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

Correlation

The correlation between CM and VOO is 0.58, 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.


-0.50.00.51.00.6

Performance

CM vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Canadian Imperial Bank of Commerce (CM) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

200.00%300.00%400.00%500.00%600.00%JulyAugustSeptemberOctoberNovemberDecember
310.08%
600.01%
CM
VOO

Key characteristics

Sharpe Ratio

CM:

2.32

VOO:

2.21

Sortino Ratio

CM:

3.55

VOO:

2.93

Omega Ratio

CM:

1.43

VOO:

1.41

Calmar Ratio

CM:

1.78

VOO:

3.25

Martin Ratio

CM:

13.29

VOO:

14.47

Ulcer Index

CM:

3.32%

VOO:

1.90%

Daily Std Dev

CM:

19.03%

VOO:

12.43%

Max Drawdown

CM:

-70.55%

VOO:

-33.99%

Current Drawdown

CM:

-5.24%

VOO:

-2.87%

Returns By Period

In the year-to-date period, CM achieves a 37.58% return, which is significantly higher than VOO's 25.49% return. Over the past 10 years, CM has underperformed VOO with an annualized return of 10.94%, while VOO has yielded a comparatively higher 13.04% annualized return.


CM

YTD

37.58%

1M

-0.85%

6M

37.88%

1Y

43.68%

5Y*

16.62%

10Y*

10.94%

VOO

YTD

25.49%

1M

0.01%

6M

8.65%

1Y

27.45%

5Y*

14.70%

10Y*

13.04%

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Risk-Adjusted Performance

CM vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Canadian Imperial Bank of Commerce (CM) and Vanguard S&P 500 ETF (VOO). 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 2.29, compared to the broader market-4.00-2.000.002.002.292.21
The chart of Sortino ratio for CM, currently valued at 3.52, compared to the broader market-4.00-2.000.002.004.003.522.93
The chart of Omega ratio for CM, currently valued at 1.42, compared to the broader market0.501.001.502.001.421.41
The chart of Calmar ratio for CM, currently valued at 1.76, compared to the broader market0.002.004.006.001.763.25
The chart of Martin ratio for CM, currently valued at 13.08, compared to the broader market0.0010.0020.0013.0814.47
CM
VOO

The current CM Sharpe Ratio is 2.32, which is comparable to the VOO Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of CM and VOO, 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 Ratio1.002.003.004.005.00JulyAugustSeptemberOctoberNovemberDecember
2.29
2.21
CM
VOO

Dividends

CM vs. VOO - Dividend Comparison

CM's dividend yield for the trailing twelve months is around 4.19%, more than VOO's 0.91% yield.


TTM20232022202120202019201820172016201520142013
CM
Canadian Imperial Bank of Commerce
4.19%5.41%6.23%5.76%8.48%10.73%5.48%4.09%4.52%8.65%4.19%4.29%
VOO
Vanguard S&P 500 ETF
0.91%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

CM vs. VOO - Drawdown Comparison

The maximum CM drawdown since its inception was -70.55%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for CM and VOO. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.24%
-2.87%
CM
VOO

Volatility

CM vs. VOO - Volatility Comparison

Canadian Imperial Bank of Commerce (CM) has a higher volatility of 6.14% compared to Vanguard S&P 500 ETF (VOO) at 3.64%. This indicates that CM's price experiences larger fluctuations and is considered to be riskier than VOO 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%JulyAugustSeptemberOctoberNovemberDecember
6.14%
3.64%
CM
VOO
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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