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CNR.TO vs. CP.TO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Financials

Key characteristics


CNR.TOCP.TO
YTD Return-8.45%4.02%
1Y Return0.97%7.54%
3Y Return (Ann)-1.30%5.10%
5Y Return (Ann)5.92%12.45%
10Y Return (Ann)8.61%9.09%
Sharpe Ratio0.150.44
Sortino Ratio0.310.72
Omega Ratio1.041.09
Calmar Ratio0.160.09
Martin Ratio0.331.08
Ulcer Index7.36%7.69%
Daily Std Dev16.02%18.98%
Max Drawdown-37.85%-99.89%
Current Drawdown-15.53%-97.09%

Fundamentals


CNR.TOCP.TO
Market CapCA$94.94BCA$101.37B
EPSCA$8.41CA$3.82
PE Ratio17.8628.43
PEG Ratio3.302.38
Total Revenue (TTM)CA$14.53BCA$10.90B
Gross Profit (TTM)CA$6.30BCA$4.18B
EBITDA (TTM)CA$6.80BCA$5.34B

Correlation

-0.50.00.51.00.7

The correlation between CNR.TO and CP.TO is 0.73, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

CNR.TO vs. CP.TO - Performance Comparison

In the year-to-date period, CNR.TO achieves a -8.45% return, which is significantly lower than CP.TO's 4.02% return. Over the past 10 years, CNR.TO has underperformed CP.TO with an annualized return of 8.61%, while CP.TO has yielded a comparatively higher 9.09% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%JuneJulyAugustSeptemberOctoberNovember
-12.82%
-3.58%
CNR.TO
CP.TO

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Risk-Adjusted Performance

CNR.TO vs. CP.TO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Canadian National Railway Company (CNR.TO) and Canadian Pacific Railway Limited (CP.TO). 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.


CNR.TO
Sharpe ratio
The chart of Sharpe ratio for CNR.TO, currently valued at 0.07, compared to the broader market-4.00-2.000.002.000.07
Sortino ratio
The chart of Sortino ratio for CNR.TO, currently valued at 0.22, compared to the broader market-4.00-2.000.002.004.000.22
Omega ratio
The chart of Omega ratio for CNR.TO, currently valued at 1.03, compared to the broader market0.501.001.502.001.03
Calmar ratio
The chart of Calmar ratio for CNR.TO, currently valued at 0.07, compared to the broader market0.002.004.006.000.07
Martin ratio
The chart of Martin ratio for CNR.TO, currently valued at 0.15, compared to the broader market-10.000.0010.0020.0030.000.15
CP.TO
Sharpe ratio
The chart of Sharpe ratio for CP.TO, currently valued at 0.34, compared to the broader market-4.00-2.000.002.000.34
Sortino ratio
The chart of Sortino ratio for CP.TO, currently valued at 0.61, compared to the broader market-4.00-2.000.002.004.000.61
Omega ratio
The chart of Omega ratio for CP.TO, currently valued at 1.07, compared to the broader market0.501.001.502.001.07
Calmar ratio
The chart of Calmar ratio for CP.TO, currently valued at 0.07, compared to the broader market0.002.004.006.000.07
Martin ratio
The chart of Martin ratio for CP.TO, currently valued at 0.81, compared to the broader market-10.000.0010.0020.0030.000.81

CNR.TO vs. CP.TO - Sharpe Ratio Comparison

The current CNR.TO Sharpe Ratio is 0.15, which is lower than the CP.TO Sharpe Ratio of 0.44. The chart below compares the historical Sharpe Ratios of CNR.TO and CP.TO, 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 Ratio-0.200.000.200.400.600.80JuneJulyAugustSeptemberOctoberNovember
0.07
0.34
CNR.TO
CP.TO

Dividends

CNR.TO vs. CP.TO - Dividend Comparison

CNR.TO's dividend yield for the trailing twelve months is around 2.21%, more than CP.TO's 0.56% yield.


TTM20232022202120202019201820172016201520142013
CNR.TO
Canadian National Railway Company
2.21%1.90%1.82%1.58%1.64%1.83%1.80%1.59%1.66%1.62%1.25%1.42%
CP.TO
Canadian Pacific Railway Limited
0.56%0.54%0.76%0.50%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

CNR.TO vs. CP.TO - Drawdown Comparison

The maximum CNR.TO drawdown since its inception was -37.85%, smaller than the maximum CP.TO drawdown of -99.89%. Use the drawdown chart below to compare losses from any high point for CNR.TO and CP.TO. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-17.78%
-96.77%
CNR.TO
CP.TO

Volatility

CNR.TO vs. CP.TO - Volatility Comparison

The current volatility for Canadian National Railway Company (CNR.TO) is 3.17%, while Canadian Pacific Railway Limited (CP.TO) has a volatility of 4.61%. This indicates that CNR.TO experiences smaller price fluctuations and is considered to be less risky than CP.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
3.17%
4.61%
CNR.TO
CP.TO

Financials

CNR.TO vs. CP.TO - Financials Comparison

This section allows you to compare key financial metrics between Canadian National Railway Company and Canadian Pacific Railway Limited. You can select fields from income statements, balance sheets, and cash flow statements to easily visualize and compare the financial health of both companies.


Quarterly
Annual

Total Revenue: Total amount of money received from sales and other business activities



Values in CAD except per share items