CME vs. SPY
CME (CME Group Inc.) is a stock, while SPY (State Street SPDR S&P 500 ETF) is S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, CME returned 14.32%/yr vs 15.07%/yr for SPY. Their 0.44 correlation means their historical movements had little consistent relationship.
Performance
CME vs. SPY - Performance Comparison
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Returns By Period
In the year-to-date period, CME achieves a 0.93% return, which is significantly lower than SPY's 10.13% return. Over the past 10 years, CME has underperformed SPY with an annualized return of 14.32%, while SPY has yielded a comparatively higher 15.07% annualized return.
CME
- 1D
- 0.21%
- 1M
- 13.18%
- 6M
- -4.65%
- YTD
- 0.93%
- 1Y
- -0.91%
- 3Y*
- 15.08%
- 5Y*
- 9.26%
- 10Y*
- 14.32%
- ALL TIME*
- 19.83%
SPY
- 1D
- 0.72%
- 1M
- 0.30%
- 6M
- 8.53%
- YTD
- 10.13%
- 1Y
- 21.49%
- 3Y*
- 19.32%
- 5Y*
- 12.76%
- 10Y*
- 15.07%
- ALL TIME*
- 10.79%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $710.10M | $709.21M | $863.92M | |
| $37.27B | $35.99B | $39.23B |
CME vs. SPY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CME CME Group Inc. | 0.93% | 19.83% | 15.41% | 31.32% | -22.89% | 29.47% | -6.34% | 9.67% | 32.15% | 32.35% |
SPY State Street SPDR S&P 500 ETF | 10.13% | 17.72% | 24.89% | 26.18% | -18.18% | 28.73% | 18.33% | 31.22% | -4.57% | 21.71% |
Correlation
The correlation between CME and SPY is -0.16, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.16 |
Correlation (3Y) Balances recent behavior with more history. | -0.06 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.17 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.29 |
Correlation (All Time) Calculated using the full available price history since Dec 6, 2002 | 0.44 |
The correlation between CME and SPY shifts across timeframes, from -0.16 (1 year) to 0.44 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
CME vs. SPY — Risk / Return Rank
CME
SPY
CME vs. SPY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for CME Group Inc. (CME) and State Street SPDR S&P 500 ETF (SPY). 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 | SPY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.52 | ||
| Sortino ratioReturn per unit of downside risk | -1.95 | ||
| Omega ratioGain probability vs. loss probability | 1.02 | 1.27 | -0.25 |
| Calmar ratioReturn relative to maximum drawdown | -0.00 | 2.20 | -2.20 |
| Martin ratioReturn relative to average drawdown | -0.00 | 9.40 | -9.40 |
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Drawdowns
CME vs. SPY - Drawdown Comparison
The maximum CME drawdown since its inception was -77.50%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for CME and SPY.
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Drawdown Indicators
| CME | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -77.50% | -55.19% | -22.31% |
Max Drawdown (1Y)Largest decline over 1 year | -31.09% | -8.88% | -22.21% |
Max Drawdown (3Y)Largest decline over 3 years | -31.09% | -18.76% | -12.33% |
Max Drawdown (5Y)Largest decline over 5 years | -31.74% | -24.50% | -7.24% |
Max Drawdown (10Y)Largest decline over 10 years | -37.36% | -33.72% | -3.64% |
Current DrawdownCurrent decline from peak | -15.58% | -1.40% | -14.18% |
Average DrawdownAverage peak-to-trough decline | -20.69% | -9.01% | -11.68% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 10.72% | 2.08% | +8.64% |
Volatility
CME vs. SPY - Volatility Comparison
CME Group Inc. (CME) has a higher volatility of 7.71% compared to State Street SPDR S&P 500 ETF (SPY) at 3.58%. This indicates that CME's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CME | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.71% | 3.58% | +4.13% |
Volatility (6M)Calculated over the trailing 6-month period | 19.93% | 10.14% | +9.79% |
Volatility (1Y)Calculated over the trailing 1-year period | 23.51% | 12.89% | +10.62% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.66% | 17.18% | +3.48% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 24.14% | 17.95% | +6.19% |
Dividends
CME vs. SPY - Dividend Comparison
CME's dividend yield for the trailing twelve months is around 4.20%, more than SPY's 1.01% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CME CME Group Inc. | 4.20% | 1.83% | 4.48% | 4.58% | 5.05% | 3.00% | 3.24% | 2.74% | 2.42% | 4.20% | 4.90% | 5.41% |
SPY State Street SPDR S&P 500 ETF | 1.01% | 1.07% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% |
Frequently Asked Questions
CME and SPY have a correlation of -0.16, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CME has higher volatility (7.71%) compared to SPY (3.58%). In terms of maximum drawdown, CME dropped -77.50% vs SPY's -55.19%.
SPY currently has the higher Sharpe Ratio (1.52 vs -0.00), 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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