CME vs. VOO
CME (CME Group Inc.) is a stock, while VOO (Vanguard S&P 500 ETF) is S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, CME returned 14.04%/yr vs 15.77%/yr for VOO. At a 0.40 correlation, their price movements are largely independent.
Performance
CME vs. VOO - Performance Comparison
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Returns By Period
In the year-to-date period, CME achieves a -7.59% return, which is significantly lower than VOO's 9.75% return. Over the past 10 years, CME has underperformed VOO with an annualized return of 14.04%, while VOO has yielded a comparatively higher 15.77% annualized return.
CME
- 1D
- -0.48%
- 1M
- -15.37%
- YTD
- -7.59%
- 6M
- -7.63%
- 1Y
- -7.03%
- 3Y*
- 15.35%
- 5Y*
- 7.09%
- 10Y*
- 14.04%
VOO
- 1D
- -0.29%
- 1M
- 0.08%
- YTD
- 9.75%
- 6M
- 9.30%
- 1Y
- 26.77%
- 3Y*
- 21.36%
- 5Y*
- 13.58%
- 10Y*
- 15.77%
CME vs. VOO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CME CME Group Inc. | -7.59% | 19.83% | 15.41% | 31.32% | -22.89% | 29.47% | -6.34% | 9.67% | 32.15% | 32.35% |
VOO Vanguard S&P 500 ETF | 9.75% | 17.82% | 24.98% | 26.32% | -18.17% | 28.79% | 18.32% | 31.37% | -4.50% | 21.77% |
Correlation
The correlation between CME and VOO is -0.12, 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 | -0.12 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.03 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.19 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.30 |
Correlation (All Time) Calculated using the full available price history since Sep 9, 2010 | 0.40 |
The correlation between CME and VOO shifts across timeframes, from -0.12 (1 year) to 0.40 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
CME vs. VOO — Risk / Return Rank
CME
VOO
CME vs. VOO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for CME Group Inc. (CME) and Vanguard S&P 500 ETF (VOO). 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 | VOO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.51 | ||
| Sortino ratioReturn per unit of downside risk | -3.25 | ||
| Omega ratioGain probability vs. loss probability | 0.96 | 1.39 | -0.43 |
| Calmar ratioReturn relative to maximum drawdown | -0.31 | 3.02 | -3.33 |
| Martin ratioReturn relative to average drawdown | -0.97 | 13.58 | -14.55 |
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Drawdowns
CME vs. VOO - Drawdown Comparison
The maximum CME drawdown since its inception was -77.50%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for CME and VOO.
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Drawdown Indicators
| CME | VOO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -77.50% | -33.99% | -43.51% |
Max Drawdown (1Y)Largest decline over 1 year | -22.70% | -8.90% | -13.80% |
Max Drawdown (3Y)Largest decline over 3 years | -22.70% | -18.69% | -4.01% |
Max Drawdown (5Y)Largest decline over 5 years | -31.74% | -24.52% | -7.22% |
Max Drawdown (10Y)Largest decline over 10 years | -37.36% | -33.99% | -3.37% |
Current DrawdownCurrent decline from peak | -22.70% | -1.74% | -20.96% |
Average DrawdownAverage peak-to-trough decline | -20.68% | -3.68% | -17.00% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 7.27% | 1.98% | +5.29% |
Volatility
CME vs. VOO - Volatility Comparison
CME Group Inc. (CME) has a higher volatility of 10.05% compared to Vanguard S&P 500 ETF (VOO) at 4.60%. This indicates that CME's price experiences larger fluctuations and is considered to be riskier than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CME | VOO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 10.05% | 4.60% | +5.45% |
Volatility (6M)Calculated over the trailing 6-month period | 17.92% | 9.73% | +8.19% |
Volatility (1Y)Calculated over the trailing 1-year period | 21.25% | 12.39% | +8.86% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.19% | 16.90% | +3.29% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.97% | 18.05% | +5.92% |
Dividends
CME vs. VOO - Dividend Comparison
CME's dividend yield for the trailing twelve months is around 4.59%, more than VOO's 1.04% 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% |
VOO Vanguard S&P 500 ETF | 1.04% | 1.13% | 1.24% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% |
Frequently Asked Questions
CME and VOO have a correlation of -0.12, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CME has higher volatility (10.05%) compared to VOO (4.60%). In terms of maximum drawdown, CME dropped -77.50% vs VOO's -33.99%.
VOO currently has the higher Sharpe Ratio (2.17 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.
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