CME vs. SPY

Last updated Jul 14, 2026

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 13.47%/yr vs 15.08%/yr for SPY. At a 0.44 correlation, their price movements are largely independent.

Performance

CME vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in CME Group Inc. (CME) and State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CME achieves a -7.62% return, which is significantly lower than SPY's 10.45% return. Over the past 10 years, CME has underperformed SPY with an annualized return of 13.47%, while SPY has yielded a comparatively higher 15.08% annualized return.

CME

• 1D: 2.01%
• 1M: -9.06%
• 6M: -4.80%
• YTD: -7.62%
• 1Y: -7.43%
• 3Y*: 14.41%
• 5Y*: 7.55%
• 10Y*: 13.47%

SPY

• 1D: -0.77%
• 1M: 1.26%
• 6M: 8.34%
• YTD: 10.45%
• 1Y: 21.46%
• 3Y*: 20.07%
• 5Y*: 12.94%
• 10Y*: 15.08%

*Multi-year figures are annualized to reflect compound growth (CAGR)

CME vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
CME CME Group Inc.	-7.62%	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	10.45%	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 -0.13, 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	-0.13
Correlation (3Y) Calculated over the trailing 3-year period	-0.05
Correlation (5Y) Calculated over the trailing 5-year period	0.18
Correlation (10Y) Calculated over the trailing 10-year period	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 -0.13 (1 year) to 0.44 (all time), reflecting how their relationship changes across market environments.

Return for Risk

CME vs. SPY — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

CME

CME Risk / Return Rank: 30
CME Sharpe Ratio Rank: 30
CME Sortino Ratio Rank: 27
CME Omega Ratio Rank: 27
CME Calmar Ratio Rank: 38
CME Martin Ratio Rank: 30

SPY

SPY Risk / Return Rank: 66
SPY Sharpe Ratio Rank: 66
SPY Sortino Ratio Rank: 64
SPY Omega Ratio Rank: 65
SPY Calmar Ratio Rank: 61
SPY Martin Ratio Rank: 72

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

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 ratio: Return per unit of total volatility	-0.33	1.71	-2.04
Sortino ratio: Return per unit of downside risk	-0.30	2.37	-2.67
Omega ratio: Gain probability vs. loss probability	0.96	1.31	-0.35
Calmar ratio: Return relative to maximum drawdown	-0.24	2.43	-2.67
Martin ratio: Return relative to average drawdown	-0.78	10.57	-11.35

CME vs. SPY - Sharpe Ratio Comparison

The current CME Sharpe Ratio is -0.33, which is lower than the SPY Sharpe Ratio of 1.71. The chart below compares the historical Sharpe Ratios of CME and SPY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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.

Drawdown Indicators

	CME	SPY	Difference
Max Drawdown Largest 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 Drawdown Current decline from peak	-22.73%	-1.12%	-21.61%
Average Drawdown Average peak-to-trough decline	-20.70%	-9.02%	-11.68%
Ulcer Index Depth and duration of drawdowns from previous peaks	9.56%	2.03%	+7.53%

Volatility

CME vs. SPY - Volatility Comparison

CME Group Inc. (CME) has a higher volatility of 10.45% compared to State Street SPDR S&P 500 ETF (SPY) at 4.26%. 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.

Volatility by Period

	CME	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	10.45%	4.26%	+6.19%
Volatility (6M) Calculated over the trailing 6-month period	19.26%	10.01%	+9.25%
Volatility (1Y) Calculated over the trailing 1-year period	22.70%	12.60%	+10.10%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	20.50%	17.17%	+3.33%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	24.06%	17.93%	+6.13%

Dividends

CME vs. SPY - Dividend Comparison

CME's dividend yield for the trailing twelve months is around 4.59%, more than SPY's 1.00% 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%
SPY State Street SPDR S&P 500 ETF	1.00%	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

Can I hold both CME and SPY in my portfolio?

CME and SPY have a correlation of -0.13, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CME or SPY?

CME has higher volatility (10.45%) compared to SPY (4.26%). In terms of maximum drawdown, CME dropped -77.50% vs SPY's -55.19%.

Which has better risk-adjusted returns?

SPY currently has the higher Sharpe Ratio (1.71 vs -0.33), 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.