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EHE.TO vs. CMAG.TO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

EHE.TO vs. CMAG.TO

Last updated Jul 1, 2026
See Documentation

EHE.TO (CI Europe Hedged Equity Index ETF) and CMAG.TO (CI Munro Alternative Global Growth Fund) are both exchange-traded funds - EHE.TO is a Europe Equities fund tracking the WisdomTree Europe CAD-Hedged Equity Index, while CMAG.TO is a Long-Short fund actively managed by CI. EHE.TO is passively managed, while CMAG.TO is actively managed. Over the past 5 years, EHE.TO returned 10.01%/yr vs 13.00%/yr for CMAG.TO. At a 0.10 correlation, their price movements are largely independent.

Performance

EHE.TO vs. CMAG.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in CI Europe Hedged Equity Index ETF (EHE.TO) and CI Munro Alternative Global Growth Fund (CMAG.TO). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, EHE.TO achieves a 7.41% return, which is significantly lower than CMAG.TO's 19.65% return.

EHE.TO

1D
0.58%
1M
1.53%
YTD
7.41%
6M
7.99%
1Y
17.80%
3Y*
13.93%
5Y*
10.01%
10Y*
—

CMAG.TO

1D
1.88%
1M
4.29%
YTD
19.65%
6M
18.78%
1Y
25.76%
3Y*
26.00%
5Y*
13.00%
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

EHE.TO vs. CMAG.TO - Yearly Performance Comparison

2026 (YTD)202520242023202220212020
EHE.TO
CI Europe Hedged Equity Index ETF		7.41%22.91%4.19%22.26%-10.45%23.79%-5.68%
CMAG.TO
CI Munro Alternative Global Growth Fund		19.65%13.08%37.11%16.07%-19.04%9.21%34.62%

Correlation

The correlation between EHE.TO and CMAG.TO is -0.01, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

-0.01

Correlation (3Y)
Calculated over the trailing 3-year period

0.06

Correlation (5Y)
Calculated over the trailing 5-year period

0.07

Correlation (All Time)
Calculated using the full available price history since Jan 28, 2020

0.10

The correlation between EHE.TO and CMAG.TO shifts across timeframes, from -0.01 (1 year) to 0.10 (all time), reflecting how their relationship changes across market environments.

Compare stocks, funds, or ETFs

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CI Europe Hedged Equity Index ETF

CI Munro Alternative Global Growth Fund

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Return for Risk

EHE.TO vs. CMAG.TO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
EHE.TO
EHE.TO Risk / Return Rank: 4040
Overall Rank
EHE.TO Sharpe Ratio Rank: 3838
Sharpe Ratio Rank
EHE.TO Sortino Ratio Rank: 4040
Sortino Ratio Rank
EHE.TO Omega Ratio Rank: 4040
Omega Ratio Rank
EHE.TO Calmar Ratio Rank: 3838
Calmar Ratio Rank
EHE.TO Martin Ratio Rank: 4444
Martin Ratio Rank
CMAG.TO
CMAG.TO Risk / Return Rank: 4444
Overall Rank
CMAG.TO Sharpe Ratio Rank: 4141
Sharpe Ratio Rank
CMAG.TO Sortino Ratio Rank: 3939
Sortino Ratio Rank
CMAG.TO Omega Ratio Rank: 4141
Omega Ratio Rank
CMAG.TO Calmar Ratio Rank: 5353
Calmar Ratio Rank
CMAG.TO Martin Ratio Rank: 4444
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

EHE.TO vs. CMAG.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for CI Europe Hedged Equity Index ETF (EHE.TO) and CI Munro Alternative Global Growth Fund (CMAG.TO). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

EHE.TOCMAG.TODifference
Sharpe ratioReturn per unit of total volatility
1.22
1.29

-0.07

Sortino ratioReturn per unit of downside risk
1.82
1.80

+0.02

Omega ratioGain probability vs. loss probability

1.23

1.24

-0.01

Calmar ratioReturn relative to maximum drawdown

1.68

2.24

-0.57

Martin ratioReturn relative to average drawdown

6.34

6.23

+0.10

EHE.TO vs. CMAG.TO - Sharpe Ratio Comparison

The current EHE.TO Sharpe Ratio is 1.22, which is comparable to the CMAG.TO Sharpe Ratio of 1.29. The chart below compares the historical Sharpe Ratios of EHE.TO and CMAG.TO, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

EHE.TO vs. CMAG.TO - Drawdown Comparison

The maximum EHE.TO drawdown since its inception was -38.20%, which is greater than CMAG.TO's maximum drawdown of -23.94%. Use the drawdown chart below to compare losses from any high point for EHE.TO and CMAG.TO.

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Drawdown Indicators

EHE.TOCMAG.TODifference

Max Drawdown

Largest peak-to-trough decline

-38.20%

-23.94%

-14.26%

Max Drawdown (1Y)

Largest decline over 1 year

-11.85%

-11.54%

-0.31%

Max Drawdown (3Y)

Largest decline over 3 years

-16.30%

-18.87%

+2.57%

Max Drawdown (5Y)

Largest decline over 5 years

-22.91%

-23.94%

+1.03%

Current Drawdown

Current decline from peak

-0.97%

0.00%

-0.97%

Average Drawdown

Average peak-to-trough decline

-5.32%

-8.12%

+2.80%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.13%

4.14%

-1.01%

Volatility

EHE.TO vs. CMAG.TO - Volatility Comparison

The current volatility for CI Europe Hedged Equity Index ETF (EHE.TO) is 5.06%, while CI Munro Alternative Global Growth Fund (CMAG.TO) has a volatility of 9.23%. This indicates that EHE.TO experiences smaller price fluctuations and is considered to be less risky than CMAG.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

EHE.TOCMAG.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

5.06%

9.23%

-4.17%

Volatility (6M)

Calculated over the trailing 6-month period

13.37%

17.19%

-3.82%

Volatility (1Y)

Calculated over the trailing 1-year period

16.28%

20.04%

-3.76%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

18.09%

17.02%

+1.07%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

17.45%

17.07%

+0.38%

Dividends

EHE.TO vs. CMAG.TO - Dividend Comparison

EHE.TO's dividend yield for the trailing twelve months is around 2.16%, while CMAG.TO has not paid dividends to shareholders.

PositionTTM2025202420232022202120202019201820172016
CMAG.TO
CI Munro Alternative Global Growth Fund		0.00%0.21%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
EHE.TO
CI Europe Hedged Equity Index ETF		2.16%2.16%4.38%3.30%2.19%1.90%2.55%2.02%2.08%1.37%0.13%

Frequently Asked Questions

EHE.TO and CMAG.TO have a correlation of -0.01, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

EHE.TO is categorized as Europe Equities, while CMAG.TO is Long-Short.

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