BMO S&P/TSX Equal Weight Banks

10-Year Study

ZEB.TO · · CA · ETF

Executive Summary: BMO S&P/TSX Equal Weight Banks has compounded at 15.3% annually over the last 10 years, with a maximum drawdown of 24.2% and an annualized volatility of 19.8%.

1Y CAGR
+55.3%
3Y CAGR
+31.6%
5Y CAGR
+17.1%
10Y CAGR
+15.3%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
24.2%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.77
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
1.08
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
16.3%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +43.4%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -10.4%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
80%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
2026-0.46.5-4.19.4————————11.3%
20252.1-1.7-4.22.38.33.82.36.75.62.74.35.043.4%
2024-1.81.75.9-4.12.7-3.56.84.06.10.95.4-1.124.6%
20239.0-1.0-5.62.4-5.33.83.9-6.1-2.0-6.08.411.010.9%
20226.1-0.3-2.2-6.53.0-10.23.1-3.3-1.43.84.6-6.2-10.4%
20210.47.86.83.26.30.1-0.21.4-0.75.8-1.75.039.4%
20201.2-5.6-18.20.82.03.81.59.8-4.8-0.214.82.23.5%
20199.41.6-3.06.2-6.12.51.4-3.57.20.72.6-2.916.1%
20181.5-2.8-1.3-0.31.70.52.72.00.1-6.90.8-6.7-8.9%
20172.82.0-0.6-3.1-1.72.60.6-0.44.74.80.81.214.3%
2016———4.2-0.2-1.53.53.70.12.44.25.423.7%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 19.8%. The dominant macroeconomic risk driver is VTI.US, accounting for 78.3% of variance. Idiosyncratic stock-specific factors contribute 10.6%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110418.312221796616
2016-05-0110396.386162807594
2016-06-0110239.073293795982
2016-07-0110597.617192143602
2016-08-0110989.314348360169
2016-09-0110994.993990146482
2016-10-0111261.210688293335
2016-11-0111734.205972869804
2016-12-0112373.627970254529
2017-01-0112724.51095642526
2017-02-0112983.26486943428
2017-03-0112911.08058487102
2017-04-0112514.892549102486
2017-05-0112300.254923456921
2017-06-0112615.210873211903
2017-07-0112687.130988389754
2017-08-0112632.712094995311
2017-09-0113229.866990714445
2017-10-0113865.986870781546
2017-11-0113971.060243828342
2017-12-0114138.41154948553
2018-01-0114355.8229536779
2018-02-0113958.115943943256
2018-03-0113781.254540411312
2018-04-0113733.770093383879
2018-05-0113969.145015784121
2018-06-0114036.50820906365
2018-07-0114413.94021846808
2018-08-0114704.856754150762
2018-09-0114724.00903459298
2018-10-0113715.146151712479
2018-11-0113818.238254368702
2018-12-0112886.975128452365
2019-01-0114099.710734522976
2019-02-0114323.92450038965
2019-03-0113900.46097557754
2019-04-0114757.030207769221
2019-05-0113857.533450448429
2019-06-0114204.519938184363
2019-07-0114399.80715634865
2019-08-0113893.394444517824
2019-09-0114891.822636674637
2019-10-0115003.17003262492
2019-11-0115398.895771968988
2019-12-0114956.412051407362
2020-01-0115129.37695650451
2020-02-0114281.789483416767
2020-03-0111676.154750425972
2020-04-0111775.284312301046
2020-05-0112013.895309672562
2020-06-0112466.549551572467
2020-07-0112649.684978007897
2020-08-0113893.988825634997
2020-09-0113229.999075407151
2020-10-0113197.902495079847
2020-11-0115152.095523649765
2020-12-0115482.57142479758
2021-01-0115551.123380311456
2021-02-0116764.255240460185
2021-03-0117905.268858392
2021-04-0118477.98808596072
2021-05-0119643.3713296966
2021-06-0119659.155450474842
2021-07-0119615.63354422856
2021-08-0119893.341610640742
2021-09-0119761.058790896725
2021-10-0120908.016220000263
2021-11-0120558.71825014199
2021-12-0121579.865009444056
2022-01-0122887.239297837776
2022-02-0122817.69670712861
2022-03-0122317.888229933036
2022-04-0120870.504167272058
2022-05-0121505.039031026696
2022-06-0119317.650477486164
2022-07-0119923.06066649936
2022-08-0119258.278408115282
2022-09-0118994.307149744414
2022-10-0119710.60243828343
2022-11-0120607.919798174593
2022-12-0119339.90674820695
2023-01-0121080.650913365647
2023-02-0120872.353352969927
2023-03-0119701.42255214043
2023-04-0120181.22019839121
2023-05-0119113.64566960335
2023-06-0119832.384524957404
2023-07-0120606.400824208482
2023-08-0119343.34095021728
2023-09-0118965.314559695675
2023-10-0117820.470485675414
2023-11-0119324.056585082355
2023-12-0121442.827140762656
2024-01-0121048.488290691992
2024-02-0121414.032677752974
2024-03-0122679.53611855922
2024-04-0121759.43414917645
2024-05-0122346.418523557306
2024-06-0121573.987240618684
2024-07-0123032.73058685229
2024-08-0123949.794608302844
2024-09-0125406.55668414588
2024-10-0125631.496915822423
2024-11-0127010.527150008587
2024-12-0126713.60076080783
2025-01-0127283.612252176095
2025-02-0126819.53268435721
2025-03-0125683.47224240183
2025-04-0126286.108652868224
2025-05-0128466.364633002682
2025-06-0129559.431507482597
2025-07-0130247.46067178275
2025-08-0132260.893685030842
2025-09-0134052.4244145346
2025-10-0134975.82850123499
2025-11-0136484.30173427202
2025-12-0138316.05225270444
2026-01-0138148.96511643266
2026-02-0140622.64724141119
2026-03-0138951.775878693414
2026-04-0142630.33457052662
Annual Return Matrix
YearAnnual Return
20170.14262458702277447
2018-0.08851322630219405
20190.1605836049443452
20200.03517951842873357
20210.3938165965687572
2022-0.10379852979881143
20230.10873477416072208
20240.24580590914830758
20250.43432750215084615
20260.11259725530616671
Total Factor Risk
0.19808574688900746
VTI.US Exposure
0.7834772535884532
VEA.US Exposure
0.2562304896368743
VWO.US Exposure
-0.05019348602890018
QQQ.US Exposure
-0.12725863163689338
VTV.US Exposure
-0.059526314224120726
IJR.US Exposure
0.1142615665318786
QUAL.US Exposure
-0.1437434649639062
SHV.US Exposure
0.17773574159326525
TLT.US Exposure
0.041327503548566714
LQD.US Exposure
-0.024857209371143312
HYG.US Exposure
0.008804274216124229
GLD.US Exposure
-0.008989677501459114
USO.US Exposure
-0.00004295744827334098
VNQ.US Exposure
-0.06060038252204185
BTC-USD.CC Exposure
0.0025895325308600164
CPER.US Exposure
0.02286369420178224
VIX.INDX Exposure
-0.04794394365724898
UUP.US Exposure
-0.0058136818715748325
TIP.US Exposure
0.015403309315961948
Idiosyncratic Exposure
0.10627638406179528
Value Score
44.4
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
33.8
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
19.8%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →14.0x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →2.82%
Market Cap$148.8B
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$192
Avg Yield on Cost
1.92%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$192.181.92%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+6.9%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+18.9%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
0.3% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
0.99
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is BMO S&P/TSX Equal Weight Banks a high-risk investment?

BMO S&P/TSX Equal Weight Banks (ZEB.TO) has an annualized volatility of 19.8% and experienced a maximum drawdown of 24.2% over the last 10 years. Its primary macro risk driver is VTI.US.

What is the 10-year return of ZEB.TO?

Over the past 10 years, ZEB.TO has generated a Compound Annual Growth Rate (CAGR) of 15.3%. It has had a positive return in 80% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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