What you have added is a suppressor not a common mode choke.

By wrapping the cable around a [ferrite core or bead][1] you have added lossy inductors to the circuit. This does two things. The inductors limit high frequency transmission and the magnetics cross couples non-common noise.

A common mode choke is a different animal. 
 
[![enter image description here][2]][2]

In a common mode choke the two wires are wrapped in different directions. Here the induced magnetism from the normal differential current and return current  cancel out while the noise currents passing in both wires in the same direction, e.g. from left to right in the image above, double the magnetic effect. The signal therefore sees virtually no inductance and is not affected much while the noise sees lots of inductance and is "choked".


  [1]: https://en.wikipedia.org/wiki/Ferrite_bead
  [2]: https://i.sstatic.net/VNlxM.gif