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CP vs. CN
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


CPCN
YTD Return1.14%-65.48%
1Y Return4.47%-25.64%
3Y Return (Ann)-0.08%-16.77%
5Y Return (Ann)14.38%34.57%
10Y Return (Ann)10.65%14.49%
Sharpe Ratio0.23-0.07
Daily Std Dev20.58%143.80%
Max Drawdown-69.21%-99.11%
Current Drawdown-12.51%-91.37%

Correlation

-0.50.00.51.00.0

The correlation between CP and CN is 0.02, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

CP vs. CN - Performance Comparison

In the year-to-date period, CP achieves a 1.14% return, which is significantly higher than CN's -65.48% return. Over the past 10 years, CP has underperformed CN with an annualized return of 10.65%, while CN has yielded a comparatively higher 14.49% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%200.00%400.00%600.00%800.00%1,000.00%December2024FebruaryMarchAprilMay
895.45%
-78.68%
CP
CN

Compare stocks, funds, or ETFs

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Canadian Pacific Railway Limited

Xtrackers MSCI All China Equity ETF

Risk-Adjusted Performance

CP vs. CN - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Canadian Pacific Railway Limited (CP) and Xtrackers MSCI All China Equity ETF (CN). 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.


CP
Sharpe ratio
The chart of Sharpe ratio for CP, currently valued at 0.27, compared to the broader market-2.00-1.000.001.002.003.004.000.27
Sortino ratio
The chart of Sortino ratio for CP, currently valued at 0.51, compared to the broader market-4.00-2.000.002.004.006.000.51
Omega ratio
The chart of Omega ratio for CP, currently valued at 1.06, compared to the broader market0.501.001.502.001.06
Calmar ratio
The chart of Calmar ratio for CP, currently valued at 0.32, compared to the broader market0.002.004.006.000.32
Martin ratio
The chart of Martin ratio for CP, currently valued at 0.66, compared to the broader market-10.000.0010.0020.0030.000.66
CN
Sharpe ratio
The chart of Sharpe ratio for CN, currently valued at -0.37, compared to the broader market-2.00-1.000.001.002.003.004.00-0.37
Sortino ratio
The chart of Sortino ratio for CN, currently valued at 0.47, compared to the broader market-4.00-2.000.002.004.006.000.47
Omega ratio
The chart of Omega ratio for CN, currently valued at 1.07, compared to the broader market0.501.001.502.001.07
Calmar ratio
The chart of Calmar ratio for CN, currently valued at -0.55, compared to the broader market0.002.004.006.00-0.55
Martin ratio
The chart of Martin ratio for CN, currently valued at -1.22, compared to the broader market-10.000.0010.0020.0030.00-1.22

CP vs. CN - Sharpe Ratio Comparison

The current CP Sharpe Ratio is 0.23, which is higher than the CN Sharpe Ratio of -0.07. The chart below compares the 12-month rolling Sharpe Ratio of CP and CN.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.004.00December2024FebruaryMarchAprilMay
0.27
-0.37
CP
CN

Dividends

CP vs. CN - Dividend Comparison

CP's dividend yield for the trailing twelve months is around 0.71%, less than CN's 17,026.59% yield.


TTM20232022202120202019201820172016201520142013
CP
Canadian Pacific Railway Limited
0.71%0.72%0.77%1.67%3.82%0.93%1.07%0.93%0.98%0.84%0.65%0.89%
CN
Xtrackers MSCI All China Equity ETF
17,026.59%235.17%61.66%530.55%159.04%3,205.11%989.83%318.27%2,808.84%4,168.13%888.58%0.00%

Drawdowns

CP vs. CN - Drawdown Comparison

The maximum CP drawdown since its inception was -69.21%, smaller than the maximum CN drawdown of -99.11%. Use the drawdown chart below to compare losses from any high point for CP and CN. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%December2024FebruaryMarchAprilMay
-12.51%
-91.37%
CP
CN

Volatility

CP vs. CN - Volatility Comparison

The current volatility for Canadian Pacific Railway Limited (CP) is 6.09%, while Xtrackers MSCI All China Equity ETF (CN) has a volatility of 25.90%. This indicates that CP experiences smaller price fluctuations and is considered to be less risky than CN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%20.00%40.00%60.00%80.00%100.00%120.00%140.00%December2024FebruaryMarchAprilMay
6.09%
25.90%
CP
CN