If you are just trying to make a simple, common-mode choke, then powdered iron might work better than ferrite, unless you have the right ferrite.
Ferrite materials act as a big resistor, without having to actually insert any resistance in the line. But, each ferrite "mix" only is effective over a given frequency range. Most ferrites do not exhibit any substantial resistance, at frequencies under 10 MHz or so. That is how ferrite beads or donuts work: they absorb RF energy and turn it into heat. Common-mode chokes use opposing magnetic fields to cancel out the crud. Two different approaches, both can be effective.
If you have time, the guys who make these should have a wealth of info on how they work, and how to employ them. Companies that I would look at are Steward, Fair-Rite, and Ferronics.
Pat