CME vs. SGOV
CME (CME Group Inc.) is a stock, while SGOV (iShares 0-3 Month Treasury Bond ETF) is Ultrashort Bond fund tracking the ICE 0-3 Month US Treasury Securities Index. Over the past 5 years, CME returned 7.36%/yr vs 3.63%/yr for SGOV. At a 0.04 correlation, their price movements are largely independent.
Performance
CME vs. SGOV - Performance Comparison
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Returns By Period
In the year-to-date period, CME achieves a -7.62% return, which is significantly lower than SGOV's 1.99% return.
CME
- 1D
- 0.02%
- 1M
- -0.52%
- 6M
- -9.74%
- YTD
- -7.62%
- 1Y
- -7.30%
- 3Y*
- 13.77%
- 5Y*
- 7.36%
- 10Y*
- 13.48%
- ALL TIME*
- 19.41%
SGOV
- 1D
- 0.01%
- 1M
- 0.29%
- 6M
- 1.80%
- YTD
- 1.99%
- 1Y
- 3.87%
- 3Y*
- 4.64%
- 5Y*
- 3.63%
- 10Y*
- —
- ALL TIME*
- 2.96%
CME vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
CME CME Group Inc. | -7.62% | 19.83% | 15.41% | 31.32% | -22.89% | 29.47% | 6.07% |
SGOV iShares 0-3 Month Treasury Bond ETF | 1.99% | 4.24% | 5.27% | 5.12% | 1.58% | 0.04% | 0.04% |
Correlation
The correlation between CME and SGOV is 0.15, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.15 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.10 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.06 |
Correlation (All Time) Calculated using the full available price history since May 28, 2020 | 0.04 |
The correlation between CME and SGOV shifts across timeframes, from 0.04 (all time) to 0.15 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
CME vs. SGOV — Risk / Return Rank
CME
SGOV
CME vs. SGOV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for CME Group Inc. (CME) and iShares 0-3 Month Treasury Bond ETF (SGOV). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| CME | SGOV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -21.16 | ||
| Sortino ratioReturn per unit of downside risk | -383.11 | ||
| Omega ratioGain probability vs. loss probability | 0.96 | 383.06 | -382.09 |
| Calmar ratioReturn relative to maximum drawdown | -0.24 | 390.94 | -391.18 |
| Martin ratioReturn relative to average drawdown | -0.73 | 6,193.70 | -6,194.42 |
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Drawdowns
CME vs. SGOV - Drawdown Comparison
The maximum CME drawdown since its inception was -77.50%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for CME and SGOV.
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Drawdown Indicators
| CME | SGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -77.50% | -0.03% | -77.47% |
Max Drawdown (1Y)Largest decline over 1 year | -31.09% | -0.01% | -31.08% |
Max Drawdown (3Y)Largest decline over 3 years | -31.09% | -0.01% | -31.08% |
Max Drawdown (5Y)Largest decline over 5 years | -31.74% | -0.03% | -31.71% |
Max Drawdown (10Y)Largest decline over 10 years | -37.36% | — | — |
Current DrawdownCurrent decline from peak | -22.73% | 0.00% | -22.73% |
Average DrawdownAverage peak-to-trough decline | -20.70% | -0.00% | -20.70% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 10.08% | 0.00% | +10.08% |
Volatility
CME vs. SGOV - Volatility Comparison
CME Group Inc. (CME) has a higher volatility of 9.30% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.05%. This indicates that CME's price experiences larger fluctuations and is considered to be riskier than SGOV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CME | SGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 9.30% | 0.05% | +9.25% |
Volatility (6M)Calculated over the trailing 6-month period | 18.97% | 0.13% | +18.84% |
Volatility (1Y)Calculated over the trailing 1-year period | 22.66% | 0.19% | +22.47% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.49% | 0.24% | +20.25% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 24.06% | 0.24% | +23.82% |
Dividends
CME vs. SGOV - Dividend Comparison
CME's dividend yield for the trailing twelve months is around 4.59%, more than SGOV's 3.80% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CME CME Group Inc. | 4.59% | 1.83% | 4.48% | 4.58% | 5.05% | 3.00% | 3.24% | 2.74% | 2.42% | 4.20% | 4.90% | 5.41% |
SGOV iShares 0-3 Month Treasury Bond ETF | 3.80% | 4.10% | 5.10% | 4.87% | 1.45% | 0.03% | 0.05% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
CME and SGOV have a correlation of 0.15, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CME has higher volatility (9.30%) compared to SGOV (0.05%). In terms of maximum drawdown, CME dropped -77.50% vs SGOV's -0.03%.
SGOV currently has the higher Sharpe Ratio (20.84 vs -0.32), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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