WXM — CI Morningstar Canada Momentum Index ETF factor decomposition

Factor return decomposition

Each bar = β_i × factor return, geometrically annualized.

Sharpe — Backtested Sim.

0.632

Rel. to market: 1.628

Sharpe — Realized

0.884

Rel. to market: 1.269

How are these computed?

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 WXM's regression betas to the full factor history (geometric mean per factor, annualized). The Sharpe uses WXM'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 WXM's lifetime only (2012-Mar → 2026-Feb). The Sharpe is the fund's actual excess return over its actual volatility. Full methodology →

Factor exposures

Factor	β	t-stat	Backtested %	Realized %
Size (SMB)	0.093	1.45	-0.01%	-0.01%
Value (HML)	0.033	0.90	+0.23%	+0.28%
Quality (QMJ)	0.129	2.42	+1.07%	+0.60%
Momentum (UMD)	0.161	5.40	+2.79%	+3.33%
Factor-Beta subtotal · non-market			+4.08%	+4.21%
Alpha (intercept)	—	-0.69	-1.56%
Smart-Beta Net · Factor-Beta + Alpha			+2.52%	+2.65%
+ Mkt-RF contribution · market	1.050	21.81	+5.99%	+8.90%
= Total excess return			+8.51%	+11.89%
+ Rf base (%)			3.46% → 11.97% total	1.60% → 13.49% total

Fund snapshot

Issuer

—

Asset class

Equity (Canadian)

Inception

2012-02-13

Dividend yield

1.23%

Div CAGR

8.12%

Dividend valuation

112 (100=median)

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All Canadian Leaders Canadian Universe Methodology

Research disclaimer

Factor decomposition shows what WXM's historical betas would have earned under each scenario — not a forecast, not investment advice. Backtested simulation assumes loadings stay fixed across the long sample, which is unrealistic for any real-world fund. Use this as one input to ETF due diligence, not a substitute for it.

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