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 13.57%/yr vs 33.24%/yr for SOXX. At a 0.30 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 -7.18% return, which is significantly lower than SOXX's 76.35% return. Over the past 10 years, CME has underperformed SOXX with an annualized return of 13.57%, while SOXX has yielded a comparatively higher 33.24% annualized return.
CME
- 1D
- 0.44%
- 1M
- -5.86%
- 6M
- -7.02%
- YTD
- -7.18%
- 1Y
- -7.81%
- 3Y*
- 14.77%
- 5Y*
- 7.74%
- 10Y*
- 13.57%
SOXX
- 1D
- -4.46%
- 1M
- -10.27%
- 6M
- 57.49%
- YTD
- 76.35%
- 1Y
- 117.02%
- 3Y*
- 45.18%
- 5Y*
- 31.15%
- 10Y*
- 33.24%
CME vs. SOXX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CME CME Group Inc. | -7.18% | 19.83% | 15.41% | 31.32% | -22.89% | 29.47% | -6.34% | 9.67% | 32.15% | 32.35% |
SOXX iShares Semiconductor ETF | 76.35% | 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 -0.30, 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 | -0.30 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.22 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.00 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.11 |
Correlation (All Time) Calculated using the full available price history since Dec 6, 2002 | 0.30 |
The correlation between CME and SOXX shifts across timeframes, from -0.30 (1 year) to 0.30 (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.
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 | SOXX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -3.12 | ||
| Sortino ratioReturn per unit of downside risk | -3.33 | ||
| Omega ratioGain probability vs. loss probability | 0.96 | 1.41 | -0.46 |
| Calmar ratioReturn relative to maximum drawdown | -0.25 | 6.19 | -6.44 |
| Martin ratioReturn relative to average drawdown | -0.79 | 22.06 | -22.85 |
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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 | -31.09% | -19.01% | -12.08% |
Max Drawdown (3Y)Largest decline over 3 years | -31.09% | -41.36% | +10.27% |
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 | -22.36% | -19.01% | -3.35% |
Average DrawdownAverage peak-to-trough decline | -20.70% | -19.92% | -0.78% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 9.88% | 5.32% | +4.56% |
Volatility
CME vs. SOXX - Volatility Comparison
The current volatility for CME Group Inc. (CME) is 9.99%, while iShares Semiconductor ETF (SOXX) has a volatility of 20.64%. 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 | 9.99% | 20.64% | -10.65% |
Volatility (6M)Calculated over the trailing 6-month period | 19.16% | 36.86% | -17.70% |
Volatility (1Y)Calculated over the trailing 1-year period | 22.66% | 42.42% | -19.76% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.50% | 37.83% | -17.33% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 24.06% | 34.30% | -10.24% |
Dividends
CME vs. SOXX - Dividend Comparison
CME's dividend yield for the trailing twelve months is around 4.57%, more than SOXX's 0.28% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CME CME Group Inc. | 4.57% | 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 -0.30, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SOXX has higher volatility (20.64%) compared to CME (9.99%). In terms of maximum drawdown, CME dropped -77.50% vs SOXX's -70.21%.
SOXX currently has the higher Sharpe Ratio (2.77 vs -0.35), 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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