CMTG vs. SPHD

Last updated Jun 4, 2026

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 -36.93%/yr vs 11.42%/yr for SPHD. At a 0.40 correlation, their price movements are largely independent.

Performance

CMTG vs. SPHD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Claros Mortgage Trust, Inc. (CMTG) and Invesco S&P 500® High Dividend Low Volatility ETF (SPHD). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CMTG achieves a -23.53% return, which is significantly lower than SPHD's 4.38% return.

CMTG

• 1D: -4.88%
• 1M: -7.14%
• YTD: -23.53%
• 6M: -33.71%
• 1Y: -13.65%
• 3Y*: -36.93%
• 5Y*: —
• 10Y*: —

SPHD

• 1D: -0.89%
• 1M: -0.82%
• YTD: 4.38%
• 6M: 4.63%
• 1Y: 8.12%
• 3Y*: 11.42%
• 5Y*: 5.48%
• 10Y*: 7.08%

*Multi-year figures are annualized to reflect compound growth (CAGR)

CMTG vs. SPHD - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021
CMTG Claros Mortgage Trust, Inc.	-23.53%	-32.30%	-64.39%	2.82%	-1.38%	-1.31%
SPHD Invesco S&P 500® High Dividend Low Volatility ETF	4.38%	3.41%	18.08%	1.32%	0.58%	4.21%

Correlation

The correlation between CMTG and SPHD is 0.39, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.39
Correlation (3Y) Calculated over the trailing 3-year period	0.41
Correlation (All Time) Calculated using the full available price history since Nov 4, 2021	0.40

Return for Risk

CMTG vs. SPHD — Risk / Return Rank

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

CMTG

CMTG Risk / Return Rank: 32
CMTG Sharpe Ratio Rank: 32
CMTG Sortino Ratio Rank: 32
CMTG Omega Ratio Rank: 32
CMTG Calmar Ratio Rank: 31
CMTG Martin Ratio Rank: 31

SPHD

SPHD Risk / Return Rank: 21
SPHD Sharpe Ratio Rank: 21
SPHD Sortino Ratio Rank: 21
SPHD Omega Ratio Rank: 19
SPHD Calmar Ratio Rank: 23
SPHD Martin Ratio Rank: 22

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

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.

	CMTG	SPHD	Difference
Sharpe ratio: Return per unit of total volatility	-0.22	0.74	-0.96
Sortino ratio: Return per unit of downside risk	0.10	1.15	-1.05
Omega ratio: Gain probability vs. loss probability	1.01	1.13	-0.12
Calmar ratio: Return relative to maximum drawdown	-0.29	1.11	-1.40
Martin ratio: Return relative to average drawdown	-0.53	2.78	-3.31
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CMTG vs. SPHD - Sharpe Ratio Comparison

The current CMTG Sharpe Ratio is -0.22, which is lower than the SPHD Sharpe Ratio of 0.74. The chart below compares the historical Sharpe Ratios of CMTG and SPHD, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	CMTG	SPHD	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.22	0.74	-0.96
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.39	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.40	—
Sharpe Ratio (All Time) Calculated using the full available price history	-0.59	0.58	-1.17

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.

Drawdown Indicators

	CMTG	SPHD	Difference
Max Drawdown Largest 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 Drawdown Current decline from peak	-85.51%	-5.37%	-80.14%
Average Drawdown Average peak-to-trough decline	-46.11%	-4.70%	-41.41%
Ulcer Index Depth and duration of drawdowns from previous peaks	25.59%	2.93%	+22.66%

Volatility

CMTG vs. SPHD - Volatility Comparison

Claros Mortgage Trust, Inc. (CMTG) has a higher volatility of 17.61% compared to Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) at 2.99%. 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.

Volatility by Period

	CMTG	SPHD	Difference
Volatility (1M) Calculated over the trailing 1-month period	17.61%	2.99%	+14.62%
Volatility (6M) Calculated over the trailing 6-month period	42.63%	7.55%	+35.08%
Volatility (1Y) Calculated over the trailing 1-year period	62.27%	11.04%	+51.23%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	52.26%	14.16%	+38.10%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	52.26%	17.64%	+34.62%

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 4.62%.

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	4.62%	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

Can I hold both CMTG and SPHD in my portfolio?

CMTG and SPHD have a correlation of 0.39, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CMTG or SPHD?

CMTG has higher volatility (17.61%) compared to SPHD (2.99%). In terms of maximum drawdown, CMTG dropped -87.12% vs SPHD's -41.39%.

Which has better risk-adjusted returns?

SPHD currently has the higher Sharpe Ratio (0.74 vs -0.22), 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.