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

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.

0.00%10.00%20.00%30.00%40.00%JuneJulyAugustSeptemberOctoberNovember
38.72%
13.62%
CM
VOO

Returns By Period

In the year-to-date period, CM achieves a 40.66% return, which is significantly higher than VOO's 26.16% return. Over the past 10 years, CM has underperformed VOO with an annualized return of 10.46%, while VOO has yielded a comparatively higher 13.18% annualized return.


CM

YTD

40.66%

1M

4.32%

6M

38.72%

1Y

75.19%

5Y (annualized)

16.48%

10Y (annualized)

10.46%

VOO

YTD

26.16%

1M

1.77%

6M

13.62%

1Y

32.33%

5Y (annualized)

15.68%

10Y (annualized)

13.18%

Key characteristics


CMVOO
Sharpe Ratio3.932.70
Sortino Ratio5.673.60
Omega Ratio1.701.50
Calmar Ratio2.163.90
Martin Ratio23.2817.65
Ulcer Index3.27%1.86%
Daily Std Dev19.39%12.19%
Max Drawdown-70.55%-33.99%
Current Drawdown0.00%-0.86%

Compare stocks, funds, or ETFs

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


Correlation

-0.50.00.51.00.6

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.

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 3.93, compared to the broader market-4.00-2.000.002.004.003.932.70
The chart of Sortino ratio for CM, currently valued at 5.67, compared to the broader market-4.00-2.000.002.004.005.673.60
The chart of Omega ratio for CM, currently valued at 1.70, compared to the broader market0.501.001.502.001.701.50
The chart of Calmar ratio for CM, currently valued at 2.16, compared to the broader market0.002.004.006.002.163.90
The chart of Martin ratio for CM, currently valued at 23.28, compared to the broader market0.0010.0020.0030.0023.2817.65
CM
VOO

The current CM Sharpe Ratio is 3.93, which is higher than the VOO Sharpe Ratio of 2.70. 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 Ratio1.002.003.004.005.00JuneJulyAugustSeptemberOctoberNovember
3.93
2.70
CM
VOO

Dividends

CM vs. VOO - Dividend Comparison

CM's dividend yield for the trailing twelve months is around 4.09%, more than VOO's 1.24% yield.


TTM20232022202120202019201820172016201520142013
CM
Canadian Imperial Bank of Commerce
4.09%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
1.24%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%JuneJulyAugustSeptemberOctoberNovember0
-0.86%
CM
VOO

Volatility

CM vs. VOO - Volatility Comparison

The current volatility for Canadian Imperial Bank of Commerce (CM) is 3.10%, while Vanguard S&P 500 ETF (VOO) has a volatility of 3.99%. 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.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
3.10%
3.99%
CM
VOO