CME vs. XLF
CME (CME Group Inc.) is a stock, while XLF (State Street Financial Select Sector SPDR ETF) is Financials Equities fund tracking the Financial Select Sector Index. Over the past 10 years, CME returned 14.11%/yr vs 13.48%/yr for XLF. Their 0.48 correlation means their historical movements had little consistent relationship.
Performance
CME vs. XLF - Performance Comparison
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Returns By Period
In the year-to-date period, CME achieves a 0.32% return, which is significantly lower than XLF's 5.67% return. Both investments have delivered pretty close results over the past 10 years, with CME having a 14.11% annualized return and XLF not far behind at 13.48%.
CME
- 1D
- -0.60%
- 1M
- 12.50%
- 6M
- -5.79%
- YTD
- 0.32%
- 1Y
- -1.51%
- 3Y*
- 13.86%
- 5Y*
- 9.51%
- 10Y*
- 14.11%
- ALL TIME*
- 19.79%
XLF
- 1D
- 0.77%
- 1M
- 3.16%
- 6M
- 7.12%
- YTD
- 5.67%
- 1Y
- 13.37%
- 3Y*
- 19.90%
- 5Y*
- 11.30%
- 10Y*
- 13.48%
- ALL TIME*
- 6.11%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $680.16M | $677.55M | $867.88M | |
| $1.80B | $1.89B | $1.92B |
CME vs. XLF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CME CME Group Inc. | 0.32% | 19.83% | 15.41% | 31.32% | -22.89% | 29.47% | -6.34% | 9.67% | 32.15% | 32.35% |
XLF State Street Financial Select Sector SPDR ETF | 5.67% | 14.90% | 30.56% | 12.03% | -10.59% | 34.80% | -1.74% | 31.88% | -13.06% | 22.00% |
Correlation
The correlation between CME and XLF is 0.12, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.12 |
Correlation (3Y) Balances recent behavior with more history. | 0.17 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.30 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.39 |
Correlation (All Time) Calculated using the full available price history since Dec 6, 2002 | 0.48 |
Over the past year, the correlation between CME and XLF has dropped to 0.12 - well below their long-term average of 0.48, suggesting their price drivers have been diverging.
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Return for Risk
CME vs. XLF — Risk / Return Rank
CME
XLF
CME vs. XLF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for CME Group Inc. (CME) and State Street Financial Select Sector SPDR ETF (XLF). 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 | XLF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.98 | ||
| Sortino ratioReturn per unit of downside risk | -1.24 | ||
| Omega ratioGain probability vs. loss probability | 1.01 | 1.17 | -0.16 |
| Calmar ratioReturn relative to maximum drawdown | -0.05 | 0.91 | -0.96 |
| Martin ratioReturn relative to average drawdown | -0.14 | 2.32 | -2.46 |
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Drawdowns
CME vs. XLF - Drawdown Comparison
The maximum CME drawdown since its inception was -77.50%, smaller than the maximum XLF drawdown of -82.69%. Use the drawdown chart below to compare losses from any high point for CME and XLF.
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Drawdown Indicators
| CME | XLF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -77.50% | -82.69% | +5.19% |
Max Drawdown (1Y)Largest decline over 1 year | -31.09% | -14.79% | -16.30% |
Max Drawdown (3Y)Largest decline over 3 years | -31.09% | -15.54% | -15.55% |
Max Drawdown (5Y)Largest decline over 5 years | -31.74% | -25.81% | -5.93% |
Max Drawdown (10Y)Largest decline over 10 years | -37.36% | -42.86% | +5.50% |
Current DrawdownCurrent decline from peak | -16.09% | -0.38% | -15.71% |
Average DrawdownAverage peak-to-trough decline | -20.69% | -19.92% | -0.77% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 10.77% | 5.78% | +4.99% |
Volatility
CME vs. XLF - Volatility Comparison
CME Group Inc. (CME) has a higher volatility of 7.61% compared to State Street Financial Select Sector SPDR ETF (XLF) at 3.88%. This indicates that CME's price experiences larger fluctuations and is considered to be riskier than XLF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CME | XLF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.61% | 3.88% | +3.73% |
Volatility (6M)Calculated over the trailing 6-month period | 19.93% | 11.12% | +8.81% |
Volatility (1Y)Calculated over the trailing 1-year period | 23.55% | 14.68% | +8.87% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.66% | 18.45% | +2.21% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 24.15% | 22.08% | +2.07% |
Dividends
CME vs. XLF - Dividend Comparison
CME's dividend yield for the trailing twelve months is around 4.23%, more than XLF's 1.41% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CME CME Group Inc. | 4.23% | 1.83% | 4.48% | 4.58% | 5.05% | 3.00% | 3.24% | 2.74% | 2.42% | 4.20% | 4.90% | 5.41% |
XLF State Street Financial Select Sector SPDR ETF | 1.41% | 1.31% | 1.42% | 1.71% | 2.04% | 1.63% | 2.03% | 1.87% | 2.08% | 1.48% | 21.10% | 1.95% |
Frequently Asked Questions
CME and XLF 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 (7.61%) compared to XLF (3.88%). In terms of maximum drawdown, CME dropped -77.50% vs XLF's -82.69%.
XLF currently has the higher Sharpe Ratio (0.92 vs -0.06), 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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