CME vs. SHY
CME (CME Group Inc.) is a stock, while SHY (iShares 1-3 Year Treasury Bond ETF) is Government Bonds fund tracking the ICE US Treasury 1-3 Year Index. Over the past 10 years, CME returned 15.38%/yr vs 1.65%/yr for SHY. At a correlation of -0.14, they often move in opposite directions.
Performance
CME vs. SHY - Performance Comparison
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Returns By Period
In the year-to-date period, CME achieves a 1.58% return, which is significantly higher than SHY's 0.55% return. Over the past 10 years, CME has outperformed SHY with an annualized return of 15.38%, while SHY has yielded a comparatively lower 1.65% annualized return.
CME
- 1D
- 2.80%
- 1M
- -8.82%
- YTD
- 1.58%
- 6M
- 1.41%
- 1Y
- 3.34%
- 3Y*
- 19.92%
- 5Y*
- 9.17%
- 10Y*
- 15.38%
SHY
- 1D
- -0.02%
- 1M
- 0.15%
- YTD
- 0.55%
- 6M
- 0.80%
- 1Y
- 3.22%
- 3Y*
- 4.15%
- 5Y*
- 1.74%
- 10Y*
- 1.65%
CME vs. SHY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CME CME Group Inc. | 1.58% | 19.83% | 15.41% | 31.32% | -22.89% | 29.47% | -6.34% | 9.67% | 32.15% | 32.35% |
SHY iShares 1-3 Year Treasury Bond ETF | 0.55% | 4.95% | 3.92% | 4.16% | -3.88% | -0.71% | 3.03% | 3.38% | 1.46% | 0.26% |
Correlation
The correlation between CME and SHY is -0.03, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.03 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.02 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.01 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.04 |
Correlation (All Time) Calculated using the full available price history since Dec 6, 2002 | -0.14 |
The correlation between CME and SHY shifts across timeframes, from -0.14 (all time) to 0.01 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
CME vs. SHY — Risk / Return Rank
CME
SHY
CME vs. SHY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for CME Group Inc. (CME) and iShares 1-3 Year Treasury Bond ETF (SHY). 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 | SHY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.27 | ||
| Sortino ratioReturn per unit of downside risk | -3.62 | ||
| Omega ratioGain probability vs. loss probability | 1.05 | 1.50 | -0.45 |
| Calmar ratioReturn relative to maximum drawdown | 0.16 | 3.64 | -3.48 |
| Martin ratioReturn relative to average drawdown | 0.50 | 14.45 | -13.95 |
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Drawdowns
CME vs. SHY - Drawdown Comparison
The maximum CME drawdown since its inception was -77.50%, which is greater than SHY's maximum drawdown of -5.71%. Use the drawdown chart below to compare losses from any high point for CME and SHY.
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Drawdown Indicators
| CME | SHY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -77.50% | -5.71% | -71.79% |
Max Drawdown (1Y)Largest decline over 1 year | -21.42% | -0.89% | -20.53% |
Max Drawdown (3Y)Largest decline over 3 years | -21.42% | -0.97% | -20.45% |
Max Drawdown (5Y)Largest decline over 5 years | -31.74% | -5.71% | -26.03% |
Max Drawdown (10Y)Largest decline over 10 years | -37.36% | -5.71% | -31.65% |
Current DrawdownCurrent decline from peak | -15.03% | -0.18% | -14.85% |
Average DrawdownAverage peak-to-trough decline | -20.68% | -0.52% | -20.16% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.70% | 0.22% | +6.48% |
Volatility
CME vs. SHY - Volatility Comparison
CME Group Inc. (CME) has a higher volatility of 10.45% compared to iShares 1-3 Year Treasury Bond ETF (SHY) at 0.40%. This indicates that CME's price experiences larger fluctuations and is considered to be riskier than SHY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CME | SHY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 10.45% | 0.40% | +10.05% |
Volatility (6M)Calculated over the trailing 6-month period | 17.44% | 0.95% | +16.49% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.74% | 1.33% | +19.41% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.15% | 1.99% | +18.16% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.93% | 1.57% | +22.36% |
Dividends
CME vs. SHY - Dividend Comparison
CME's dividend yield for the trailing twelve months is around 4.17%, more than SHY's 3.68% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CME CME Group Inc. | 4.17% | 1.83% | 4.48% | 4.58% | 5.05% | 3.00% | 3.24% | 2.74% | 2.42% | 4.20% | 4.90% | 5.41% |
SHY iShares 1-3 Year Treasury Bond ETF | 3.68% | 3.81% | 3.92% | 2.99% | 1.30% | 0.26% | 0.94% | 2.12% | 1.72% | 0.98% | 0.71% | 0.54% |
Frequently Asked Questions
CME and SHY have a correlation of -0.03, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CME has higher volatility (10.45%) compared to SHY (0.40%). In terms of maximum drawdown, CME dropped -77.50% vs SHY's -5.71%.
SHY currently has the higher Sharpe Ratio (2.43 vs 0.16), 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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