Strategy

5 for 5: Lowering Volatility with BMO ETFs

Aug. 31, 2022
ZST
ZST BMO Ultra Short-Term Bond ETF
  • 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 1.0%; yield to maturity of 3.7%
ZWU
ZWU BMO Covered Call Utilities ETF
  • Theme: Covered Call Utilities
  • Utilities, Energy Pipelines, Telecoms provide overall defensive positioning
  • Addition option income stream serves to dampen volatility
  • 1-year volatility of 8.6% vs. 13.1% for S&P/TSX Composite Index, with a 2-year correlation of 0.58 and a 3-year correlation of 0.851
ZLB
ZLB BMO Low Volatility Canadian Equity ETF
  • Theme: Low Volatility Canada
  • Overweight defensive sectors and lower beta companies
  • Provides improved risk-adjusted return benefits vs index historically2
  • 1-year volatility of 9.1% vs. 13.1% for S&P/TSX Composite Index, with a 2-year correlation of 0.74 and a 3-year correlation of 0.911
ZLU
ZLU BMO Low Volatility US Equity ETF
  • 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. 18.9% for S&P 500 Index, with a 2-year correlation of 0.58 and a 3-year correlation of 0.751
ZGI
ZGI BMO Global Infrastructure Index ETF
  • Theme: Infrastructure
  • Invested in infrastructure equities with defensive income streams
  • Partially hedged to inflation, and strong underlying demand
  • 1-year volatility of 12.7% vs. 16.4% for MSCI World Index, with a 2-year correlation of 0.48 and a 3-year correlation of 0.681

Source: Bloomberg August 312022

1 2-year correlation data is daily as of August 31, 2022; 3-year correlation data is monthly as of August 312022.

2 Bloomberg, as of August 31, 2022. ZLB 10-year risk-adjusted performance relative to S&P/TSX Composite.

This communication is for information purposes. The information contained herein is not, and should not be construed as, investment, tax or legal advice to any party. Investments should be evaluated relative to the individual’s investment objectives and professional advice should be obtained with respect to any circumstance

The payment of distributions is not guaranteed and may fluctuate. The payment of distributions should not be confused with an Exchange Traded Fund’s performance, rate of return or yield. If distributions paid by the Exchange Traded Fund are greater than the performance of the Exchange Traded Fund, your original investment will shrink. Distributions paid as a result of capital gains realized by an Exchange Traded Fund, and income and dividends earned by an Exchange Traded Fund are taxable in your hands in the year they are paid. Your adjusted cost base will be reduced by the amount of any returns of capital. If your adjusted cost base goes below zero, you will have to pay capital gains tax on the amount below zero. Please refer to the Exchange Traded Funds, distribution policy in the prospectus.

Commissions, management fees and expenses (if applicable) all may be associated with investments in exchange traded funds. Please read the ETF Facts or prospectus before investing. The indicated rates of return are the historical annual compounded total returns including changes in unit value and reinvestment of all dividends or distributions and do not take into account sales, redemption, distribution or optional charges or income taxes payable by any unitholder that would have reduced returns. Exchange traded funds are not guaranteed, their values change frequently and past performance may not be repeated.

For a summary of the risks of an investment in the BMO ETFs, please see the specific risks set out in the prospectus. BMO ETFs trade like stocks, fluctuate in market value and may trade at a discount to their net asset value, which may increase the risk of loss. Distributions are not guaranteed and are subject to change and/​or elimination.

BMO ETFs are managed by BMO Asset Management Inc., which is an investment fund manager and a portfolio manager, and a separate legal entity from Bank of Montreal.

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