FXM.TO vs. VDY.TO

Last updated Apr 1, 2026

Compare and contrast key facts about CI Morningstar Canada Value Index ETF (FXM.TO) and Vanguard FTSE Canadian High Dividend Yield Index ETF (VDY.TO).

FXM.TO and VDY.TO are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FXM.TO is a passively managed fund by CI Investments that tracks the performance of the Morningstar Canada Target Value Index. It was launched on Feb 13, 2012. VDY.TO is a passively managed fund by Vanguard that tracks the performance of the FTSE Canada High Dividend Yield Index. It was launched on Nov 2, 2012. Both FXM.TO and VDY.TO are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.

Performance

FXM.TO vs. VDY.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in CI Morningstar Canada Value Index ETF (FXM.TO) and Vanguard FTSE Canadian High Dividend Yield Index ETF (VDY.TO). The values are adjusted to include any dividend payments, if applicable.

FXM.TO vs. VDY.TO - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FXM.TO CI Morningstar Canada Value Index ETF	8.97%	38.54%	30.05%	5.79%	-1.19%	31.47%	6.15%	24.14%	-16.22%	11.51%
VDY.TO Vanguard FTSE Canadian High Dividend Yield Index ETF	9.07%	29.20%	20.71%	8.40%	-0.23%	36.78%	-1.37%	21.43%	-10.09%	8.75%

Returns By Period

The year-to-date returns for both investments are quite close, with FXM.TO having a 8.97% return and VDY.TO slightly higher at 9.07%. Both investments have delivered pretty close results over the past 10 years, with FXM.TO having a 14.20% annualized return and VDY.TO not far behind at 13.53%.

FXM.TO

• 1D: 1.19%
• 1M: -3.54%
• YTD: 8.97%
• 6M: 20.63%
• 1Y: 50.77%
• 3Y*: 26.11%
• 5Y*: 18.45%
• 10Y*: 14.20%

VDY.TO

• 1D: 1.12%
• 1M: 0.19%
• YTD: 9.07%
• 6M: 16.25%
• 1Y: 39.26%
• 3Y*: 22.01%
• 5Y*: 16.73%
• 10Y*: 13.53%

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

FXM.TO vs. VDY.TO - Expense Ratio Comparison

FXM.TO has a 0.64% expense ratio, which is higher than VDY.TO's 0.22% expense ratio.

FXM.TO

CI Morningstar Canada Value Index ETF

VDY.TO

Vanguard FTSE Canadian High Dividend Yield Index ETF

Return for Risk

FXM.TO vs. VDY.TO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

FXM.TO

FXM.TO Risk / Return Rank: 97
FXM.TO Sharpe Ratio Rank: 98
FXM.TO Sortino Ratio Rank: 98
FXM.TO Omega Ratio Rank: 98
FXM.TO Calmar Ratio Rank: 96
FXM.TO Martin Ratio Rank: 97

VDY.TO

VDY.TO Risk / Return Rank: 97
VDY.TO Sharpe Ratio Rank: 98
VDY.TO Sortino Ratio Rank: 98
VDY.TO Omega Ratio Rank: 98
VDY.TO Calmar Ratio Rank: 95
VDY.TO Martin Ratio Rank: 98

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.

FXM.TO vs. VDY.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for CI Morningstar Canada Value Index ETF (FXM.TO) and Vanguard FTSE Canadian High Dividend Yield Index ETF (VDY.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.

	FXM.TO	VDY.TO	Difference
Sharpe ratio Return per unit of total volatility	3.42	3.58	-0.16
Sortino ratio Return per unit of downside risk	4.07	4.31	-0.25
Omega ratio Gain probability vs. loss probability	1.70	1.77	-0.07
Calmar ratio Return relative to maximum drawdown	4.52	4.00	+0.53
Martin ratio Return relative to average drawdown	20.67	22.92	-2.25
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FXM.TO vs. VDY.TO - Sharpe Ratio Comparison

The current FXM.TO Sharpe Ratio is 3.42, which is comparable to the VDY.TO Sharpe Ratio of 3.58. The chart below compares the historical Sharpe Ratios of FXM.TO and VDY.TO, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	FXM.TO	VDY.TO	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.42	3.58	-0.16
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.30	1.47	-0.17
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.84	0.85	-0.02
Sharpe Ratio (All Time) Calculated using the full available price history	0.80	0.80	0.00

Correlation

The correlation between FXM.TO and VDY.TO is 0.68, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Dividends

FXM.TO vs. VDY.TO - Dividend Comparison

FXM.TO's dividend yield for the trailing twelve months is around 1.93%, less than VDY.TO's 3.51% yield.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FXM.TO CI Morningstar Canada Value Index ETF	1.93%	1.91%	2.17%	2.96%	2.18%	2.19%	2.40%	2.03%	2.52%	1.70%	1.83%	2.24%
VDY.TO Vanguard FTSE Canadian High Dividend Yield Index ETF	3.51%	3.59%	4.40%	4.64%	4.42%	3.58%	4.59%	4.25%	4.43%	3.82%	3.25%	4.11%

Drawdowns

FXM.TO vs. VDY.TO - Drawdown Comparison

The maximum FXM.TO drawdown since its inception was -46.41%, which is greater than VDY.TO's maximum drawdown of -39.21%. Use the drawdown chart below to compare losses from any high point for FXM.TO and VDY.TO.

Drawdown Indicators

	FXM.TO	VDY.TO	Difference
Max Drawdown Largest peak-to-trough decline	-46.41%	-39.21%	-7.20%
Max Drawdown (1Y) Largest decline over 1 year	-11.48%	-10.07%	-1.41%
Max Drawdown (5Y) Largest decline over 5 years	-16.08%	-16.18%	+0.10%
Max Drawdown (10Y) Largest decline over 10 years	-46.41%	-39.21%	-7.20%
Current Drawdown Current decline from peak	-4.31%	-0.55%	-3.76%
Average Drawdown Average peak-to-trough decline	-4.72%	-4.67%	-0.05%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.51%	1.76%	+0.75%

Volatility

FXM.TO vs. VDY.TO - Volatility Comparison

CI Morningstar Canada Value Index ETF (FXM.TO) has a higher volatility of 4.37% compared to Vanguard FTSE Canadian High Dividend Yield Index ETF (VDY.TO) at 3.37%. This indicates that FXM.TO's price experiences larger fluctuations and is considered to be riskier than VDY.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FXM.TO	VDY.TO	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.37%	3.37%	+1.00%
Volatility (6M) Calculated over the trailing 6-month period	9.87%	6.43%	+3.44%
Volatility (1Y) Calculated over the trailing 1-year period	14.95%	11.03%	+3.92%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.29%	11.49%	+2.80%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.05%	15.96%	+1.09%