EHE.TO vs. VXM-B.TO

Last updated Jun 8, 2026

EHE.TO (CI Europe Hedged Equity Index ETF) and VXM-B.TO (CI Morningstar International Value Index ETF (Unhedged)) are both exchange-traded funds - EHE.TO is a Europe Equities fund tracking the WisdomTree Europe CAD-Hedged Equity Index, while VXM-B.TO is a Foreign Small & Mid Cap Equities fund tracking the Morningstar Developed Markets ex-North America Target Value Index. Both are passively managed. Over the past 5 years, EHE.TO returned 9.97%/yr vs 13.47%/yr for VXM-B.TO. At a 0.29 correlation, their price movements are largely independent.

Performance

EHE.TO vs. VXM-B.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 Morningstar International Value Index ETF (Unhedged) (VXM-B.TO). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, EHE.TO achieves a 5.98% return, which is significantly lower than VXM-B.TO's 8.33% return.

EHE.TO

• 1D: 1.09%
• 1M: 3.27%
• YTD: 5.98%
• 6M: 7.19%
• 1Y: 14.83%
• 3Y*: 13.45%
• 5Y*: 9.97%
• 10Y*: —

VXM-B.TO

• 1D: -1.40%
• 1M: -0.04%
• YTD: 8.33%
• 6M: 11.25%
• 1Y: 29.05%
• 3Y*: 22.94%
• 5Y*: 13.47%
• 10Y*: 8.45%

*Multi-year figures are annualized to reflect compound growth (CAGR)

EHE.TO vs. VXM-B.TO - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
EHE.TO CI Europe Hedged Equity Index ETF	5.98%	22.91%	4.20%	22.26%	-10.45%	23.79%	-5.96%	24.49%	-10.68%	15.40%
VXM-B.TO CI Morningstar International Value Index ETF (Unhedged)	8.33%	43.08%	13.62%	14.40%	-6.20%	7.38%	-12.37%	7.99%	-13.02%	20.84%

Correlation

The correlation between EHE.TO and VXM-B.TO is 0.05, 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	0.05
Correlation (3Y) Calculated over the trailing 3-year period	0.25
Correlation (5Y) Calculated over the trailing 5-year period	0.26
Correlation (All Time) Calculated using the full available price history since Jul 18, 2016	0.29

Over the past year, the correlation between EHE.TO and VXM-B.TO has dropped to 0.05 - well below their long-term average of 0.29, suggesting their price drivers have been diverging.

Return for Risk

EHE.TO vs. VXM-B.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: 29
EHE.TO Sharpe Ratio Rank: 28
EHE.TO Sortino Ratio Rank: 28
EHE.TO Omega Ratio Rank: 29
EHE.TO Calmar Ratio Rank: 28
EHE.TO Martin Ratio Rank: 33

VXM-B.TO

VXM-B.TO Risk / Return Rank: 69
VXM-B.TO Sharpe Ratio Rank: 75
VXM-B.TO Sortino Ratio Rank: 72
VXM-B.TO Omega Ratio Rank: 74
VXM-B.TO Calmar Ratio Rank: 63
VXM-B.TO Martin Ratio Rank: 60

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. VXM-B.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 Morningstar International Value Index ETF (Unhedged) (VXM-B.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.

	EHE.TO	VXM-B.TO	Difference
Sharpe ratio: Return per unit of total volatility	0.92	2.18	-1.26
Sortino ratio: Return per unit of downside risk	1.40	2.92	-1.52
Omega ratio: Gain probability vs. loss probability	1.18	1.39	-0.22
Calmar ratio: Return relative to maximum drawdown	1.24	2.85	-1.61
Martin ratio: Return relative to average drawdown	4.59	9.87	-5.28
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

EHE.TO vs. VXM-B.TO - Sharpe Ratio Comparison

The current EHE.TO Sharpe Ratio is 0.92, which is lower than the VXM-B.TO Sharpe Ratio of 2.18. The chart below compares the historical Sharpe Ratios of EHE.TO and VXM-B.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.

Sharpe Ratios by Period

	EHE.TO	VXM-B.TO	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.92	2.18	-1.26
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.56	0.98	-0.42
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.55	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.54	0.50	+0.04

Drawdowns

EHE.TO vs. VXM-B.TO - Drawdown Comparison

The maximum EHE.TO drawdown since its inception was -38.20%, smaller than the maximum VXM-B.TO drawdown of -40.77%. Use the drawdown chart below to compare losses from any high point for EHE.TO and VXM-B.TO.

Drawdown Indicators

	EHE.TO	VXM-B.TO	Difference
Max Drawdown Largest peak-to-trough decline	-38.20%	-40.77%	+2.57%
Max Drawdown (1Y) Largest decline over 1 year	-11.85%	-10.33%	-1.52%
Max Drawdown (3Y) Largest decline over 3 years	-16.30%	-13.65%	-2.65%
Max Drawdown (5Y) Largest decline over 5 years	-22.91%	-25.04%	+2.13%
Max Drawdown (10Y) Largest decline over 10 years	—	-40.77%	—
Current Drawdown Current decline from peak	-0.62%	-4.36%	+3.74%
Average Drawdown Average peak-to-trough decline	-5.35%	-10.78%	+5.43%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.19%	2.98%	+0.21%

Volatility

EHE.TO vs. VXM-B.TO - Volatility Comparison

CI Europe Hedged Equity Index ETF (EHE.TO) has a higher volatility of 5.64% compared to CI Morningstar International Value Index ETF (Unhedged) (VXM-B.TO) at 3.98%. This indicates that EHE.TO's price experiences larger fluctuations and is considered to be riskier than VXM-B.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	EHE.TO	VXM-B.TO	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.64%	3.98%	+1.66%
Volatility (6M) Calculated over the trailing 6-month period	12.70%	10.50%	+2.20%
Volatility (1Y) Calculated over the trailing 1-year period	16.02%	13.55%	+2.47%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.98%	13.78%	+4.20%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.44%	15.37%	+2.07%

Dividends

EHE.TO vs. VXM-B.TO - Dividend Comparison

EHE.TO's dividend yield for the trailing twelve months is around 2.02%, while VXM-B.TO has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
EHE.TO CI Europe Hedged Equity Index ETF	2.02%	2.16%	4.38%	3.30%	2.19%	1.90%	2.55%	2.02%	2.08%	1.37%	0.13%
VXM-B.TO CI Morningstar International Value Index ETF (Unhedged)	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both EHE.TO and VXM-B.TO in my portfolio?

EHE.TO and VXM-B.TO have a correlation of 0.05, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

What is the main difference between EHE.TO and VXM-B.TO?

EHE.TO is categorized as Europe Equities, while VXM-B.TO is Foreign Small & Mid Cap Equities. EHE.TO tracks WisdomTree Europe CAD-Hedged Equity Index, while VXM-B.TO tracks Morningstar Developed Markets ex-North America Target Value Index.