PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan

CI Morningstar International Momentum Index ETF Common Units CAD Hedged (ZXM.TO) Sharpe Ratio: 2.28

ETF · Currency in CAD · Last updated Jun 4, 2026

The ETF aims to replicate the performance of the Morningstar Developed Markets ex-North America Target Momentum Index, investing in equity securities of large and liquid issuers from developed markets outside the U.S. and Canada, focusing on those with positive momentum in earnings and price.

ZXM.TO's Sharpe Ratio of 2.28 indicates that for each unit of volatility, it generates 2.28 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 4, 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.

ZXM.TO Sharpe Ratio Rank

ZXM.TO Sharpe Ratio Rank: 69.069
Above Average

ZXM.TO ranks above 69.0% 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

ZXM.TO Sharpe Ratio Market Positioning

The chart shows ZXM.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%): 0.85 or lower
  • Yellow zone (middle 50%): 0.85 to 2.41
  • Green zone (top 25%): 2.41 or higher
  • Top 1%: 7.77+
  • Median: 1.69 — half of all investments score higher

How it compares to other similar ETFs

The table compares CI Morningstar International Momentum Index ETF Common Units CAD Hedged's Sharpe Ratio with other ETFs in the Momentum, Foreign Large Cap Equities category across multiple time periods, showing how ZXM.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 4, 2026.

SymbolName1Y Sharpe Ratio5Y Sharpe Ratio10Y Sharpe RatioAll Time Sharpe Ratio
WXM.TOCI Morningstar Canada Momentum Index ETF3.10
FCCM.NEOFidelity Canadian Momentum Index ETF2.69
RIDH.TORBC Quant EAFE Dividend Leaders (CAD Hedged) ETF2.67
VMO.TOVanguard Global Momentum Factor ETF CAD2.51
FCIM.NEOFidelity International Momentum Index ETF2.32
ZXM.TOCI Morningstar International Momentum Index ETF Common Units CAD Hedged2.28
XMTM.TOiShares MSCI USA Momentum Factor Index ETF2.20
VIDY.TOVanguard FTSE Developed ex North America High Dividend Yield Index ETF2.11
FCIV.TOFidelity International Value ETF2.08
FCMO.NEOFidelity US Momentum ETF1.99

S&P 500 Index

How to choose period

Historical Sharpe Ratio

The chart shows ZXM.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 ZXM.TO consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.

Loading charts...

Sharpe Ratio Calculator

How does ZXM.TO fit in your portfolio?

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

Analyze Your Portfolio