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CME vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between CME and VOO is 0.45, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.5

Performance

CME vs. VOO - Performance Comparison

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

500.00%550.00%600.00%650.00%700.00%JulyAugustSeptemberOctoberNovemberDecember
708.29%
602.93%
CME
VOO

Key characteristics

Sharpe Ratio

CME:

1.10

VOO:

2.25

Sortino Ratio

CME:

1.58

VOO:

2.98

Omega Ratio

CME:

1.20

VOO:

1.42

Calmar Ratio

CME:

1.24

VOO:

3.31

Martin Ratio

CME:

3.59

VOO:

14.77

Ulcer Index

CME:

5.10%

VOO:

1.90%

Daily Std Dev

CME:

16.59%

VOO:

12.46%

Max Drawdown

CME:

-77.50%

VOO:

-33.99%

Current Drawdown

CME:

-2.58%

VOO:

-2.47%

Returns By Period

In the year-to-date period, CME achieves a 15.67% return, which is significantly lower than VOO's 26.02% return. Over the past 10 years, CME has outperformed VOO with an annualized return of 14.42%, while VOO has yielded a comparatively lower 13.08% annualized return.


CME

YTD

15.67%

1M

5.12%

6M

23.89%

1Y

16.81%

5Y*

7.35%

10Y*

14.42%

VOO

YTD

26.02%

1M

-0.11%

6M

9.35%

1Y

26.45%

5Y*

14.79%

10Y*

13.08%

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Risk-Adjusted Performance

CME vs. VOO - Risk-Adjusted Performance 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.


Sharpe ratio
The chart of Sharpe ratio for CME, currently valued at 1.10, compared to the broader market-4.00-2.000.002.001.102.25
The chart of Sortino ratio for CME, currently valued at 1.58, compared to the broader market-4.00-2.000.002.004.001.582.98
The chart of Omega ratio for CME, currently valued at 1.20, compared to the broader market0.501.001.502.001.201.42
The chart of Calmar ratio for CME, currently valued at 1.24, compared to the broader market0.002.004.006.001.243.31
The chart of Martin ratio for CME, currently valued at 3.59, compared to the broader market-5.000.005.0010.0015.0020.0025.003.5914.77
CME
VOO

The current CME Sharpe Ratio is 1.10, which is lower than the VOO Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of CME and VOO, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
1.10
2.25
CME
VOO

Dividends

CME vs. VOO - Dividend Comparison

CME's dividend yield for the trailing twelve months is around 4.13%, more than VOO's 0.91% yield.


TTM20232022202120202019201820172016201520142013
CME
CME Group Inc.
4.13%4.58%5.05%3.00%3.24%2.74%2.42%4.20%4.90%5.41%4.38%5.61%
VOO
Vanguard S&P 500 ETF
0.91%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

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. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.58%
-2.47%
CME
VOO

Volatility

CME vs. VOO - Volatility Comparison

CME Group Inc. (CME) has a higher volatility of 5.60% compared to Vanguard S&P 500 ETF (VOO) at 3.75%. 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.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
5.60%
3.75%
CME
VOO
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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