Rank: 62
ESGE.TO Omega Ratio Rank: 60
ESGE.TO Calmar Ratio Rank: 52
ESGE.TO Martin Ratio Rank: 59

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.

ZWE.TO vs. ESGE.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for BMO Europe High Dividend Covered Call Hedged to CAD ETF (ZWE.TO) and BMO MSCI EAFE Selection Equity Index ETF (ESGE.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.

	ZWE.TO	ESGE.TO	Difference
Sharpe ratio: Return per unit of total volatility	1.39	1.66	-0.27
Sortino ratio: Return per unit of downside risk	1.93	2.36	-0.43
Omega ratio: Gain probability vs. loss probability	1.25	1.30	-0.05
Calmar ratio: Return relative to maximum drawdown	1.61	2.17	-0.57
Martin ratio: Return relative to average drawdown	5.91	8.33	-2.42

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

The current ZWE.TO Sharpe Ratio is 1.39, which is comparable to the ESGE.TO Sharpe Ratio of 1.66. The chart below compares the historical Sharpe Ratios of ZWE.TO and ESGE.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.

Drawdowns

ZWE.TO vs. ESGE.TO - Drawdown Comparison

The maximum ZWE.TO drawdown since its inception was -35.38%, which is greater than ESGE.TO's maximum drawdown of -27.77%. Use the drawdown chart below to compare losses from any high point for ZWE.TO and ESGE.TO.

Drawdown Indicators

	ZWE.TO	ESGE.TO	Difference
Max Drawdown Largest peak-to-trough decline	-35.38%	-27.77%	-7.61%
Max Drawdown (1Y) Largest decline over 1 year	-9.56%	-11.17%	+1.61%
Max Drawdown (3Y) Largest decline over 3 years	-13.60%	-14.68%	+1.08%
Max Drawdown (5Y) Largest decline over 5 years	-13.60%	-25.79%	+12.19%
Max Drawdown (10Y) Largest decline over 10 years	-35.38%	—	—
Current Drawdown Current decline from peak	-1.28%	-2.11%	+0.83%
Average Drawdown Average peak-to-trough decline	-4.08%	-5.27%	+1.19%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.59%	2.91%	-0.32%

Volatility

ZWE.TO vs. ESGE.TO - Volatility Comparison

The current volatility for BMO Europe High Dividend Covered Call Hedged to CAD ETF (ZWE.TO) is 2.38%, while BMO MSCI EAFE Selection Equity Index ETF (ESGE.TO) has a volatility of 3.72%. This indicates that ZWE.TO experiences smaller price fluctuations and is considered to be less risky than ESGE.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ZWE.TO	ESGE.TO	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.38%	3.72%	-1.34%
Volatility (6M) Calculated over the trailing 6-month period	9.22%	12.58%	-3.36%
Volatility (1Y) Calculated over the trailing 1-year period	11.08%	14.63%	-3.55%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.59%	13.85%	-1.26%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.20%	16.27%	-1.07%

Dividends

ZWE.TO vs. ESGE.TO - Dividend Comparison

ZWE.TO's dividend yield for the trailing twelve months is around 6.64%, more than ESGE.TO's 1.77% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ESGE.TO BMO MSCI EAFE Selection Equity Index ETF	1.77%	2.10%	2.60%	2.89%	2.95%	2.54%	2.75%	0.00%	0.00%	0.00%	0.00%	0.00%
ZWE.TO BMO Europe High Dividend Covered Call Hedged to CAD ETF	6.64%	6.81%	7.25%	7.25%	6.98%	6.30%	7.74%	6.68%	7.88%	6.59%	6.87%	2.35%

Frequently Asked Questions

Can I hold both ZWE.TO and ESGE.TO in my portfolio?

ZWE.TO and ESGE.TO have a correlation of 0.68, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.