PortfoliosLab logo
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.


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.

Loading data...

Key characteristics

Sharpe Ratio

CM:

1.90

VOO:

0.72

Sortino Ratio

CM:

2.68

VOO:

1.15

Omega Ratio

CM:

1.35

VOO:

1.17

Calmar Ratio

CM:

2.05

VOO:

0.77

Martin Ratio

CM:

6.18

VOO:

2.94

Ulcer Index

CM:

6.30%

VOO:

4.87%

Daily Std Dev

CM:

21.27%

VOO:

19.40%

Max Drawdown

CM:

-70.55%

VOO:

-33.99%

Current Drawdown

CM:

-0.48%

VOO:

-3.85%

Returns By Period

In the year-to-date period, CM achieves a 4.80% return, which is significantly higher than VOO's 0.59% return. Both investments have delivered pretty close results over the past 10 years, with CM having a 12.33% annualized return and VOO not far ahead at 12.75%.


CM

YTD

4.80%

1M

12.56%

6M

4.65%

1Y

40.09%

5Y*

26.15%

10Y*

12.33%

VOO

YTD

0.59%

1M

9.01%

6M

-0.97%

1Y

13.78%

5Y*

17.33%

10Y*

12.75%

*Annualized

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. VOO — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

CM
The Risk-Adjusted Performance Rank of CM is 9292
Overall Rank
The Sharpe Ratio Rank of CM is 9595
Sharpe Ratio Rank
The Sortino Ratio Rank of CM is 9393
Sortino Ratio Rank
The Omega Ratio Rank of CM is 9292
Omega Ratio Rank
The Calmar Ratio Rank of CM is 9393
Calmar Ratio Rank
The Martin Ratio Rank of CM is 8989
Martin Ratio Rank

VOO
The Risk-Adjusted Performance Rank of VOO is 7070
Overall Rank
The Sharpe Ratio Rank of VOO is 6666
Sharpe Ratio Rank
The Sortino Ratio Rank of VOO is 6868
Sortino Ratio Rank
The Omega Ratio Rank of VOO is 7171
Omega Ratio Rank
The Calmar Ratio Rank of VOO is 7171
Calmar Ratio Rank
The Martin Ratio Rank of VOO is 7171
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


The current CM Sharpe Ratio is 1.90, which is higher than the VOO Sharpe Ratio of 0.72. 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.


Loading data...

Dividends

CM vs. VOO - Dividend Comparison

CM's dividend yield for the trailing twelve months is around 4.12%, more than VOO's 1.29% yield.


TTM20242023202220212020201920182017201620152014
CM
Canadian Imperial Bank of Commerce
4.12%4.24%5.41%6.23%5.76%8.48%10.73%5.48%4.09%4.52%8.65%4.19%
VOO
Vanguard S&P 500 ETF
1.29%1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%

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.


Loading data...

Volatility

CM vs. VOO - Volatility Comparison

The current volatility for Canadian Imperial Bank of Commerce (CM) is 3.39%, while Vanguard S&P 500 ETF (VOO) has a volatility of 6.20%. This indicates that CM experiences smaller price fluctuations and is considered to be less risky than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


Loading data...