BMO Long Federal Bond

10-Year Study

ZFL.TO · · CA · ETF

Executive Summary: BMO Long Federal Bond has compounded at -1.8% annually over the last 10 years, with a maximum drawdown of 37.5% and an annualized volatility of 13.3%.

1Y CAGR
+1.2%
3Y CAGR
+0.0%
5Y CAGR
-5.0%
10Y CAGR
-1.8%

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 →
37.5%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
-0.47
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
-0.80
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
11.0%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2020 · +12.7%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -23.9%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
60%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20260.24.4-4.1-0.42.0-0.5——————1.4%
20251.62.4-1.4-2.7-0.9-0.9-3.1-0.73.51.3-0.1-4.2-5.1%
2024-4.4-1.10.4-5.33.81.93.5-0.22.6-2.63.1-3.4-2.2%
20235.7-4.33.91.8-3.31.0-3.4-1.4-6.9-0.38.67.07.3%
2022-7.0-1.4-4.5-7.5-0.8-4.67.4-4.2-1.2-3.25.4-4.2-23.9%
2021-4.4-5.3-3.8-1.30.93.41.9-0.4-3.7-0.72.23.9-7.5%
20205.92.00.73.80.12.11.7-3.91.2-2.11.3-0.412.7%
20191.1-0.44.5-1.23.91.4-0.24.6-1.9-0.50.1-2.78.7%
2018-2.20.32.6-2.42.00.9-2.32.0-2.5-1.22.63.22.7%
2017-1.11.30.82.81.7-1.7-4.83.1-2.72.61.5-0.42.8%
2016—————4.11.20.30.4-3.5-4.7-2.3-4.5%

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 13.3%. The dominant macroeconomic risk driver is TLT.US, accounting for 66.9% of variance. Idiosyncratic stock-specific factors contribute 19.0%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-05-0110000
2016-06-0110412.153178875787
2016-07-0110539.293680027318
2016-08-0110569.226186584136
2016-09-0110614.34290156419
2016-10-0110246.361965374193
2016-11-019768.967546478934
2016-12-019547.161860755723
2017-01-019439.564670924057
2017-02-019562.128114034133
2017-03-019640.737269603249
2017-04-019907.005804872024
2017-05-0110080.134841582934
2017-06-019909.403311465167
2017-07-019433.243971723952
2017-08-019729.953575554151
2017-09-019469.279222336043
2017-10-019717.31217715394
2017-11-019859.200976439048
2017-12-019818.15275749584
2018-01-019605.501187855538
2018-02-019629.912164076632
2018-03-019881.287097781942
2018-04-019644.805765640098
2018-05-019840.456833983566
2018-06-019927.638891916044
2018-07-019700.239024142164
2018-08-019891.53098958901
2018-09-019646.18614822403
2018-10-019526.45612199676
2018-11-019771.001794497359
2018-12-0110082.677651605967
2019-01-0110190.347493152576
2019-02-0110152.423297951947
2019-03-0110604.825526906563
2019-04-0110478.992756624019
2019-05-0110887.222742892845
2019-06-0111043.205974877037
2019-07-0111022.718191262906
2019-08-0111528.156172126442
2019-09-0111305.91457611357
2019-10-0111250.336014181614
2019-11-0111265.084312315192
2019-12-0110963.289088438933
2020-01-0111605.675551971404
2020-02-0111842.665446117855
2020-03-0111928.83038004112
2020-04-0112376.873506099113
2020-05-0112384.647239598093
2020-06-0112646.774627115072
2020-07-0112866.836671679635
2020-08-0112370.334851754176
2020-09-0112518.108439949725
2020-10-0112251.2586909614
2020-11-0112406.152147221434
2020-12-0112353.11639531251
2021-01-0111814.549232434632
2021-02-0111182.987874428776
2021-03-0110759.137769447047
2021-04-0110618.919959605646
2021-05-0110713.948402752047
2021-06-0111082.655856091484
2021-07-0111296.251898026052
2021-08-0111248.229114448248
2021-09-0110830.336450091903
2021-10-0110756.812914568847
2021-11-0110998.597821901585
2021-12-0111429.713098377688
2022-01-0110628.800592837992
2022-02-0110479.138060053907
2022-03-0110011.333667531222
2022-04-019260.914103877421
2022-05-019185.864882340547
2022-06-018765.647363106005
2022-07-019417.40589786622
2022-08-019017.385555386034
2022-09-018907.826769250887
2022-10-018622.81409152663
2022-11-019084.588391708987
2022-12-018699.679605937099
2023-01-019196.907943011995
2023-02-018803.280951446859
2023-03-019145.833787406551
2023-04-019310.753180328822
2023-05-019000.094447229427
2023-06-019086.913246587186
2023-07-018773.784355179703
2023-08-018653.98167723749
2023-09-018057.511097549458
2023-10-018036.950662220383
2023-11-018725.543616457066
2023-12-019334.65559454531
2024-01-018921.412639945365
2024-02-018826.09358993919
2024-03-018863.945133424873
2024-04-018394.8330100332
2024-05-018714.863814360337
2024-06-018882.108062160807
2024-07-019188.552995793465
2024-08-019169.518246478208
2024-09-019407.815871493645
2024-10-019166.684829595402
2024-11-019448.500831862135
2024-12-019129.196544684437
2025-01-019278.931729183467
2025-02-019506.186293527458
2025-03-019374.904644624135
2025-04-019122.948497199275
2025-05-019040.27084559331
2025-06-018962.460858888573
2025-07-018684.931307803521
2025-08-018628.045015002579
2025-09-018928.677811439738
2025-10-019043.540172765779
2025-11-019036.420304701292
2025-12-018660.01176957782
2026-01-018679.48242918274
2026-02-019060.831280922386
2026-03-018689.145107270257
2026-04-018652.819249798391
2026-05-018827.183365663346
2026-06-018783.592336697107
Annual Return Matrix
YearAnnual Return
20170.02838444562818654
20180.026942430072517398
20190.08733904497013278
20200.12677101695139892
2021-0.07475063517455527
2022-0.23885406999656755
20230.07298843375506281
2024-0.02201035140288754
2025-0.05139387379931082
20260.014270253945083411
Total Factor Risk
0.13254259326442244
VTI.US Exposure
-0.0398618258991466
VEA.US Exposure
0.02406626679445752
VWO.US Exposure
0.00016837073560357934
QQQ.US Exposure
0.07009222616377485
VTV.US Exposure
0.02211260820499161
IJR.US Exposure
-0.0021449168355919543
QUAL.US Exposure
-0.027585273314551774
SHV.US Exposure
0.014607494504837927
TLT.US Exposure
0.6694749500187692
LQD.US Exposure
0.03875995101982636
HYG.US Exposure
0.000746243002186826
GLD.US Exposure
0.0012516254573857093
USO.US Exposure
0.03482902125270971
VNQ.US Exposure
0.012292895126613605
BTC-USD.CC Exposure
0.00457842184444847
CPER.US Exposure
0.012435039455298367
VIX.INDX Exposure
0.009046752528884205
UUP.US Exposure
-0.014935190727829775
TIP.US Exposure
-0.02035181554137283
Idiosyncratic Exposure
0.190417156208705
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
35.4
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
13.3%

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 →N/A
Forward P/EForward P/E RatioA valuation metric that compares the current stock price to estimated future earnings per share.Click for full definition →No estimate availableN/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →2.95%
Squeeze RiskShort Squeeze RiskA situation where a sharp rise in the price of a stock forces short sellers to buy shares to cover their positions, further driving up the price.Click for full definition →Low
Market Cap$207.5B
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
$39
Avg Yield on Cost
0.39%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$39.230.39%Solid

Momentum & MacroiPrice momentum indicators: distance from 50/200-Day SMA, 52-Week High proximity, Golden Cross trend signal, RSI momentum gauge, Fibonacci retracement levels, and Beta (market sensitivity).

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 →
+1.0%
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 →
-0.1%
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 →
3.9% 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 →
1.16
Market sensitivity coefficient
Trend SignalGolden Cross & Death CrossTechnical chart patterns that occur when a short-term moving average crosses over a long-term moving average.Click for full definition →
✦ Death Cross
Bearish — 50 SMA below 200 SMA
RSI (14-Day)Relative Strength Index (RSI)A momentum oscillator that measures the speed and change of price movements to identify overbought or oversold conditions.Click for full definition →
75
OversoldNeutralOverbought
Overbought
Fibonacci LevelsFibonacci RetracementTechnical levels based on mathematical ratios that indicate potential support and resistance areas.Click for full definition →
38.2% retracement-1.1%
50.0% retracement-0.2%
61.8% retracement+0.7%
% distance of current price from each 52-week Fibonacci support level.

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Frequently Asked Questions & Methodology

Is BMO Long Federal Bond a high-risk investment?

BMO Long Federal Bond (ZFL.TO) has an annualized volatility of 13.3% and experienced a maximum drawdown of 37.5% over the last 10 years. Its primary macro risk driver is TLT.US.

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

Over the past 10 years, ZFL.TO has generated a Compound Annual Growth Rate (CAGR) of -1.8%. It has had a positive return in 60% 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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