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iShares MSCI USA Momentum Factor Index ETF (XMTM.TO) Sharpe Ratio: 2.14

ETF · Currency in CAD · Last updated Jun 5, 2026

The ETF aims to provide exposure to an index measuring the performance of U.S. equity securities exhibiting positive momentum characteristics, currently tracking the MSCI USA Momentum SR Variant Index.

XMTM.TO's Sharpe Ratio of 2.14 indicates that for each unit of volatility, it generates 2.14 units of excess return above the risk-free rate. The ratio is calculated using historical daily returns over the past 12 months (as of Jun 5, 2026).

Sharpe uses total volatility (standard deviation) which includes both upside and downside price movements, making it useful for comparing risk-adjusted returns across different assets.

XMTM.TO Sharpe Ratio Rank

XMTM.TO Sharpe Ratio Rank: 65.866
Above Average

XMTM.TO ranks above 65.8% of all investments in our database based on Sharpe Ratio over the past 12 months, indicating above-average returns relative to volatility. Securities are ranked from 0 (worst) to 100 (best).

What moves the rank

  • Strong returns with low total volatility → Higher rank
  • High volatility (both upside and downside) → Lower rank
  • Consistent returns → Higher rank than volatile returns of same magnitude
  • Sharp drawdowns increase volatility → Lower rank

What you can do with this information

  • Above-average risk-adjusted returns with room for improvement
  • Compare against category peers to gauge relative positioning
  • Monitor for movement toward top tier or decline toward median
  • Consider pairing with top-tier holdings to improve portfolio efficiency

XMTM.TO Sharpe Ratio Market Positioning

The chart shows XMTM.TO's Sharpe Ratio relative to all ETFs on our platform, with color zones indicating percentile rankings. Higher ratios indicate better risk-adjusted returns.

  • Red zone (bottom 25%): 0.86 or lower
  • Yellow zone (middle 50%): 0.86 to 2.39
  • Green zone (top 25%): 2.39 or higher
  • Top 1%: 7.60+
  • Median: 1.70 — half of all investments score higher

How it compares to other similar ETFs

The table compares iShares MSCI USA Momentum Factor Index ETF's Sharpe Ratio with other ETFs in the Momentum, Large Cap Blend Equities category across multiple time periods, showing how XMTM.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 Jun 5, 2026.

SymbolName1Y Sharpe Ratio5Y Sharpe Ratio10Y Sharpe RatioAll Time Sharpe Ratio
KNGC.TOBrompton Canadian Cash Flow Kings ETF4.52
WXM.TOCI Morningstar Canada Momentum Index ETF3.22
FCCM.NEOFidelity Canadian Momentum Index ETF2.85
TPU.TOTD U.S. Equity Index ETF2.61
ETSX.TOEvolve S&P/TSX 60 Enhanced Yield Fund CAD Unhedged2.59
VMO.TOVanguard Global Momentum Factor ETF CAD2.58
VUN.TOVanguard U.S. Total Market Index ETF2.55
CNCL.TOGlobal X Enhanced S&P/TSX 60 Covered Call ETF2.53
QUU.TOMackenzie US Large Cap Equity Index ETF2.53
HBF.TOHarvest US Equity Leaders Income ETF Class A (CAD Hedged)2.52
XMTM.TOiShares MSCI USA Momentum Factor Index ETF2.14

S&P 500 Index

How to choose period

Historical Sharpe Ratio

The chart shows XMTM.TO's rolling Sharpe ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to total volatility, while declining trends may signal deteriorating risk-adjusted performance or increased volatility. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.

Identify market cycles by observing when XMTM.TO consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.

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Sharpe Ratio Calculator

How does XMTM.TO fit in your portfolio?

Add your other holdings to see your portfolio's Sharpe Ratio and find out.

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