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FXM.TO vs. XMTM.TO
Performance
Return for Risk
Dividends
Drawdowns
Volatility

FXM.TO vs. XMTM.TO

Last updated Apr 1, 2026

Compare and contrast key facts about CI Morningstar Canada Value Index ETF (FXM.TO) and iShares MSCI USA Momentum Factor Index ETF (XMTM.TO).

FXM.TO and XMTM.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. XMTM.TO is a passively managed fund by iShares that tracks the performance of the MSCI USA Momentum SR Variant Index. It was launched on Sep 4, 2019. Both FXM.TO and XMTM.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. XMTM.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 iShares MSCI USA Momentum Factor Index ETF (XMTM.TO). The values are adjusted to include any dividend payments, if applicable.

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

2026 (YTD)2025202420232022202120202019
FXM.TO
CI Morningstar Canada Value Index ETF		8.97%38.54%30.05%5.79%-1.19%31.47%6.15%3.67%
XMTM.TO
iShares MSCI USA Momentum Factor Index ETF		-4.57%14.02%43.59%6.48%-14.53%15.01%25.77%3.42%

Returns By Period

In the year-to-date period, FXM.TO achieves a 8.97% return, which is significantly higher than XMTM.TO's -4.57% return.

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%

XMTM.TO

1D
0.80%
1M
-4.64%
YTD
-4.57%
6M
-9.56%
1Y
11.33%
3Y*
20.40%
5Y*
10.52%
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

Compare stocks, funds, or ETFs

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CI Morningstar Canada Value Index ETF

iShares MSCI USA Momentum Factor Index ETF

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Often compared with XMTM.TO:
XMTM.TO vs. SPMOXMTM.TO vs. VMO.TOXMTM.TO vs. VFV.TOXMTM.TO vs. XCHP.TOXMTM.TO vs. QQC.TOXMTM.TO vs. FEQT.NEOXMTM.TO vs. VOO

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

FXM.TO has a 0.64% expense ratio, which is higher than XMTM.TO's 0.31% expense ratio.

FXM.TO
CI Morningstar Canada Value Index ETF
XMTM.TO
iShares MSCI USA Momentum Factor Index ETF

Return for Risk

FXM.TO vs. XMTM.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: 9797
Overall Rank
FXM.TO Sharpe Ratio Rank: 9898
Sharpe Ratio Rank
FXM.TO Sortino Ratio Rank: 9898
Sortino Ratio Rank
FXM.TO Omega Ratio Rank: 9898
Omega Ratio Rank
FXM.TO Calmar Ratio Rank: 9696
Calmar Ratio Rank
FXM.TO Martin Ratio Rank: 9797
Martin Ratio Rank
XMTM.TO
XMTM.TO Risk / Return Rank: 3333
Overall Rank
XMTM.TO Sharpe Ratio Rank: 2929
Sharpe Ratio Rank
XMTM.TO Sortino Ratio Rank: 3131
Sortino Ratio Rank
XMTM.TO Omega Ratio Rank: 3131
Omega Ratio Rank
XMTM.TO Calmar Ratio Rank: 4242
Calmar Ratio Rank
XMTM.TO Martin Ratio Rank: 3434
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.

FXM.TO vs. XMTM.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 iShares MSCI USA Momentum Factor Index ETF (XMTM.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.TOXMTM.TODifference

Sharpe ratio

Return per unit of total volatility

3.42

0.51

+2.91

Sortino ratio

Return per unit of downside risk

4.07

0.85

+3.21

Omega ratio

Gain probability vs. loss probability

1.70

1.12

+0.58

Calmar ratio

Return relative to maximum drawdown

4.52

1.03

+3.49

Martin ratio

Return relative to average drawdown

20.67

2.91

+17.76

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. XMTM.TO - Sharpe Ratio Comparison

The current FXM.TO Sharpe Ratio is 3.42, which is higher than the XMTM.TO Sharpe Ratio of 0.51. The chart below compares the historical Sharpe Ratios of FXM.TO and XMTM.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.

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Sharpe Ratios by Period

FXM.TOXMTM.TODifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

3.42

0.51

+2.91

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

1.30

0.57

+0.73

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.84

—

—

Sharpe Ratio (All Time)

Calculated using the full available price history

0.80

0.62

+0.18

Correlation

The correlation between FXM.TO and XMTM.TO is 0.24, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Dividends

FXM.TO vs. XMTM.TO - Dividend Comparison

FXM.TO's dividend yield for the trailing twelve months is around 1.93%, more than XMTM.TO's 0.64% yield.

TTM20252024202320222021202020192018201720162015
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%
XMTM.TO
iShares MSCI USA Momentum Factor Index ETF		0.64%0.70%0.62%0.84%1.66%0.33%0.64%1.24%0.00%0.00%0.00%0.00%

Drawdowns

FXM.TO vs. XMTM.TO - Drawdown Comparison

The maximum FXM.TO drawdown since its inception was -46.41%, which is greater than XMTM.TO's maximum drawdown of -29.01%. Use the drawdown chart below to compare losses from any high point for FXM.TO and XMTM.TO.

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Drawdown Indicators

FXM.TOXMTM.TODifference

Max Drawdown

Largest peak-to-trough decline

-46.41%

-29.01%

-17.40%

Max Drawdown (1Y)

Largest decline over 1 year

-11.48%

-12.39%

+0.91%

Max Drawdown (5Y)

Largest decline over 5 years

-16.08%

-29.01%

+12.93%

Max Drawdown (10Y)

Largest decline over 10 years

-46.41%

—

—

Current Drawdown

Current decline from peak

-4.31%

-10.71%

+6.40%

Average Drawdown

Average peak-to-trough decline

-4.72%

-8.14%

+3.42%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.51%

4.39%

-1.88%

Volatility

FXM.TO vs. XMTM.TO - Volatility Comparison

The current volatility for CI Morningstar Canada Value Index ETF (FXM.TO) is 4.37%, while iShares MSCI USA Momentum Factor Index ETF (XMTM.TO) has a volatility of 6.66%. This indicates that FXM.TO experiences smaller price fluctuations and is considered to be less risky than XMTM.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

FXM.TOXMTM.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

4.37%

6.66%

-2.29%

Volatility (6M)

Calculated over the trailing 6-month period

9.87%

13.06%

-3.19%

Volatility (1Y)

Calculated over the trailing 1-year period

14.95%

22.55%

-7.60%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

14.29%

18.54%

-4.25%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

17.05%

19.85%

-2.80%