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FLI.TO vs. ZXM.TO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

FLI.TO vs. ZXM.TO

Last updated Jun 4, 2026

FLI.TO (CI U.S. & Canada Lifeco Covered Call ETF (Hedged Common Units)) and ZXM.TO (CI Morningstar International Momentum Index ETF Common Units CAD Hedged) are both exchange-traded funds - FLI.TO is a Derivative Income fund actively managed by CI Global Asset Management, while ZXM.TO is a Momentum fund tracking the Morningstar Developed Markets ex-North America Target Momentum Index. FLI.TO is actively managed, while ZXM.TO is passively managed. Over the past 10 years, FLI.TO returned 8.85%/yr vs 13.06%/yr for ZXM.TO. At a 0.35 correlation, their price movements are largely independent.

Performance

FLI.TO vs. ZXM.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in CI U.S. & Canada Lifeco Covered Call ETF (Hedged Common Units) (FLI.TO) and CI Morningstar International Momentum Index ETF Common Units CAD Hedged (ZXM.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, FLI.TO achieves a 3.96% return, which is significantly lower than ZXM.TO's 12.33% return. Over the past 10 years, FLI.TO has underperformed ZXM.TO with an annualized return of 8.85%, while ZXM.TO has yielded a comparatively higher 13.06% annualized return.

FLI.TO

1D
-1.56%
1M
1.91%
YTD
3.96%
6M
7.77%
1Y
15.01%
3Y*
17.18%
5Y*
9.58%
10Y*
8.85%

ZXM.TO

1D
-0.83%
1M
2.88%
YTD
12.33%
6M
14.29%
1Y
33.18%
3Y*
25.69%
5Y*
13.11%
10Y*
13.06%
*Multi-year figures are annualized to reflect compound growth (CAGR)

FLI.TO vs. ZXM.TO - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
FLI.TO
CI U.S. & Canada Lifeco Covered Call ETF (Hedged Common Units)		3.96%13.94%20.20%7.16%4.69%25.67%-11.25%19.67%-19.91%11.47%
ZXM.TO
CI Morningstar International Momentum Index ETF Common Units CAD Hedged		12.33%35.75%21.41%14.22%-20.61%25.67%16.23%30.39%-17.00%28.15%

Correlation

The correlation between FLI.TO and ZXM.TO is 0.17, which is low. Their price movements are largely independent, making them effective diversification partners.

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

0.17

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

0.21

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

0.30

Correlation (10Y)
Calculated over the trailing 10-year period

0.32

Correlation (All Time)
Calculated using the full available price history since Nov 24, 2014

0.35

The correlation between FLI.TO and ZXM.TO shifts across timeframes, from 0.17 (1 year) to 0.35 (all time), reflecting how their relationship changes across market environments.

FLI.TO vs. ZXM.TO - Sectors Allocation Comparison

Sectors
FLI.TO
ZXM.TO

Financial Services

100.0%
19.0%

Basic Materials

-

9.8%

Communication Services

-

1.5%

Consumer Cyclical

-

9.4%

Consumer Defensive

-

3.9%

Energy

-

4.0%

Healthcare

-

3.2%

Industrials

-

33.6%

Real Estate

-

1.4%

Technology

-

8.9%

Utilities

-

5.5%

Financial Services

FLI.TO
100.0%
ZXM.TO
19.0%

Basic Materials

FLI.TO

-

ZXM.TO
9.8%

Communication Services

FLI.TO

-

ZXM.TO
1.5%

Consumer Cyclical

FLI.TO

-

ZXM.TO
9.4%

Consumer Defensive

FLI.TO

-

ZXM.TO
3.9%

Energy

FLI.TO

-

ZXM.TO
4.0%

Healthcare

FLI.TO

-

ZXM.TO
3.2%

Industrials

FLI.TO

-

ZXM.TO
33.6%

Real Estate

FLI.TO

-

ZXM.TO
1.4%

Technology

FLI.TO

-

ZXM.TO
8.9%

Utilities

FLI.TO

-

ZXM.TO
5.5%

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CI U.S. & Canada Lifeco Covered Call ETF (Hedged Common Units)

CI Morningstar International Momentum Index ETF Common Units CAD Hedged

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Often compared with ZXM.TO:
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Return for Risk

FLI.TO vs. ZXM.TO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
FLI.TO
FLI.TO Risk / Return Rank: 3131
Overall Rank
FLI.TO Sharpe Ratio Rank: 3131
Sharpe Ratio Rank
FLI.TO Sortino Ratio Rank: 2929
Sortino Ratio Rank
FLI.TO Omega Ratio Rank: 3030
Omega Ratio Rank
FLI.TO Calmar Ratio Rank: 3131
Calmar Ratio Rank
FLI.TO Martin Ratio Rank: 3232
Martin Ratio Rank
ZXM.TO
ZXM.TO Risk / Return Rank: 7171
Overall Rank
ZXM.TO Sharpe Ratio Rank: 6969
Sharpe Ratio Rank
ZXM.TO Sortino Ratio Rank: 7272
Sortino Ratio Rank
ZXM.TO Omega Ratio Rank: 7979
Omega Ratio Rank
ZXM.TO Calmar Ratio Rank: 6565
Calmar Ratio Rank
ZXM.TO Martin Ratio Rank: 7070
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.

FLI.TO vs. ZXM.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for CI U.S. & Canada Lifeco Covered Call ETF (Hedged Common Units) (FLI.TO) and CI Morningstar International Momentum Index ETF Common Units CAD Hedged (ZXM.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.

FLI.TOZXM.TODifference
Sharpe ratioReturn per unit of total volatility
1.10
2.28

-1.19

Sortino ratioReturn per unit of downside risk
1.51
3.26

-1.74

Omega ratioGain probability vs. loss probability

1.20

1.47

-0.27

Calmar ratioReturn relative to maximum drawdown

1.51

3.22

-1.71

Martin ratioReturn relative to average drawdown

4.62

12.91

-8.29

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FLI.TO vs. ZXM.TO - Sharpe Ratio Comparison

The current FLI.TO Sharpe Ratio is 1.10, which is lower than the ZXM.TO Sharpe Ratio of 2.28. The chart below compares the historical Sharpe Ratios of FLI.TO and ZXM.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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Sharpe Ratios by Period

FLI.TOZXM.TODifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

1.10

2.28

-1.19

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.52

0.83

-0.31

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.38

0.79

-0.41

Sharpe Ratio (All Time)

Calculated using the full available price history

0.39

0.74

-0.35

Drawdowns

FLI.TO vs. ZXM.TO - Drawdown Comparison

The maximum FLI.TO drawdown since its inception was -56.31%, which is greater than ZXM.TO's maximum drawdown of -35.22%. Use the drawdown chart below to compare losses from any high point for FLI.TO and ZXM.TO.

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Drawdown Indicators

FLI.TOZXM.TODifference

Max Drawdown

Largest peak-to-trough decline

-56.31%

-35.22%

-21.09%

Max Drawdown (1Y)

Largest decline over 1 year

-10.00%

-10.35%

+0.35%

Max Drawdown (3Y)

Largest decline over 3 years

-12.65%

-12.74%

+0.09%

Max Drawdown (5Y)

Largest decline over 5 years

-17.81%

-26.93%

+9.12%

Max Drawdown (10Y)

Largest decline over 10 years

-56.31%

-35.22%

-21.09%

Current Drawdown

Current decline from peak

-2.68%

-2.45%

-0.23%

Average Drawdown

Average peak-to-trough decline

-7.55%

-6.44%

-1.11%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.26%

2.58%

+0.68%

Volatility

FLI.TO vs. ZXM.TO - Volatility Comparison

The current volatility for CI U.S. & Canada Lifeco Covered Call ETF (Hedged Common Units) (FLI.TO) is 3.56%, while CI Morningstar International Momentum Index ETF Common Units CAD Hedged (ZXM.TO) has a volatility of 5.51%. This indicates that FLI.TO experiences smaller price fluctuations and is considered to be less risky than ZXM.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

FLI.TOZXM.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

3.56%

5.51%

-1.95%

Volatility (6M)

Calculated over the trailing 6-month period

10.23%

12.93%

-2.70%

Volatility (1Y)

Calculated over the trailing 1-year period

13.75%

14.62%

-0.87%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

18.57%

15.96%

+2.61%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

23.63%

16.70%

+6.93%

Dividends

FLI.TO vs. ZXM.TO - Dividend Comparison

FLI.TO's dividend yield for the trailing twelve months is around 7.52%, more than ZXM.TO's 2.25% yield.

PositionTTM20252024202320222021202020192018201720162015
FLI.TO
CI U.S. & Canada Lifeco Covered Call ETF (Hedged Common Units)		7.52%6.63%6.36%7.23%7.43%6.52%11.67%6.18%7.23%5.05%5.68%5.14%
ZXM.TO
CI Morningstar International Momentum Index ETF Common Units CAD Hedged		2.25%2.39%2.97%3.57%5.50%1.58%0.86%1.19%1.49%0.89%1.19%1.11%

Frequently Asked Questions

FLI.TO and ZXM.TO have a correlation of 0.17, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

FLI.TO is categorized as Derivative Income, while ZXM.TO is Momentum.

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