If you are looking to own a broad basket of Canadian financial companies, that being banks and insurers for the most part, it is hard to argue with something like CEW.TO. However, if you want to expand to things like asset managers, Brookfield for example, there isn't really an ETF that tracks this directly. Often the financial ETFs here in Canada are just bank and Lifeco baskets.
The other interesting option would be HXF.TO, which is Global X's corporate class Canadian financials ETF. It pays no dividend, which can be friendly from a taxation perspective.