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CM vs. TLT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

CM vs. TLT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Canadian Imperial Bank of Commerce (CM) and iShares 20+ Year Treasury Bond ETF (TLT). The values are adjusted to include any dividend payments, if applicable.

0.00%10.00%20.00%30.00%40.00%JuneJulyAugustSeptemberOctoberNovember
34.03%
1.01%
CM
TLT

Returns By Period

In the year-to-date period, CM achieves a 38.07% return, which is significantly higher than TLT's -5.68% return. Over the past 10 years, CM has outperformed TLT with an annualized return of 10.15%, while TLT has yielded a comparatively lower -0.37% annualized return.


CM

YTD

38.07%

1M

2.15%

6M

34.03%

1Y

70.53%

5Y (annualized)

16.26%

10Y (annualized)

10.15%

TLT

YTD

-5.68%

1M

-3.54%

6M

1.01%

1Y

4.24%

5Y (annualized)

-6.21%

10Y (annualized)

-0.37%

Key characteristics


CMTLT
Sharpe Ratio3.750.32
Sortino Ratio5.440.55
Omega Ratio1.671.06
Calmar Ratio2.070.11
Martin Ratio22.290.76
Ulcer Index3.28%6.20%
Daily Std Dev19.49%14.76%
Max Drawdown-70.55%-48.35%
Current Drawdown-0.97%-41.23%

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Correlation

-0.50.00.51.0-0.2

The correlation between CM and TLT is -0.21. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Risk-Adjusted Performance

CM vs. TLT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Canadian Imperial Bank of Commerce (CM) and iShares 20+ Year Treasury Bond ETF (TLT). 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.


Sharpe ratio
The chart of Sharpe ratio for CM, currently valued at 3.75, compared to the broader market-4.00-2.000.002.004.003.750.32
The chart of Sortino ratio for CM, currently valued at 5.44, compared to the broader market-4.00-2.000.002.004.005.440.55
The chart of Omega ratio for CM, currently valued at 1.67, compared to the broader market0.501.001.502.001.671.06
The chart of Calmar ratio for CM, currently valued at 2.07, compared to the broader market0.002.004.006.002.070.11
The chart of Martin ratio for CM, currently valued at 22.29, compared to the broader market-10.000.0010.0020.0030.0022.290.76
CM
TLT

The current CM Sharpe Ratio is 3.75, which is higher than the TLT Sharpe Ratio of 0.32. The chart below compares the historical Sharpe Ratios of CM and TLT, 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 Ratio-1.000.001.002.003.004.005.00JuneJulyAugustSeptemberOctoberNovember
3.75
0.32
CM
TLT

Dividends

CM vs. TLT - Dividend Comparison

CM's dividend yield for the trailing twelve months is around 4.17%, more than TLT's 4.08% yield.


TTM20232022202120202019201820172016201520142013
CM
Canadian Imperial Bank of Commerce
4.17%5.41%6.23%5.76%8.48%10.73%5.48%4.09%4.52%8.65%4.19%4.29%
TLT
iShares 20+ Year Treasury Bond ETF
4.08%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%

Drawdowns

CM vs. TLT - Drawdown Comparison

The maximum CM drawdown since its inception was -70.55%, which is greater than TLT's maximum drawdown of -48.35%. Use the drawdown chart below to compare losses from any high point for CM and TLT. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.97%
-41.23%
CM
TLT

Volatility

CM vs. TLT - Volatility Comparison

The current volatility for Canadian Imperial Bank of Commerce (CM) is 3.04%, while iShares 20+ Year Treasury Bond ETF (TLT) has a volatility of 4.90%. This indicates that CM experiences smaller price fluctuations and is considered to be less risky than TLT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
3.04%
4.90%
CM
TLT