Canadian ETF Factor Leaders
TMX-listed ETF factor scores through July 2025, ranked by multi-factor ‘Fund Score’ and risk-adjusted performance.
| Ticker | Fund Name | Fund Score | Mkt Beta Score | Small Factor Score | Value Factor Score | Quality Factor Score | Momentum Factor Score | MER | Alpha % | Factor Beta % (backtested simulation) | Fund Sharpe / Market Sharpe (backtested simulation) | Fund Sharpe / Market Sharpe (fund lifetime, actual) | Analysis Period | Start Date | Score Quality (Adj. R^2) | Relative Dividend Valuation (100 = median) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| WXM.TO | CI Morningstar Canada Momentum Index ETF | 100.00 | 100.00 | No Score | No Score | 40.44 | 100.00 | 0.60 | -1.57 | 4.30 | 1.64 | 1.62 | 12.67Y 152M | 2012-Mar | 0.86 | 93.71 |
| FXM.TO | CI Morningstar Canada Value Index ETF | 90.57 | 99.37 | 100.00 | 100.00 | 65.51 | No Score | 0.60 | -1.66 | 4.23 | 1.39 | 1.21 | 12.67Y 152M | 2012-Mar | 0.87 | 96.48 |
| PDF.TO | Purpose Core Dividend Fund | 83.37 | 88.77 | No Score | 31.32 | 63.03 | No Score | 0.55 | -1.91 | 2.88 | 1.28 | 0.97 | 11.08Y 133M | 2013-Oct | 0.90 | 109.84 |
| DGRC.TO | CI Canada Quality Dividend Growth Index ETF | 79.55 | 98.37 | No Score | No Score | 100.00 | No Score | 0.21 | -2.56 | 3.58 | 1.23 | 0.92 | 7.08Y 85M | 2017-Oct | 0.96 | 92.83 |
| PXC.TO | Invesco FTSE RAFI Canadian Index ETF | 77.76 | 92.27 | No Score | 86.27 | No Score | No Score | 0.45 | -0.81 | 1.81 | 1.20 | 1.15 | 12.75Y 153M | 2012-Feb | 0.94 | 105.95 |
| CDZ.TO | iShares S&P/TSX Canadian Dividend Aristocrats Index ETF | 77.60 | 92.79 | No Score | 57.78 | 73.93 | No Score | 0.66 | -0.23 | 1.97 | 1.20 | 1.21 | 18.08Y 217M | 2006-Oct | 0.87 | 109.43 |
| XEI.TO | iShares S&P/TSX Composite High Dividend Index ETF | 75.29 | 90.28 | No Score | 89.82 | 35.03 | No Score | 0.22 | -1.02 | 1.99 | 1.16 | 1.22 | 13.50Y 162M | 2011-May | 0.89 | 108.16 |
| MCLC.TO | Manulife Multifactor Canadian Large Cap Index ETF | 71.49 | 95.43 | No Score | No Score | No Score | No Score | 0.35 | -1.13 | 1.78 | 1.10 | 0.99 | 7.50Y 90M | 2017-May | 0.92 | 113.37 |
| XCV.TO | iShares Canadian Value Index ETF | 70.79 | 99.30 | No Score | 82.48 | 54.79 | No Score | 0.55 | -0.90 | 2.27 | 1.09 | 1.16 | 17.92Y 215M | 2006-Dec | 0.90 | 106.26 |
Table Guide
Filter steps / Column Guide
- 1625 Canadian-listed ETF fund universe
- 510 current funds with at least 24 months of total return data and valid regression results
- No minimum AUM
- Score Quality (regression R-squared) greater than 0.85
- market beta between 0.75 and 1.25 (are long equity funds)
- Fund Sharpe / Market Sharpe (backtested simulation) greater than 1.0 (historical factor and risk-adjusted returns superior to market)
- Yielding at least 0.5% as a proxy for directly-held equities
- Backtested Factor Beta % contribution equal to at least 100 bps to ensure expected long-term factor capture is meaningful
- Not more than 15% overvalued on the basis of historical relative dividend yield
Please contact us with questions or if you’d like to see the code backing this analysis.
