BMO Short Federal Bond (ZFS.TO): Historical Returns

Simulation Settings
Category: Fixed Income
Period: July 2010 - October 2024 (~14 years)
Consolidated Returns as of 31 October 2024
Currency: CAD
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1.00$
Initial Capital
November 2014
1.13$
Final Capital
October 2024
1.19%
Yearly Return
2.06
Std Deviation
-5.79%
Max Drawdown
42months
Recovery Period
1.00$
Initial Capital
July 2010
1.24$
Final Capital
October 2024
1.50%
Yearly Return
1.92
Std Deviation
-5.79%
Max Drawdown
42months
Recovery Period

As of October 2024, over the analyzed timeframe, the BMO Short Federal Bond (ZFS.TO) ETF obtained a 1.50% compound annual return, with a 1.92% standard deviation. It suffered a maximum drawdown of -5.79% that required 42 months to be recovered.

Disclaimer: The simulations on this website are provided in good faith but should NOT be taken as investment advice. We are not liable for any errors or actions based on this information. The authors of the website are not affiliated with the ETFs/Assets issuers. Content is for informational, educational, illustrative and entertainment purposes only.

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Investment Returns as of Oct 31, 2024

The BMO Short Federal Bond (ZFS.TO) ETF guaranteed the following returns.

Returns are calculated in CAD, assuming:
  • no fees or capital gain taxes.
  • dividend reinvestment, when applicable.
  • the actual Canada Inflation rates.
BMO SHORT FEDERAL BOND (ZFS.TO) ETF
1 July 2010 - 31 October 2024 (~14 years)
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of Oct 31, 2024
  1 Day Time ET(*) Nov 2024 YTD
(10M)
1M 6M 1Y 5Y 10Y MAX
(~14Y)
Investment Return n.a. n.a. 3.78 -0.33 4.26 6.73 1.19 1.19 1.50
Canada Inflation Adjusted Return 1.98 -0.33 3.94 5.08 -2.09 -1.27 -0.79
Returns over 1 year are annualized
(*) Eastern Time (ET - America/New York)
Canada Inflation is updated to Sep 2024. Pending updates, the monthly inflation is set at 0% for the subsequent periods. Inflation (annualized) is 1Y: 1.58% , 5Y: 3.35% , 10Y: 2.50%
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Capital Growth as of Oct 31, 2024

An investment of 1$, from November 2014 to October 2024, would be worth 1.13$, with a total return of 12.59% (1.19% annualized).

The Inflation Adjusted Capital would be 0.88$, with a net total return of -12.01% (-1.27% annualized).

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An investment of 1$, from July 2010 to October 2024, would be worth 1.24$, with a total return of 23.72% (1.50% annualized).

The Inflation Adjusted Capital would be 0.89$, with a net total return of -10.76% (-0.79% annualized).

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Investment Metrics as of Oct 31, 2024

Metrics of BMO Short Federal Bond (ZFS.TO) ETF, updated as of 31 October 2024, provide a comprehensive overview of the portfolio's performance and risk characteristics.

These metrics include detailed data on returns, volatility, drawdowns and other key performance indicators. By examining them, you can gain insights into how the portfolio has performed over various time periods and understand its risk profile.

Metrics are calculated based on monthly returns, assuming:
  • no fees or capital gain taxes.
  • dividend reinvestment, when applicable.
  • the actual Canada Inflation rates.
BMO SHORT FEDERAL BOND (ZFS.TO) ETF
Advanced Metrics
1 July 2010 - 31 October 2024 (~14 years)
Swipe left to see all data
Metrics as of Oct 31, 2024
YTD
(10M)
1M 3M 6M 1Y 3Y 5Y 10Y MAX
(~14Y)
Investment Return (%)
3.78 -0.33 1.50 4.26 6.73 1.34 1.19 1.19 1.50
Growth of 1$ 1.04 1.00 1.02 1.04 1.07 1.04 1.06 1.13 1.24
Infl. Adjusted Return (%)
1.98 -0.33 2.13 3.94 5.08 -2.41 -2.09 -1.27 -0.79
Canada Inflation (%) 1.77 0.00 -0.62 0.31 1.58 3.84 3.35 2.50 2.31
Pending updates, the monthly inflation of Oct 2024 and beyond is set at 0%. Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
Current 1Y 3Y 5Y 10Y MAX
Deepest Drawdown Depth (%) -0.33 -0.58 -4.35 -5.79 -5.79 -5.79
Start to Recovery (# months)
1* 2 29 42 42 42
Start (yyyy mm) 2024 04 2022 01 2021 02 2021 02 2021 02
Start to Bottom (# months) 1 10 21 21 21
Bottom (yyyy mm) 2024 04 2022 10 2022 10 2022 10 2022 10
Bottom to End (# months) 1 19 21 21 21
End (yyyy mm) 2024 05 2024 05 2024 07 2024 07 2024 07
Longest Drawdown Depth (%) -0.41
same

same

same

same
Start to Recovery (# months)
3
Start (yyyy mm) 2024 01 2022 01 2021 02 2021 02 2021 02
Start to Bottom (# months) 2 10 21 21 21
Bottom (yyyy mm) 2024 02 2022 10 2022 10 2022 10 2022 10
Bottom to End (# months) 1 19 21 21 21
End (yyyy mm) 2024 03 2024 05 2024 07 2024 07 2024 07
Longest negative period (# months)
4 30 50 54 54
Start (yyyy mm) 2024 01 2021 11 2020 04 2019 04 2019 04
End (yyyy mm) 2024 04 2024 04 2024 05 2023 09 2023 09
Annualized Return (%) -1.37 -0.08 -0.09 -0.12 -0.12
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%) -14.89 -1.89 -12.44 -18.18 -19.46 -19.46
Start to Recovery (# months)
117* 8 34* 54* 117* 117*
Start (yyyy mm) 2024 01 2022 01 2020 05 2015 02 2015 02
Start to Bottom (# months) 4 21 41 104 104
Bottom (yyyy mm) 2024 04 2023 09 2023 09 2023 09 2023 09
Bottom to End (# months) 4 13 13 13 13
End (yyyy mm) 2024 08 - - - -
Longest Drawdown Depth (%)
same

same

same

same

same
Start to Recovery (# months)
Start (yyyy mm) 2024 01 2022 01 2020 05 2015 02 2015 02
Start to Bottom (# months) 4 21 41 104 104
Bottom (yyyy mm) 2024 04 2023 09 2023 09 2023 09 2023 09
Bottom to End (# months) 4 13 13 13 13
End (yyyy mm) 2024 08 - - - -
Longest negative period (# months)
7 36* 60* 120* 172*
Start (yyyy mm) 2024 01 2021 11 2019 11 2014 11 2010 07
End (yyyy mm) 2024 07 2024 10 2024 10 2024 10 2024 10
Annualized Return (%) -0.26 -2.41 -2.09 -1.27 -0.79
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y MAX
Standard Deviation (%) 2.33 2.85 2.50 2.06 1.92
Sharpe Ratio 0.61 -0.78 -0.42 -0.16 0.23
Sortino Ratio 0.79 -1.07 -0.59 -0.23 0.33
Ulcer Index 0.24 2.59 2.98 2.20 1.85
Ratio: Return / Standard Deviation 2.89 0.47 0.48 0.58 0.78
Ratio: Return / Deepest Drawdown 11.61 0.31 0.21 0.21 0.26
Positive Months (%)
66.66 52.77 60.00 59.16 60.46
Positive Months 8 19 36 71 104
Negative Months 4 17 24 49 68
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y MAX
Best 10 Years Return (%) - Annualized 1.19 1.92
Worst 10 Years Return (%) - Annualized 0.68
Best 10 Years Return (%) - Annualized -1.27 0.27
Worst 10 Years Return (%) - Annualized -1.81
TIMEFRAMES
Inflation Adjusted:
Inflation Adjusted:
1M 3M 6M 1Y 3Y 5Y 10Y MAX
··· As of Oct 2024 - Over the previous 10Y
Best Rolling Return (%) - Annualized 7.75 2.77 1.55 1.19
Worst Rolling Return (%) - Annualized -5.32 -1.68 0.27
Positive Periods (%) 63.3 62.3 100.0 100.0
Best Rolling Return (%) - Annualized 6.01 1.14 0.08 -1.27
Worst Rolling Return (%) - Annualized -11.62 -6.32 -2.87
Positive Periods (%) 33.0 22.3 4.9 0.0
95% VaR - Value at Risk (%) - Cumulative
0.88 1.40 1.80
95% CVaR - Conditional Value at Risk (%) 1.13 1.82 2.40
99% VaR - Value at Risk (%) - Cumulative
1.29 2.10 2.79
99% CVaR - Conditional Value at Risk (%) 1.54 2.55 3.42
Short term VaRs: analytical
Safe Withdrawal Rate (%) 93.27 29.71 18.59 9.46
Perpetual Withdrawal Rate (%) --- --- --- ---
% based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com
··· All available data (Jul 2010 - Oct 2024)
Best Rolling Return (%) - Annualized 7.75 2.77 2.29 1.92
Worst Rolling Return (%) - Annualized -5.32 -1.68 0.27 0.68
Positive Periods (%) 75.1 76.6 100.0 100.0
Best Rolling Return (%) - Annualized 6.01 1.14 0.80 0.27
Worst Rolling Return (%) - Annualized -11.62 -6.32 -2.87 -1.81
Positive Periods (%) 45.3 45.2 22.1 22.6
95% VaR - Value at Risk (%) - Cumulative
0.79 1.20 1.48 3.76 2.99
95% CVaR - Conditional Value at Risk (%) 1.02 1.60 2.04 4.38 4.56
99% VaR - Value at Risk (%) - Cumulative
1.16 1.86 2.41 4.79 4.96
99% CVaR - Conditional Value at Risk (%) 1.40 2.27 2.99 5.32 4.96
Short term VaRs: analytical | 1+ year VaRs: historical data
Safe Withdrawal Rate (%) 93.27 29.71 18.59 9.46
Perpetual Withdrawal Rate (%) --- --- --- ---
% based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com
Terms and Definitions
  • Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio.
  • Deepest/Longest Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. The deepest (or maximum) drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. The longest drawdown is the period observed from a peak to the subsequent peak with the greatest duration.
  • Longest negative period: it's the maximum period for which an overall negative return has been observed.
  • Standard Deviation: it's a measure of the dispersion of returns around the mean.
  • Sharpe Ratio: it's a measure of risk-adjusted performance of the portfolio. It's calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return.
  • Sortino Ratio: another measure of risk-adjusted performance of the portfolio. It's a modification of the Sharpe Ratio (same formula but the denominator is the portfolio downside standard deviation).
  • Ulcer Index: it's a measure of downside risk that quantifies the depth and duration of drawdowns in an investment portfolio.
  • Best/Worst 10Y returns: the best and the worst 10-year return over a time frame.
  • Rolling Returns: N-year returns over a time frame, calculated over all the available data source (best, worst, % of positive returns). Each rolling period, longer than the longest negative period, yielded a non-negative minimum return.
  • Value at Risk (VaR): it's an evaluation of a cumulative worst-case loss (in absolute value), associated with a probability (95%-99%) and a time horizon. For short term, it's calculated based on the expected return and standard deviation, assuming a normal distribution of monthly returns. For long term is retrieved by the historical rolling return data.
  • Conditional Value at Risk (CVaR): it represents the average expected loss if that worst-case threshold (95%-99%) is ever crossed.
  • Safe Withdrawal Rate (SWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, without the portfolio running out of money in any case (money amount withdrawal).
    For instance: Your initial invested capital is 100.000$; withdrawal rate (annualized) is 4%. This means that, in the first month, you will withdraw 100.000 * 4% * 1/12 = 333.33$. The second month, you’ll withdraw 333.33$ plus the inflation monthly rate. You’ll continue adjusting your withdraw monthly for inflation.
  • Perpetual Withdrawal Rate (PWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, preserving the original invested capital, adjusted for inflation too.
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Correlations as of Oct 31, 2024

Correlation measures to what degree the returns of two assets move in relation to each other. It is a statistical measure that describes the extent to which the returns of one asset are related to the returns of another asset.

The following table shows the monthly correlations of BMO Short Federal Bond (ZFS.TO) ETF vs the main Asset Classes, over different timeframes. Columns are sortable (click on table header to sort).

BMO SHORT FEDERAL BOND (ZFS.TO) ETF
Monthly correlations as of 31 October 2024
Swipe left to see all data
Correlation vs ZFS.TO
Asset Class 1 Year 5 Years 10 Years 30 Years
VUN.TO
0.42 0.19 0.19 -
Terms and Definitions
Correlation values range between -1 and +1
  • A correlation of +1 indicates that the returns of the two assets move in perfect synchrony; when one asset's returns go up, the other asset's returns also go up by the same percentage, and vice versa. This perfect positive correlation implies that the assets perform similarly in different market conditions.
  • A correlation of -1 indicates a perfect inverse relationship between the returns of the two assets. When one asset's returns go up, the other asset's returns go down by the same percentage. This perfect negative correlation suggests that the assets move in opposite directions, providing a diversification benefit by reducing overall portfolio risk.
  • A correlation of 0 means that there is no linear relationship between the returns of the two assets. The returns of one asset do not predict the returns of the other.
Learn about historical correlations here: see how the main asset classes relate to each other.

Drawdowns

A drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.

BMO SHORT FEDERAL BOND (ZFS.TO) ETF
Drawdown periods
Drawdown periods - Inflation Adjusted
1 November 2014 - 31 October 2024 (10 Years)
1 July 2010 - 31 October 2024 (~14 years)
Inflation Adjusted:

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Rolling Returns

For a detailed rolling return analysis, click here
BMO Short Federal Bond (ZFS.TO) ETF: Rolling Returns

A rolling return is a measure of investment performance that calculates the return of an investment over a set period of time, with the starting date rolling forward. This approach can provide a more accurate representation of the investment's historical performance and helps investors to evaluate the investment's consistency over time.

BMO SHORT FEDERAL BOND (ZFS.TO) ETF
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
1 November 2014 - 31 October 2024 (10 Years)
1 July 2010 - 31 October 2024 (~14 years)
Inflation Adjusted:

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The values shown for the rolling periods represent key statistical points: the minimum, maximum, median, and the 15th and 85th percentiles. These percentiles give insight into the distribution of the data, indicating the range within which the central 70% of the values lie, while the median represents the middle value.

Seasonality

In which months is it better to invest in BMO Short Federal Bond (ZFS.TO) ETF?

Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past. They are retrieved considering the time period from July 2010 to October 2024.

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For further information about the seasonality, check the Asset Class Seasonality page.

Monthly Returns

This section provides a visual/tabular representation of the performance variability in the BMO Short Federal Bond (ZFS.TO) ETF over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

BMO SHORT FEDERAL BOND (ZFS.TO) ETF
Monthly Returns Distribution
1 November 2014 - 31 October 2024 (10 Years)
1 July 2010 - 31 October 2024 (~14 years)
71 Positive Months (59%) - 49 Negative Months (41%)
104 Positive Months (60%) - 68 Negative Months (40%)

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The first official book of
Build wealth
with Lazy Portfolios and Passive Investing