5 for 5: Lowering Volatility with BMO ETFsMay 31, 2022
- Theme: Infrastructure
- Invested in infrastructure equities with defensive income streams
- Partially hedged to inflation, and strong underlying demand
- 1-year volatility of 12.4% vs. 14.1% for MSCI World Index, with 0.75 correlation
- Theme: Low Volatility Canada
- Overweight defensive sectors and lower beta companies
- Provides improved risk-adjusted return benefits vs index historically1
- 1-year volatility of 8.8% vs. 12.5% for S&P/TSX Composite Index, with 0.67 correlation
- Theme: Ultra Short Term Fixed Income
- Investment-grade bonds with <1-year maturity, held until maturity
- Low duration of 0.52 to mitigate risk of increasing interest rates
- Low 1-year volatility of 0.8%
- Theme: Covered Call Utilities
- Utilities, Energy Pipelines, Telecoms provide overall defensive positioning
- Addition option income stream serves to dampen volatility
- 1-year volatility of 7.9% vs. 12.5% for S&P/TSX Composite Index
- Theme: Low Volatility US
- Underweight Technology (higher beta), and overweight defensive sectors (Staples, Utilities, Real Estate)
- Benefitting in 2022 from the shift away from Growth, and into defensives/Value
- 1-year volatility of 12.0% vs. 18.5% for S&P 500 Index, with 0.62 correlation
Source: Bloomberg May 31, 2022
1 Bloomberg, as of May 31, 2022. ZLB 10-year risk-adjusted performance relative to S&P/TSX Composite.
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