CME vs. VGT
CME (CME Group Inc.) is a stock, while VGT (Vanguard Information Technology ETF) is Technology Equities fund tracking the MSCI USA IMI Information Technology 25/50 Index. Over the past 10 years, CME returned 13.90%/yr vs 25.49%/yr for VGT. At a 0.37 correlation, their price movements are largely independent.
Performance
CME vs. VGT - Performance Comparison
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Returns By Period
In the year-to-date period, CME achieves a -8.69% return, which is significantly lower than VGT's 23.32% return. Over the past 10 years, CME has underperformed VGT with an annualized return of 13.90%, while VGT has yielded a comparatively higher 25.49% annualized return.
CME
- 1D
- -1.20%
- 1M
- -16.38%
- YTD
- -8.69%
- 6M
- -9.51%
- 1Y
- -7.69%
- 3Y*
- 14.89%
- 5Y*
- 6.61%
- 10Y*
- 13.90%
VGT
- 1D
- -3.68%
- 1M
- 0.28%
- YTD
- 23.32%
- 6M
- 21.50%
- 1Y
- 46.82%
- 3Y*
- 30.13%
- 5Y*
- 19.51%
- 10Y*
- 25.49%
CME vs. VGT - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CME CME Group Inc. | -8.69% | 19.83% | 15.41% | 31.32% | -22.89% | 29.47% | -6.34% | 9.67% | 32.15% | 32.35% |
VGT Vanguard Information Technology ETF | 23.32% | 21.77% | 29.30% | 52.66% | -29.70% | 30.45% | 46.04% | 48.62% | 2.46% | 37.08% |
Correlation
The correlation between CME and VGT is -0.23, 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 | -0.23 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.16 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.08 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.19 |
Correlation (All Time) Calculated using the full available price history since Jan 30, 2004 | 0.37 |
The correlation between CME and VGT shifts across timeframes, from -0.23 (1 year) to 0.37 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
CME vs. VGT — Risk / Return Rank
CME
VGT
CME vs. VGT - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for CME Group Inc. (CME) and Vanguard Information Technology ETF (VGT). 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 | VGT | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.44 | ||
| Sortino ratioReturn per unit of downside risk | -2.96 | ||
| Omega ratioGain probability vs. loss probability | 0.96 | 1.35 | -0.39 |
| Calmar ratioReturn relative to maximum drawdown | -0.33 | 2.87 | -3.20 |
| Martin ratioReturn relative to average drawdown | -1.04 | 8.76 | -9.80 |
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Drawdowns
CME vs. VGT - Drawdown Comparison
The maximum CME drawdown since its inception was -77.50%, which is greater than VGT's maximum drawdown of -54.63%. Use the drawdown chart below to compare losses from any high point for CME and VGT.
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Drawdown Indicators
| CME | VGT | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -77.50% | -54.63% | -22.87% |
Max Drawdown (1Y)Largest decline over 1 year | -23.62% | -16.40% | -7.22% |
Max Drawdown (3Y)Largest decline over 3 years | -23.62% | -27.23% | +3.61% |
Max Drawdown (5Y)Largest decline over 5 years | -31.74% | -35.07% | +3.33% |
Max Drawdown (10Y)Largest decline over 10 years | -37.36% | -35.07% | -2.29% |
Current DrawdownCurrent decline from peak | -23.62% | -7.71% | -15.91% |
Average DrawdownAverage peak-to-trough decline | -20.68% | -7.95% | -12.73% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 7.42% | 5.36% | +2.06% |
Volatility
CME vs. VGT - Volatility Comparison
The current volatility for CME Group Inc. (CME) is 10.05%, while Vanguard Information Technology ETF (VGT) has a volatility of 11.39%. This indicates that CME experiences smaller price fluctuations and is considered to be less risky than VGT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CME | VGT | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 10.05% | 11.39% | -1.34% |
Volatility (6M)Calculated over the trailing 6-month period | 17.73% | 18.58% | -0.85% |
Volatility (1Y)Calculated over the trailing 1-year period | 21.24% | 22.72% | -1.48% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.20% | 25.55% | -5.35% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.97% | 24.77% | -0.80% |
Dividends
CME vs. VGT - Dividend Comparison
CME's dividend yield for the trailing twelve months is around 4.64%, more than VGT's 0.33% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CME CME Group Inc. | 4.64% | 1.83% | 4.48% | 4.58% | 5.05% | 3.00% | 3.24% | 2.74% | 2.42% | 4.20% | 4.90% | 5.41% |
VGT Vanguard Information Technology ETF | 0.33% | 0.40% | 0.60% | 0.65% | 0.91% | 0.64% | 0.82% | 1.11% | 1.29% | 0.99% | 1.31% | 1.28% |
Frequently Asked Questions
CME and VGT have a correlation of -0.23, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
VGT has higher volatility (11.39%) compared to CME (10.05%). In terms of maximum drawdown, CME dropped -77.50% vs VGT's -54.63%.
VGT currently has the higher Sharpe Ratio (2.07 vs -0.36), 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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