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BMO Low Volatility Canadian Equity ETF (ZLB : TSX)

Canadian Equity

FundGrade A Click for more information on Fundata’s FundGrade

FundGrade A

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Fundata ESG GradeD Click for more information on Fundata’s ESG Grade

Fundata ESG Grade D

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FundGrade A+® Rating Recipient

FundGrade A+® Rating Recipient

2023, 2022, 2021, 2020, 2019

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Close
(05-17-2024)
$44.27
Change
$0.05 (0.11%)
Open $44.24
Day Range $44.10 - $44.29
Volume 35,103

As at April 30, 2024

As at April 30, 2024

As at February 29, 2024

Period
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Legend

BMO Low Volatility Canadian Equity ETF

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Fund Returns

Inception Return (October 20, 2011): 11.47%

Fund Returns
Row Heading Return Annualized Return
1 Mth 3 Mth 6 Mth YTD 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7 Yr 8 Yr 9 Yr 10 Yr
Fund -1.77% 1.21% 11.71% 2.15% 1.65% 4.91% 7.21% 11.98% 8.24% 9.14% 7.86% 8.80% 8.02% 9.73%
Benchmark -1.82% 4.10% 16.91% 4.68% 8.73% 5.66% 7.59% 13.51% 8.86% 8.98% 8.12% 8.95% 7.25% 7.22%
Category Average -2.02% 14.76% 14.76% 4.01% 7.13% 4.79% 6.78% 12.37% 7.64% 7.44% 6.57% 7.36% 5.95% 5.96%
Category Rank 208 / 725 635 / 722 676 / 721 663 / 722 672 / 703 368 / 669 304 / 595 357 / 554 252 / 537 101 / 474 140 / 448 124 / 396 53 / 361 27 / 336
Quartile Ranking 2 4 4 4 4 3 3 3 2 1 2 2 1 1

Monthly Return

Monthly Return
Return % May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Fund -4.01% 1.37% -0.50% -2.37% -2.98% -0.78% 5.25% 3.91% 0.93% 1.64% 1.37% -1.77%
Benchmark -4.95% 3.36% 2.58% -1.37% -3.33% -3.21% 7.48% 3.91% 0.55% 1.82% 4.14% -1.82%

Best Monthly Return Since Inception

9.30% (November 2020)

Worst Monthly Return Since Inception

-14.36% (March 2020)

Calendar Return (%)

Calendar Return
Return % 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023
Fund 28.54% 2.67% 13.04% 11.09% -2.78% 21.83% 1.62% 22.88% -0.37% 9.39%
Benchmark 10.55% -8.32% 21.08% 9.10% -8.89% 22.88% 5.60% 25.09% -5.84% 11.75%
Category Average 9.54% -6.15% 16.46% 6.89% -9.47% 19.21% 3.42% 23.26% -4.82% 9.85%
Quartile Ranking 1 1 4 1 1 2 3 3 1 3
Category Rank 1/ 325 6/ 357 315/ 384 24/ 440 22/ 466 175/ 514 337/ 550 357/ 585 78/ 652 453/ 692

Best Calendar Return (Last 10 years)

28.54% (2014)

Worst Calendar Return (Last 10 years)

-2.78% (2018)

Asset Allocation

Asset Allocation
Name Percent
Canadian Equity 91.24
Income Trust Units 8.41
Cash and Equivalents 0.36
Other -0.01

Sector Allocation

Sector Allocation
Name Percent
Consumer Services 23.22
Financial Services 21.13
Utilities 12.40
Basic Materials 10.12
Real Estate 9.52
Other 23.61

Geographic Allocation

Geographic Allocation
Name Percent
North America 98.72
Latin America 1.28

Top Holdings

Top Holdings
Name Percent
Loblaw Cos Ltd 4.56
Metro Inc 3.91
Waste Connections Inc 3.56
Hydro One Ltd 3.49
Thomson Reuters Corp 3.30
TMX Group Ltd 3.04
Agnico Eagle Mines Ltd 3.00
Intact Financial Corp 2.98
Empire Co Ltd Cl A 2.95
Fortis Inc 2.88

Equity Style

Market capitalization is large. Equity style is growth.

Fixed Income Style

Fixed income style data not available
Period: 

Risk vs Return (3 Yr)

BMO Low Volatility Canadian Equity ETF

Median

Other - Canadian Equity

3 Yr Annualized

Standard Deviation 9.78% 12.55% 10.29%
Beta 0.65% 0.72% 0.67%
Alpha 0.02% 0.02% 0.05%
Rsquared 0.78% 0.79% 0.68%
Sharpe 0.48% 0.54% 0.82%
Sortino 0.73% 0.66% 1.02%
Treynor 0.07% 0.09% 0.13%
Tax Efficiency 85.04% 86.66% 88.66%
Volatility Volatility rating is 4 on a scale of 1 to 10 Volatility rating is 5 on a scale of 1 to 10 Volatility rating is 5 on a scale of 1 to 10

Risk Rating

Rating 4 out of ten

Annualized Key Ratio Period Comparison

Key Ratio
Key Ratio 1 Yr 3 Yr 5 Yr 10 Yr
Standard Deviation 9.59% 9.78% 12.55% 10.29%
Beta 0.68% 0.65% 0.72% 0.67%
Alpha -0.04% 0.02% 0.02% 0.05%
Rsquared 0.84% 0.78% 0.79% 0.68%
Sharpe -0.29% 0.48% 0.54% 0.82%
Sortino -0.15% 0.73% 0.66% 1.02%
Treynor -0.04% 0.07% 0.09% 0.13%
Tax Efficiency 33.01% 85.04% 86.66% 88.66%

Fundata ESG Metrics

Fundata ESG Score

The E, S, and G scores are averaged for each security in the portfolio, to arrive at an ESG score for each security. We take the portfolio weighted average of the ESG scores for each fund and rank them against their peers to arrive at the Fundata ESG Score from 0-100.

Fundata E Score

Three scores under the Environment bucket are averaged to yield the Fundata Environment Score for each fund from 0-100: (1) Pollution Prevention, (2) Environmental Transparency, (3) Resource Efficiency.

Fundata S Score

Six scores under the Social bucket are averaged to yield the Fundata Social Score for each fund from 0-100. (1) Compensation and Satisfaction, (2) Diversity and Rights, (3) Education and Work Conditions, (4) Community and Charity, (5) Human Rights, (6) Sustainability Integration.

Fundata G Score

Three scores under the governance bucket are averaged to yield the Fundata Governance Score for each fund from 0-100: (1) Board Effectiveness, (2) Management Ethics, (3) Disclosure and Accountability.

Powered by OWL Analytics. For more information, please contact Fundata Canada.

Fund Details

Start Date October 20, 2011
Instrument Type Exchange Traded Fund
Share Class Do-It-Yourself
Legal Status Trust
Sales Status -
Currency CAD
Distribution Frequency Quarterly
Assets ($mil) $3,498
52 Week High $44.27
52 Week Low $38.13
Annual Dividend $1.12
Annual Yield -
Index -
Shares Outstanding -
Registered Plan Eligible Yes

ETF Characteristics

Exposure 1x performance
Asset Class High -
Asset Class Medium -
Asset Class Low -
Leveraged -
Inverse -
Advisor Series -
Covered Call Strategy No

Investment Objectives

BMO Low Volatility Canadian Equity ETF has been designed to provide exposure to a low beta weighted portfolio of Canadian stocks. Beta measures the security's sensitivity to market movements.

Investment Strategy

ZLB utilizes a rules based methodology to select the least market sensitive stocks based on five year beta. The 40 lowest beta stocks from the 100 largest and most liquid securities in Canada are selected. The underlying portfolio is rebalanced in June and reconstituted in December.

Portfolio Manager(s)

Name Start Date
BMO Asset Management Inc. 10-20-2011

Management and Organization

Fund Manager BMO Asset Management Inc.
Advisor BMO Asset Management Inc.
Custodian State Street Trust Company Canada
Registrar State Street Trust Company Canada
Distributor -
Auditor PriceWaterhouseCoopers LLP

Fees

MER 0.40%
Management Fee 0.35%

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