XMS.TO's Sortino Ratio of 0.62 indicates that for each unit of downside volatility, it generates 0.62 units of excess return. The ratio is calculated using historical daily returns over the past 12 months (as of Aug 5, 2026).
Unlike other measures, Sortino only focuses on downside volatility (losses), making it particularly useful for investors more concerned about protecting against drawdowns than overall price swings.
XMS.TO Sortino Ratio Rank
XMS.TO ranks above 16.8% of all investments in our database based on Sortino Ratio over the past 12 months, indicating weak returns relative to downside risk taken. Securities are ranked from 0 (worst) to 100 (best).
What moves the rank
- Strong returns with minimal downside volatility → Higher rank
- Severe or frequent drawdowns → Lower rank
- Upside volatility → No impact (Sortino doesn't penalize upside swings)
What you can do with this information
- Weak downside-adjusted returns relative to category peers
- Evaluate whether this holding aligns with your risk-return objectives
- Consider reducing exposure or implementing downside hedges
- Review higher-ranked alternatives in the same category
XMS.TO Sortino Ratio Market Positioning
The chart shows XMS.TO's Sortino Ratio relative to all ETFs on our platform, with color zones indicating percentile rankings. Higher ratios indicate better downside-adjusted returns.
- Red zone (bottom 25%): 1.04 or lower
- Yellow zone (middle 50%): 1.04 to 2.75
- Green zone (top 25%): 2.75 or higher
- Top 1%: 14.20+
- Median: 2.06 — half of all investments score higher
How it compares to other similar ETFs
The table compares iShares MSCI Min Vol USA Index ETF (CAD-Hedged)'s Sortino Ratio with other ETFs in the Low Volatility category across multiple time periods, showing how XMS.TO's risk-adjusted performance compares to similar funds.
Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Aug 5, 2026.
| Symbol | Name | 1Y Sortino Ratio | 5Y Sortino Ratio | 10Y Sortino Ratio | All Time Sortino Ratio |
|---|---|---|---|---|---|
| TLV.TO | Invesco S&P/TSX Composite Low Volatility Index ETF | 5.62 | |||
| FLVI.NEO | Franklin International Low Volatility High Dividend Index ETF | 3.81 | |||
| HVOI.TO | Harvest Low Volatility Canadian Equity Income ETF Class A | 3.35 | |||
| TCLV.TO | TD Q Canadian Low Volatility ETF | 3.24 | |||
| XMV.TO | iShares MSCI Min Vol Canada Index ETF | 2.94 | |||
| BLOV.TO | Brompton North American Low Volatility Dividend ETF | 2.81 | |||
| XML.TO | iShares MSCI Min Vol EAFE Index ETF (CAD-Hedged) | 2.74 | |||
| TILV.TO | TD Q International Low Volatility ETF | 2.62 | |||
| ZLE.TO | BMO Low Volatility Emerging Markets Equity ETF | 2.62 | |||
| FCIL.NEO | Fidelity International Low Volatility ETF | 2.52 | |||
| XMS.TO | iShares MSCI Min Vol USA Index ETF (CAD-Hedged) | 0.62 |
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How much price history to include in the calculation
Historical Sortino Ratio
The chart shows XMS.TO's rolling Sortino ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to downside risk, while declining trends may signal deteriorating risk-adjusted performance or increased volatility during market stress. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.
Identify market cycles by observing when XMS.TO consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.
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