CME vs. SOXX
CME (CME Group Inc.) is a stock, while SOXX (iShares Semiconductor ETF) is Semiconductors fund tracking the NYSE Semiconductor Index. Over the past 10 years, CME returned 14.57%/yr vs 35.54%/yr for SOXX. At a 0.31 correlation, their price movements are largely independent.
Performance
CME vs. SOXX - Performance Comparison
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Returns By Period
In the year-to-date period, CME achieves a -3.99% return, which is significantly lower than SOXX's 100.26% return. Over the past 10 years, CME has underperformed SOXX with an annualized return of 14.57%, while SOXX has yielded a comparatively higher 35.54% annualized return.
CME
- 1D
- 1.35%
- 1M
- -10.72%
- YTD
- -3.99%
- 6M
- -3.59%
- 1Y
- -4.33%
- 3Y*
- 16.09%
- 5Y*
- 7.64%
- 10Y*
- 14.57%
SOXX
- 1D
- -2.10%
- 1M
- 24.86%
- YTD
- 100.26%
- 6M
- 97.20%
- 1Y
- 179.78%
- 3Y*
- 57.09%
- 5Y*
- 33.93%
- 10Y*
- 35.54%
CME vs. SOXX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CME CME Group Inc. | -3.99% | 19.83% | 15.41% | 31.32% | -22.89% | 29.47% | -6.34% | 9.67% | 32.15% | 32.35% |
SOXX iShares Semiconductor ETF | 100.26% | 40.74% | 12.92% | 67.12% | -35.09% | 44.09% | 52.72% | 62.42% | -6.49% | 39.79% |
Correlation
The correlation between CME and SOXX is -0.27, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.27 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.19 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.03 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.12 |
Correlation (All Time) Calculated using the full available price history since Dec 9, 2002 | 0.31 |
The correlation between CME and SOXX shifts across timeframes, from -0.27 (1 year) to 0.31 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
CME vs. SOXX — Risk / Return Rank
CME
SOXX
CME vs. SOXX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for CME Group Inc. (CME) and iShares Semiconductor ETF (SOXX). 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.
| CME | SOXX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -5.51 | ||
| Sortino ratioReturn per unit of downside risk | -5.31 | ||
| Omega ratioGain probability vs. loss probability | 0.98 | 1.71 | -0.73 |
| Calmar ratioReturn relative to maximum drawdown | -0.20 | 11.48 | -11.68 |
| Martin ratioReturn relative to average drawdown | -0.71 | 43.90 | -44.61 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| CME | SOXX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.21 | 5.29 | -5.51 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.38 | 0.94 | -0.56 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.61 | 1.07 | -0.45 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.59 | 0.44 | +0.14 |
Drawdowns
CME vs. SOXX - Drawdown Comparison
The maximum CME drawdown since its inception was -77.50%, which is greater than SOXX's maximum drawdown of -70.21%. Use the drawdown chart below to compare losses from any high point for CME and SOXX.
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Drawdown Indicators
| CME | SOXX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -77.50% | -70.21% | -7.29% |
Max Drawdown (1Y)Largest decline over 1 year | -21.42% | -15.77% | -5.65% |
Max Drawdown (3Y)Largest decline over 3 years | -21.42% | -41.36% | +19.94% |
Max Drawdown (5Y)Largest decline over 5 years | -31.74% | -45.75% | +14.01% |
Max Drawdown (10Y)Largest decline over 10 years | -37.36% | -45.75% | +8.39% |
Current DrawdownCurrent decline from peak | -19.69% | -2.10% | -17.59% |
Average DrawdownAverage peak-to-trough decline | -20.69% | -19.97% | -0.72% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.10% | 4.11% | +1.99% |
Volatility
CME vs. SOXX - Volatility Comparison
The current volatility for CME Group Inc. (CME) is 10.09%, while iShares Semiconductor ETF (SOXX) has a volatility of 14.08%. This indicates that CME experiences smaller price fluctuations and is considered to be less risky than SOXX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CME | SOXX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 10.09% | 14.08% | -3.99% |
Volatility (6M)Calculated over the trailing 6-month period | 16.79% | 27.45% | -10.66% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.31% | 34.20% | -13.89% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.04% | 36.11% | -16.07% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.87% | 33.43% | -9.56% |
Dividends
CME vs. SOXX - Dividend Comparison
CME's dividend yield for the trailing twelve months is around 4.37%, more than SOXX's 0.28% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CME CME Group Inc. | 4.37% | 1.83% | 4.48% | 4.58% | 5.05% | 3.00% | 3.24% | 2.74% | 2.42% | 4.20% | 4.90% | 5.41% |
SOXX iShares Semiconductor ETF | 0.28% | 0.57% | 0.67% | 0.78% | 1.26% | 0.64% | 0.81% | 1.23% | 1.37% | 0.90% | 1.08% | 1.29% |
Frequently Asked Questions
CME and SOXX have a correlation of -0.27, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SOXX has higher volatility (14.08%) compared to CME (10.09%). In terms of maximum drawdown, CME dropped -77.50% vs SOXX's -70.21%.
SOXX currently has the higher Sharpe Ratio (5.29 vs -0.21), 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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