FXM — CI Morningstar Canada Value Index ETF

Currency basis: returns and factor contributions on this page are in CAD. AQR Canadian factor set, restated to CAD basis. MKT_CAN rebuilt as (R_TSX_CAD − Rf_CAD); the FX inversion uses the same end-of-month CAD/USD series (FMP CADUSD=X) the pipeline uses for USD translations elsewhere, so the CAD basis is the exact algebraic inverse of the USD basis. Rf_CAD is FRED series IR3TIB01CAM156N (3-month Canadian interbank rate, OECD monthly, 1956→present). We use interbank rather than 3M T-Bill because no free T-Bill series covers the full AQR factor history; the spread is typically 10–30 bp and is absorbed into alpha. Long-short factors (Size/Value/Quality/Momentum) are first-order FX-neutral and used as published.

Backtested Sim. applies FXM's regression betas to the full factor history (geometric mean per factor, annualized). The Sharpe uses FXM's realized in-sample volatility as the denominator — a deliberately conservative choice, since fixed-loading factor returns are smoother than what any real fund actually delivers.

Realized applies the same betas to the factor returns observed during FXM's lifetime only (2012-Mar → 2026-Feb). The Sharpe is the fund's actual excess return over its actual volatility. Full methodology →