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

WXM.TO vs. XMTM.TO

Last updated Jun 4, 2026

WXM.TO (CI Morningstar Canada Momentum Index ETF) and XMTM.TO (iShares MSCI USA Momentum Factor Index ETF) are both Momentum funds - WXM.TO tracks the Morningstar Canada Target Momentum Index while XMTM.TO tracks the MSCI USA Momentum SR Variant Index. Both are passively managed. Over the past 5 years, WXM.TO returned 18.57%/yr vs 17.92%/yr for XMTM.TO. At a 0.36 correlation, their price movements are largely independent. WXM.TO charges 0.65%/yr vs 0.31%/yr for XMTM.TO.

Performance

WXM.TO vs. XMTM.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 iShares MSCI USA Momentum Factor Index ETF (XMTM.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, WXM.TO achieves a 18.83% return, which is significantly lower than XMTM.TO's 33.39% 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%

XMTM.TO

1D
4.00%
1M
19.00%
YTD
33.39%
6M
29.32%
1Y
40.58%
3Y*
35.55%
5Y*
17.92%
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

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

2026 (YTD)2025202420232022202120202019
WXM.TO
CI Morningstar Canada Momentum Index ETF		18.83%38.16%33.93%3.35%-0.42%20.98%4.61%5.21%
XMTM.TO
iShares MSCI USA Momentum Factor Index ETF		33.39%14.02%43.59%6.48%-14.53%15.01%25.77%3.42%

Correlation

The correlation between WXM.TO and XMTM.TO is 0.47, which is low. Their price movements are largely independent, making them effective diversification partners.

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

0.47

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

0.44

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

0.39

Correlation (All Time)
Calculated using the full available price history since Sep 18, 2019

0.36

The correlation between WXM.TO and XMTM.TO shifts across timeframes, from 0.36 (all time) to 0.47 (1 year), reflecting how their relationship changes across market environments.

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

Sectors
WXM.TO
XMTM.TO

Energy

18.5%
3.6%

Industrials

18.2%
15.3%

Financial Services

17.3%
10.5%

Basic Materials

13.5%
1.7%

Utilities

8.6%
1.6%

Consumer Cyclical

6.9%
3.7%

Consumer Defensive

6.1%
3.3%

Communication Services

6.0%
7.0%

Technology

4.9%
44.7%

Healthcare

-

7.0%

Real Estate

-

1.8%

Energy

WXM.TO
18.5%
XMTM.TO
3.6%

Industrials

WXM.TO
18.2%
XMTM.TO
15.3%

Financial Services

WXM.TO
17.3%
XMTM.TO
10.5%

Basic Materials

WXM.TO
13.5%
XMTM.TO
1.7%

Utilities

WXM.TO
8.6%
XMTM.TO
1.6%

Consumer Cyclical

WXM.TO
6.9%
XMTM.TO
3.7%

Consumer Defensive

WXM.TO
6.1%
XMTM.TO
3.3%

Communication Services

WXM.TO
6.0%
XMTM.TO
7.0%

Technology

WXM.TO
4.9%
XMTM.TO
44.7%

Healthcare

WXM.TO

-

XMTM.TO
7.0%

Real Estate

WXM.TO

-

XMTM.TO
1.8%

Compare stocks, funds, or ETFs

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CI Morningstar Canada Momentum Index ETF

iShares MSCI USA Momentum Factor Index ETF

Often compared with WXM.TO:
WXM.TO vs. FCCM.NEOWXM.TO vs. VDY.TOWXM.TO vs. XCV.TOWXM.TO vs. FCIM.NEOWXM.TO vs. ZXM.TOWXM.TO vs. ATSX.TOWXM.TO vs. VXM.TO
Often compared with XMTM.TO:
XMTM.TO vs. SPMOXMTM.TO vs. VMO.TOXMTM.TO vs. VFV.TOXMTM.TO vs. XCHP.TOXMTM.TO vs. FEQT.NEOXMTM.TO vs. QQC.TOXMTM.TO vs. VOO

Return for Risk

WXM.TO vs. XMTM.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: 8888
Overall Rank
WXM.TO Sharpe Ratio Rank: 9090
Sharpe Ratio Rank
WXM.TO Sortino Ratio Rank: 8787
Sortino Ratio Rank
WXM.TO Omega Ratio Rank: 8787
Omega Ratio Rank
WXM.TO Calmar Ratio Rank: 8686
Calmar Ratio Rank
WXM.TO Martin Ratio Rank: 9191
Martin Ratio Rank
XMTM.TO
XMTM.TO Risk / Return Rank: 6565
Overall Rank
XMTM.TO Sharpe Ratio Rank: 6565
Sharpe Ratio Rank
XMTM.TO Sortino Ratio Rank: 6666
Sortino Ratio Rank
XMTM.TO Omega Ratio Rank: 6464
Omega Ratio Rank
XMTM.TO Calmar Ratio Rank: 7171
Calmar Ratio Rank
XMTM.TO Martin Ratio Rank: 5858
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.

WXM.TO vs. XMTM.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 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.

WXM.TOXMTM.TODifference
Sharpe ratioReturn per unit of total volatility
3.10
2.20

+0.90

Sortino ratioReturn per unit of downside risk
4.00
3.07

+0.93

Omega ratioGain probability vs. loss probability

1.55

1.39

+0.16

Calmar ratioReturn relative to maximum drawdown

4.90

3.57

+1.33

Martin ratioReturn relative to average drawdown

21.82

10.21

+11.62

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. XMTM.TO - Sharpe Ratio Comparison

The current WXM.TO Sharpe Ratio is 3.10, which is higher than the XMTM.TO Sharpe Ratio of 2.20. The chart below compares the historical Sharpe Ratios of WXM.TO and XMTM.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

WXM.TOXMTM.TODifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

3.10

2.20

+0.90

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

1.18

0.96

+0.22

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.91

—

—

Sharpe Ratio (All Time)

Calculated using the full available price history

0.91

0.88

+0.03

Drawdowns

WXM.TO vs. XMTM.TO - Drawdown Comparison

The maximum WXM.TO drawdown since its inception was -40.45%, 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 WXM.TO and XMTM.TO.

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Drawdown Indicators

WXM.TOXMTM.TODifference

Max Drawdown

Largest peak-to-trough decline

-40.45%

-29.01%

-11.44%

Max Drawdown (1Y)

Largest decline over 1 year

-9.49%

-11.42%

+1.93%

Max Drawdown (3Y)

Largest decline over 3 years

-12.13%

-20.64%

+8.51%

Max Drawdown (5Y)

Largest decline over 5 years

-15.87%

-29.01%

+13.14%

Max Drawdown (10Y)

Largest decline over 10 years

-40.45%

—

—

Current Drawdown

Current decline from peak

-0.33%

0.00%

-0.33%

Average Drawdown

Average peak-to-trough decline

-4.48%

-7.96%

+3.48%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.13%

3.99%

-1.86%

Volatility

WXM.TO vs. XMTM.TO - Volatility Comparison

The current volatility for CI Morningstar Canada Momentum Index ETF (WXM.TO) is 4.06%, while iShares MSCI USA Momentum Factor Index ETF (XMTM.TO) has a volatility of 7.86%. This indicates that WXM.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

WXM.TOXMTM.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

4.06%

7.86%

-3.80%

Volatility (6M)

Calculated over the trailing 6-month period

11.86%

16.02%

-4.16%

Volatility (1Y)

Calculated over the trailing 1-year period

15.02%

18.57%

-3.55%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

15.85%

18.79%

-2.94%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

16.78%

20.07%

-3.29%

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

WXM.TO has a 0.65% expense ratio, which is higher than XMTM.TO's 0.31% expense ratio.

Dividends

WXM.TO vs. XMTM.TO - Dividend Comparison

WXM.TO's dividend yield for the trailing twelve months is around 1.15%, more than XMTM.TO's 0.46% yield.

PositionTTM20252024202320222021202020192018201720162015
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%
XMTM.TO
iShares MSCI USA Momentum Factor Index ETF		0.46%0.70%0.62%0.84%1.66%0.33%0.64%1.24%0.00%0.00%0.00%0.00%

Frequently Asked Questions

WXM.TO and XMTM.TO have a correlation of 0.47, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

On fees, XMTM.TO is cheaper at 0.31% per year. The better choice depends on whether you care most about return, fees, risk, or income.

XMTM.TO is cheaper with a 0.31% expense ratio, compared with 0.65% for WXM.TO.

WXM.TO tracks Morningstar Canada Target Momentum Index, while XMTM.TO tracks MSCI USA Momentum SR Variant Index. They also come from different issuers: CI Global Asset Management and iShares. Their fees differ too: 0.65% for WXM.TO and 0.31% for XMTM.TO.

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