TLV.TO vs. FXM.TO

Last updated Apr 1, 2026

Compare and contrast key facts about Invesco S&P/TSX Composite Low Volatility Index ETF (TLV.TO) and CI Morningstar Canada Value Index ETF (FXM.TO).

TLV.TO and FXM.TO are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. TLV.TO is a passively managed fund by Invesco that tracks the performance of the S&P/TSX Composite Low Volatility Index. It was launched on Apr 24, 2012. 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. Both TLV.TO and FXM.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

TLV.TO vs. FXM.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in Invesco S&P/TSX Composite Low Volatility Index ETF (TLV.TO) and CI Morningstar Canada Value Index ETF (FXM.TO). The values are adjusted to include any dividend payments, if applicable.

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

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
TLV.TO Invesco S&P/TSX Composite Low Volatility Index ETF	3.87%	22.51%	20.36%	4.75%	-10.22%	21.67%	-6.10%	22.29%	-6.62%	10.15%
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%

Returns By Period

In the year-to-date period, TLV.TO achieves a 3.87% return, which is significantly lower than FXM.TO's 8.97% return. Over the past 10 years, TLV.TO has underperformed FXM.TO with an annualized return of 8.39%, while FXM.TO has yielded a comparatively higher 14.20% annualized return.

TLV.TO

• 1D: -0.25%
• 1M: -2.73%
• YTD: 3.87%
• 6M: 9.54%
• 1Y: 23.51%
• 3Y*: 16.04%
• 5Y*: 9.94%
• 10Y*: 8.39%

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%

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

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

TLV.TO has a 0.33% expense ratio, which is lower than FXM.TO's 0.64% expense ratio.

FXM.TO

CI Morningstar Canada Value Index ETF

TLV.TO

Invesco S&P/TSX Composite Low Volatility Index ETF

Return for Risk

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

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

TLV.TO

TLV.TO Risk / Return Rank: 96
TLV.TO Sharpe Ratio Rank: 96
TLV.TO Sortino Ratio Rank: 96
TLV.TO Omega Ratio Rank: 97
TLV.TO Calmar Ratio Rank: 93
TLV.TO Martin Ratio Rank: 97

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

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.

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

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P/TSX Composite Low Volatility Index ETF (TLV.TO) and CI Morningstar Canada Value Index ETF (FXM.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.

	TLV.TO	FXM.TO	Difference
Sharpe ratio Return per unit of total volatility	2.61	3.42	-0.81
Sortino ratio Return per unit of downside risk	3.46	4.07	-0.61
Omega ratio Gain probability vs. loss probability	1.56	1.70	-0.14
Calmar ratio Return relative to maximum drawdown	3.62	4.52	-0.90
Martin ratio Return relative to average drawdown	19.44	20.67	-1.22
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

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

The current TLV.TO Sharpe Ratio is 2.61, which is comparable to the FXM.TO Sharpe Ratio of 3.42. The chart below compares the historical Sharpe Ratios of TLV.TO and FXM.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

	TLV.TO	FXM.TO	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.61	3.42	-0.81
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.01	1.30	-0.29
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.67	0.84	-0.17
Sharpe Ratio (All Time) Calculated using the full available price history	-0.13	0.80	-0.93

Correlation

The correlation between TLV.TO and FXM.TO is 0.50, 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

TLV.TO vs. FXM.TO - Dividend Comparison

TLV.TO's dividend yield for the trailing twelve months is around 3.16%, more than FXM.TO's 1.93% yield.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
TLV.TO Invesco S&P/TSX Composite Low Volatility Index ETF	3.16%	3.25%	3.40%	4.12%	4.01%	2.49%	2.75%	3.74%	4.28%	3.58%	3.46%	4.08%
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%

Drawdowns

TLV.TO vs. FXM.TO - Drawdown Comparison

The maximum TLV.TO drawdown since its inception was -81.40%, which is greater than FXM.TO's maximum drawdown of -46.41%. Use the drawdown chart below to compare losses from any high point for TLV.TO and FXM.TO.

Drawdown Indicators

	TLV.TO	FXM.TO	Difference
Max Drawdown Largest peak-to-trough decline	-81.40%	-46.41%	-34.99%
Max Drawdown (1Y) Largest decline over 1 year	-6.57%	-11.48%	+4.91%
Max Drawdown (5Y) Largest decline over 5 years	-19.36%	-16.08%	-3.28%
Max Drawdown (10Y) Largest decline over 10 years	-37.68%	-46.41%	+8.73%
Current Drawdown Current decline from peak	-36.54%	-4.31%	-32.23%
Average Drawdown Average peak-to-trough decline	-64.71%	-4.72%	-59.99%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.22%	2.51%	-1.29%

Volatility

TLV.TO vs. FXM.TO - Volatility Comparison

The current volatility for Invesco S&P/TSX Composite Low Volatility Index ETF (TLV.TO) is 3.26%, while CI Morningstar Canada Value Index ETF (FXM.TO) has a volatility of 4.37%. This indicates that TLV.TO experiences smaller price fluctuations and is considered to be less risky than FXM.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	TLV.TO	FXM.TO	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.26%	4.37%	-1.11%
Volatility (6M) Calculated over the trailing 6-month period	5.72%	9.87%	-4.15%
Volatility (1Y) Calculated over the trailing 1-year period	9.05%	14.95%	-5.90%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	9.89%	14.29%	-4.40%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.67%	17.05%	-4.38%