PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
CM vs. SCHD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


CMSCHD
YTD Return36.32%13.91%
1Y Return75.56%24.71%
3Y Return (Ann)8.20%6.00%
5Y Return (Ann)15.72%12.22%
10Y Return (Ann)10.28%11.39%
Sharpe Ratio3.972.32
Sortino Ratio5.723.34
Omega Ratio1.711.41
Calmar Ratio2.092.39
Martin Ratio23.8212.61
Ulcer Index3.28%2.04%
Daily Std Dev19.64%11.09%
Max Drawdown-70.55%-33.37%
Current Drawdown-0.16%-2.36%

Correlation

-0.50.00.51.00.6

The correlation between CM and SCHD is 0.59, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

CM vs. SCHD - Performance Comparison

In the year-to-date period, CM achieves a 36.32% return, which is significantly higher than SCHD's 13.91% return. Over the past 10 years, CM has underperformed SCHD with an annualized return of 10.28%, while SCHD has yielded a comparatively higher 11.39% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%10.00%20.00%30.00%JuneJulyAugustSeptemberOctoberNovember
33.86%
10.13%
CM
SCHD

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

CM vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Canadian Imperial Bank of Commerce (CM) and Schwab US Dividend Equity ETF (SCHD). 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.


CM
Sharpe ratio
The chart of Sharpe ratio for CM, currently valued at 3.97, compared to the broader market-4.00-2.000.002.003.97
Sortino ratio
The chart of Sortino ratio for CM, currently valued at 5.72, compared to the broader market-4.00-2.000.002.004.005.72
Omega ratio
The chart of Omega ratio for CM, currently valued at 1.71, compared to the broader market0.501.001.502.001.71
Calmar ratio
The chart of Calmar ratio for CM, currently valued at 2.09, compared to the broader market0.002.004.006.002.09
Martin ratio
The chart of Martin ratio for CM, currently valued at 23.82, compared to the broader market-10.000.0010.0020.0030.0023.82
SCHD
Sharpe ratio
The chart of Sharpe ratio for SCHD, currently valued at 2.32, compared to the broader market-4.00-2.000.002.002.32
Sortino ratio
The chart of Sortino ratio for SCHD, currently valued at 3.34, compared to the broader market-4.00-2.000.002.004.003.34
Omega ratio
The chart of Omega ratio for SCHD, currently valued at 1.41, compared to the broader market0.501.001.502.001.41
Calmar ratio
The chart of Calmar ratio for SCHD, currently valued at 2.39, compared to the broader market0.002.004.006.002.39
Martin ratio
The chart of Martin ratio for SCHD, currently valued at 12.61, compared to the broader market-10.000.0010.0020.0030.0012.61

CM vs. SCHD - Sharpe Ratio Comparison

The current CM Sharpe Ratio is 3.97, which is higher than the SCHD Sharpe Ratio of 2.32. The chart below compares the historical Sharpe Ratios of CM and SCHD, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.002.003.004.005.00JuneJulyAugustSeptemberOctoberNovember
3.97
2.32
CM
SCHD

Dividends

CM vs. SCHD - Dividend Comparison

CM's dividend yield for the trailing twelve months is around 4.22%, more than SCHD's 3.47% yield.


TTM20232022202120202019201820172016201520142013
CM
Canadian Imperial Bank of Commerce
4.22%5.42%6.23%5.77%8.48%10.73%5.47%4.09%4.48%8.64%4.18%4.30%
SCHD
Schwab US Dividend Equity ETF
3.47%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

CM vs. SCHD - Drawdown Comparison

The maximum CM drawdown since its inception was -70.55%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for CM and SCHD. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.16%
-2.36%
CM
SCHD

Volatility

CM vs. SCHD - Volatility Comparison

Canadian Imperial Bank of Commerce (CM) has a higher volatility of 4.00% compared to Schwab US Dividend Equity ETF (SCHD) at 2.75%. This indicates that CM's price experiences larger fluctuations and is considered to be riskier than SCHD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
4.00%
2.75%
CM
SCHD