Measuring noisy signals: Does wrapping the test lead through a ferrite reduce common-mode noise?
What you have added is a suppressor not a common mode choke.

By wrapping the cable around a ferrite core or bead 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. 



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".

Correction:

After several hours of reflection it seems I may have been getting confused with my coil rules and directions. 

A two core cable wrapped a few times through a toroid will indeed form the cancelling mode of a common mode choke, though perhaps not as efficiently as a classic purpose built model.  

Which kind of makes sense since the current paths cancel each other in each cable core for differential signals while common mode noise sees basically one core split in two. Apologies. 

Odd the original got 7 votes before I noticed... I guess it's confusing to more than just me.. all this left hand right hand rules round a torroid thing is hard :)