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

XQLT.TO vs. WXM.TO

Last updated Jun 4, 2026

XQLT.TO (iShares MSCI USA Quality Factor Index ETF) and WXM.TO (CI Morningstar Canada Momentum Index ETF) are both exchange-traded funds - XQLT.TO is a Large Cap Growth Equities fund tracking the MSCI USA Sector Neutral Quality Index, while WXM.TO is a Momentum fund tracking the Morningstar Canada Target Momentum Index. Both are passively managed. Over the past 5 years, XQLT.TO returned 14.73%/yr vs 18.57%/yr for WXM.TO. At a 0.42 correlation, their price movements are largely independent. XQLT.TO charges 0.32%/yr vs 0.65%/yr for WXM.TO.

Performance

XQLT.TO vs. WXM.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in iShares MSCI USA Quality Factor Index ETF (XQLT.TO) and CI Morningstar Canada Momentum Index ETF (WXM.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, XQLT.TO achieves a 10.01% return, which is significantly lower than WXM.TO's 18.83% return.

XQLT.TO

1D
0.35%
1M
6.81%
YTD
10.01%
6M
8.23%
1Y
22.80%
3Y*
20.56%
5Y*
14.73%
10Y*
—

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

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

2026 (YTD)2025202420232022202120202019
XQLT.TO
iShares MSCI USA Quality Factor Index ETF		10.01%7.09%32.37%28.08%-17.15%27.90%11.61%9.78%
WXM.TO
CI Morningstar Canada Momentum Index ETF		18.83%38.16%33.93%3.35%-0.42%20.98%4.61%5.16%

Correlation

The correlation between XQLT.TO and WXM.TO is 0.49, which is low. Their price movements are largely independent, making them effective diversification partners.

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

0.49

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

0.51

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

0.48

Correlation (All Time)
Calculated using the full available price history since Sep 13, 2019

0.42

The correlation between XQLT.TO and WXM.TO has been stable across timeframes, ranging from 0.42 to 0.51 - a consistent structural relationship.

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

Sectors
XQLT.TO
WXM.TO

Technology

37.0%
4.9%

Financial Services

11.8%
17.3%

Communication Services

11.0%
6.0%

Consumer Cyclical

9.3%
6.9%

Healthcare

8.8%

-

Industrials

7.9%
18.2%

Consumer Defensive

4.9%
6.1%

Energy

4.0%
18.5%

Utilities

1.8%
8.6%

Real Estate

1.8%

-

Basic Materials

1.7%
13.5%

Technology

XQLT.TO
37.0%
WXM.TO
4.9%

Financial Services

XQLT.TO
11.8%
WXM.TO
17.3%

Communication Services

XQLT.TO
11.0%
WXM.TO
6.0%

Consumer Cyclical

XQLT.TO
9.3%
WXM.TO
6.9%

Healthcare

XQLT.TO
8.8%
WXM.TO

-

Industrials

XQLT.TO
7.9%
WXM.TO
18.2%

Consumer Defensive

XQLT.TO
4.9%
WXM.TO
6.1%

Energy

XQLT.TO
4.0%
WXM.TO
18.5%

Utilities

XQLT.TO
1.8%
WXM.TO
8.6%

Real Estate

XQLT.TO
1.8%
WXM.TO

-

Basic Materials

XQLT.TO
1.7%
WXM.TO
13.5%

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iShares MSCI USA Quality Factor Index ETF

CI Morningstar Canada Momentum Index ETF

Often compared with XQLT.TO:
XQLT.TO vs. XVLU.TOXQLT.TO vs. VOOXQLT.TO vs. HYLD.TOXQLT.TO vs. SPYXQLT.TO vs. VFV.TOXQLT.TO vs. ZSP.TOXQLT.TO vs. XGRO.TO
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

Return for Risk

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

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
XQLT.TO
XQLT.TO Risk / Return Rank: 5757
Overall Rank
XQLT.TO Sharpe Ratio Rank: 5757
Sharpe Ratio Rank
XQLT.TO Sortino Ratio Rank: 5959
Sortino Ratio Rank
XQLT.TO Omega Ratio Rank: 5656
Omega Ratio Rank
XQLT.TO Calmar Ratio Rank: 5555
Calmar Ratio Rank
XQLT.TO Martin Ratio Rank: 5959
Martin Ratio Rank
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
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.

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

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA Quality Factor Index ETF (XQLT.TO) and CI Morningstar Canada Momentum Index ETF (WXM.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.

XQLT.TOWXM.TODifference
Sharpe ratioReturn per unit of total volatility
1.94
3.10

-1.16

Sortino ratioReturn per unit of downside risk
2.81
4.00

-1.19

Omega ratioGain probability vs. loss probability

1.35

1.55

-0.20

Calmar ratioReturn relative to maximum drawdown

2.74

4.90

-2.16

Martin ratioReturn relative to average drawdown

10.40

21.82

-11.42

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

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

The current XQLT.TO Sharpe Ratio is 1.94, which is lower than the WXM.TO Sharpe Ratio of 3.10. The chart below compares the historical Sharpe Ratios of XQLT.TO and WXM.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

XQLT.TOWXM.TODifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

1.94

3.10

-1.16

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.95

1.18

-0.23

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

—

0.91

—

Sharpe Ratio (All Time)

Calculated using the full available price history

0.93

0.91

+0.02

Drawdowns

XQLT.TO vs. WXM.TO - Drawdown Comparison

The maximum XQLT.TO drawdown since its inception was -25.12%, smaller than the maximum WXM.TO drawdown of -40.45%. Use the drawdown chart below to compare losses from any high point for XQLT.TO and WXM.TO.

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Drawdown Indicators

XQLT.TOWXM.TODifference

Max Drawdown

Largest peak-to-trough decline

-25.12%

-40.45%

+15.33%

Max Drawdown (1Y)

Largest decline over 1 year

-8.35%

-9.49%

+1.14%

Max Drawdown (3Y)

Largest decline over 3 years

-18.95%

-12.13%

-6.82%

Max Drawdown (5Y)

Largest decline over 5 years

-25.12%

-15.87%

-9.25%

Max Drawdown (10Y)

Largest decline over 10 years

—

-40.45%

—

Current Drawdown

Current decline from peak

-1.21%

-0.33%

-0.88%

Average Drawdown

Average peak-to-trough decline

-5.20%

-4.48%

-0.72%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.20%

2.13%

+0.07%

Volatility

XQLT.TO vs. WXM.TO - Volatility Comparison

The current volatility for iShares MSCI USA Quality Factor Index ETF (XQLT.TO) is 3.85%, while CI Morningstar Canada Momentum Index ETF (WXM.TO) has a volatility of 4.06%. This indicates that XQLT.TO experiences smaller price fluctuations and is considered to be less risky than WXM.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

XQLT.TOWXM.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

3.85%

4.06%

-0.21%

Volatility (6M)

Calculated over the trailing 6-month period

9.31%

11.86%

-2.55%

Volatility (1Y)

Calculated over the trailing 1-year period

11.85%

15.02%

-3.17%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

15.58%

15.85%

-0.27%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

16.44%

16.78%

-0.34%

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

XQLT.TO has a 0.32% expense ratio, which is lower than WXM.TO's 0.65% expense ratio.

Dividends

XQLT.TO vs. WXM.TO - Dividend Comparison

XQLT.TO's dividend yield for the trailing twelve months is around 0.63%, less than WXM.TO's 1.15% 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%
XQLT.TO
iShares MSCI USA Quality Factor Index ETF		0.63%0.69%0.72%0.94%1.21%0.87%1.11%1.23%0.00%0.00%0.00%0.00%

Frequently Asked Questions

XQLT.TO and WXM.TO have a correlation of 0.49, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

On fees, XQLT.TO is cheaper at 0.32% per year. The better choice depends on whether you care most about return, fees, risk, or income.

XQLT.TO is cheaper with a 0.32% expense ratio, compared with 0.65% for WXM.TO.

XQLT.TO is categorized as Large Cap Growth Equities, while WXM.TO is Momentum. XQLT.TO tracks MSCI USA Sector Neutral Quality Index, while WXM.TO tracks Morningstar Canada Target Momentum Index. They also come from different issuers: iShares and CI Global Asset Management. Their fees differ too: 0.32% for XQLT.TO and 0.65% for WXM.TO.

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