WXM.TO vs. FLI.TO

Last updated Jun 4, 2026

WXM.TO (CI Morningstar Canada Momentum Index ETF) and FLI.TO (CI U.S. & Canada Lifeco Covered Call ETF (Hedged Common Units)) are both exchange-traded funds - WXM.TO is a Momentum fund tracking the Morningstar Canada Target Momentum Index, while FLI.TO is a Derivative Income fund actively managed by CI Global Asset Management. WXM.TO is passively managed, while FLI.TO is actively managed. Over the past 10 years, WXM.TO returned 15.24%/yr vs 8.85%/yr for FLI.TO. At a 0.42 correlation, their price movements are largely independent.

Performance

WXM.TO vs. FLI.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in CI Morningstar Canada Momentum Index ETF (WXM.TO) and CI U.S. & Canada Lifeco Covered Call ETF (Hedged Common Units) (FLI.TO). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, WXM.TO achieves a 18.83% return, which is significantly higher than FLI.TO's 3.96% return. Over the past 10 years, WXM.TO has outperformed FLI.TO with an annualized return of 15.24%, while FLI.TO has yielded a comparatively lower 8.85% annualized return.

WXM.TO

• 1D: -0.33%
• 1M: 4.70%
• YTD: 18.83%
• 6M: 22.68%
• 1Y: 46.31%
• 3Y*: 29.82%
• 5Y*: 18.57%
• 10Y*: 15.24%

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%

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

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

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
WXM.TO CI Morningstar Canada Momentum Index ETF	18.83%	38.16%	33.93%	3.35%	-0.42%	20.98%	4.61%	31.48%	-4.88%	10.06%
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%

Correlation

The correlation between WXM.TO and FLI.TO is 0.26, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.26
Correlation (3Y) Calculated over the trailing 3-year period	0.36
Correlation (5Y) Calculated over the trailing 5-year period	0.51
Correlation (10Y) Calculated over the trailing 10-year period	0.44
Correlation (All Time) Calculated using the full available price history since Aug 23, 2013	0.42

The correlation between WXM.TO and FLI.TO shifts across timeframes, from 0.26 (1 year) to 0.51 (5 years), reflecting how their relationship changes across market environments.

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

Sectors	WXM.TO	FLI.TO
Energy	18.5%	-
Industrials	18.2%	-
Financial Services	17.3%	100.0%
Basic Materials	13.5%	-
Utilities	8.6%	-
Consumer Cyclical	6.9%	-
Consumer Defensive	6.1%	-
Communication Services	6.0%	-
Technology	4.9%	-
Healthcare	-	-
Real Estate	-	-

Return for Risk

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

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

WXM.TO

WXM.TO Risk / Return Rank: 88
WXM.TO Sharpe Ratio Rank: 90
WXM.TO Sortino Ratio Rank: 87
WXM.TO Omega Ratio Rank: 87
WXM.TO Calmar Ratio Rank: 86
WXM.TO Martin Ratio Rank: 91

FLI.TO

FLI.TO Risk / Return Rank: 31
FLI.TO Sharpe Ratio Rank: 31
FLI.TO Sortino Ratio Rank: 29
FLI.TO Omega Ratio Rank: 30
FLI.TO Calmar Ratio Rank: 31
FLI.TO Martin Ratio Rank: 32

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.

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

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

	WXM.TO	FLI.TO	Difference
Sharpe ratio: Return per unit of total volatility	3.10	1.10	+2.00
Sortino ratio: Return per unit of downside risk	4.00	1.51	+2.49
Omega ratio: Gain probability vs. loss probability	1.55	1.20	+0.35
Calmar ratio: Return relative to maximum drawdown	4.90	1.51	+3.39
Martin ratio: Return relative to average drawdown	21.82	4.62	+17.21
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

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

The current WXM.TO Sharpe Ratio is 3.10, which is higher than the FLI.TO Sharpe Ratio of 1.10. The chart below compares the historical Sharpe Ratios of WXM.TO and FLI.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

	WXM.TO	FLI.TO	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.10	1.10	+2.00
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.18	0.52	+0.66
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.91	0.38	+0.54
Sharpe Ratio (All Time) Calculated using the full available price history	0.91	0.39	+0.52

Drawdowns

WXM.TO vs. FLI.TO - Drawdown Comparison

The maximum WXM.TO drawdown since its inception was -40.45%, smaller than the maximum FLI.TO drawdown of -56.31%. Use the drawdown chart below to compare losses from any high point for WXM.TO and FLI.TO.

Drawdown Indicators

	WXM.TO	FLI.TO	Difference
Max Drawdown Largest peak-to-trough decline	-40.45%	-56.31%	+15.86%
Max Drawdown (1Y) Largest decline over 1 year	-9.49%	-10.00%	+0.51%
Max Drawdown (3Y) Largest decline over 3 years	-12.13%	-12.65%	+0.52%
Max Drawdown (5Y) Largest decline over 5 years	-15.87%	-17.81%	+1.94%
Max Drawdown (10Y) Largest decline over 10 years	-40.45%	-56.31%	+15.86%
Current Drawdown Current decline from peak	-0.33%	-2.68%	+2.35%
Average Drawdown Average peak-to-trough decline	-4.48%	-7.55%	+3.07%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.13%	3.26%	-1.13%

Volatility

WXM.TO vs. FLI.TO - Volatility Comparison

CI Morningstar Canada Momentum Index ETF (WXM.TO) has a higher volatility of 4.06% compared to CI U.S. & Canada Lifeco Covered Call ETF (Hedged Common Units) (FLI.TO) at 3.56%. This indicates that WXM.TO's price experiences larger fluctuations and is considered to be riskier than FLI.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	WXM.TO	FLI.TO	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.06%	3.56%	+0.50%
Volatility (6M) Calculated over the trailing 6-month period	11.86%	10.23%	+1.63%
Volatility (1Y) Calculated over the trailing 1-year period	15.02%	13.75%	+1.27%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.85%	18.57%	-2.72%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.78%	23.63%	-6.85%

Dividends

WXM.TO vs. FLI.TO - Dividend Comparison

WXM.TO's dividend yield for the trailing twelve months is around 1.15%, less than FLI.TO's 7.52% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
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%
WXM.TO CI Morningstar Canada Momentum Index ETF	1.15%	1.25%	1.27%	1.38%	2.25%	1.04%	0.78%	0.94%	1.44%	1.38%	1.58%	1.51%

Frequently Asked Questions

Can I hold both WXM.TO and FLI.TO in my portfolio?

WXM.TO and FLI.TO have a correlation of 0.26, 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 WXM.TO and FLI.TO?

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