CMTG vs. SPHD
CMTG (Claros Mortgage Trust, Inc.) is a stock, while SPHD (Invesco S&P 500® High Dividend Low Volatility ETF) is Dividend fund tracking the S&P 500 Low Volatility High Dividend Index. Over the past 3 years, CMTG returned -36.38%/yr vs 12.69%/yr for SPHD. At a 0.40 correlation, their price movements are largely independent.
Performance
CMTG vs. SPHD - Performance Comparison
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Returns By Period
In the year-to-date period, CMTG achieves a -20.92% return, which is significantly lower than SPHD's 8.15% return.
CMTG
- 1D
- -3.20%
- 1M
- 12.56%
- YTD
- -20.92%
- 6M
- -20.92%
- 1Y
- -22.19%
- 3Y*
- -36.38%
- 5Y*
- —
- 10Y*
- —
SPHD
- 1D
- -0.04%
- 1M
- 0.78%
- YTD
- 8.15%
- 6M
- 7.75%
- 1Y
- 11.57%
- 3Y*
- 12.69%
- 5Y*
- 6.90%
- 10Y*
- 7.55%
CMTG vs. SPHD - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
CMTG Claros Mortgage Trust, Inc. | -20.92% | -32.30% | -64.39% | 2.82% | -1.38% | 3.95% |
SPHD Invesco S&P 500® High Dividend Low Volatility ETF | 8.15% | 3.41% | 18.08% | 1.32% | 0.58% | 4.95% |
Correlation
The correlation between CMTG and SPHD is 0.38, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.38 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.40 |
Correlation (All Time) Calculated using the full available price history since Nov 3, 2021 | 0.40 |
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Return for Risk
CMTG vs. SPHD — Risk / Return Rank
CMTG
SPHD
CMTG vs. SPHD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Claros Mortgage Trust, Inc. (CMTG) and Invesco S&P 500® High Dividend Low Volatility ETF (SPHD). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| CMTG | SPHD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.37 | ||
| Sortino ratioReturn per unit of downside risk | -1.68 | ||
| Omega ratioGain probability vs. loss probability | 0.99 | 1.17 | -0.19 |
| Calmar ratioReturn relative to maximum drawdown | -0.47 | 1.59 | -2.06 |
| Martin ratioReturn relative to average drawdown | -0.83 | 3.89 | -4.71 |
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Drawdowns
CMTG vs. SPHD - Drawdown Comparison
The maximum CMTG drawdown since its inception was -87.12%, which is greater than SPHD's maximum drawdown of -41.39%. Use the drawdown chart below to compare losses from any high point for CMTG and SPHD.
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Drawdown Indicators
| CMTG | SPHD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -87.12% | -41.39% | -45.73% |
Max Drawdown (1Y)Largest decline over 1 year | -47.34% | -7.33% | -40.01% |
Max Drawdown (3Y)Largest decline over 3 years | -84.37% | -13.29% | -71.08% |
Max Drawdown (5Y)Largest decline over 5 years | — | -19.50% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -41.39% | — |
Current DrawdownCurrent decline from peak | -85.01% | -1.95% | -83.06% |
Average DrawdownAverage peak-to-trough decline | -46.53% | -4.69% | -41.84% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 26.93% | 2.99% | +23.94% |
Volatility
CMTG vs. SPHD - Volatility Comparison
Claros Mortgage Trust, Inc. (CMTG) has a higher volatility of 20.54% compared to Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) at 4.23%. This indicates that CMTG's price experiences larger fluctuations and is considered to be riskier than SPHD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CMTG | SPHD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 20.54% | 4.23% | +16.31% |
Volatility (6M)Calculated over the trailing 6-month period | 45.57% | 8.10% | +37.47% |
Volatility (1Y)Calculated over the trailing 1-year period | 63.45% | 11.45% | +52.00% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 52.66% | 14.16% | +38.50% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 52.66% | 17.64% | +35.02% |
Dividends
CMTG vs. SPHD - Dividend Comparison
CMTG has not paid dividends to shareholders, while SPHD's dividend yield for the trailing twelve months is around 4.60%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CMTG Claros Mortgage Trust, Inc. | 0.00% | 0.00% | 13.27% | 9.10% | 10.06% | 2.26% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPHD Invesco S&P 500® High Dividend Low Volatility ETF | 4.60% | 4.02% | 3.41% | 4.48% | 3.89% | 3.45% | 4.89% | 4.07% | 4.40% | 3.14% | 3.83% | 3.49% |
Frequently Asked Questions
CMTG and SPHD have a correlation of 0.38, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CMTG has higher volatility (20.54%) compared to SPHD (4.23%). In terms of maximum drawdown, CMTG dropped -87.12% vs SPHD's -41.39%.
SPHD currently has the higher Sharpe Ratio (1.02 vs -0.35), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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