GUG vs. CME
GUG (Guggenheim Active Allocation Fund) is Tactical Allocation fund actively managed by Guggenheim, while CME (CME Group Inc.) is a stock. Over the past 3 years, GUG returned 13.77%/yr vs 13.19%/yr for CME. At a 0.08 correlation, their price movements are largely independent.
Performance
GUG vs. CME - Performance Comparison
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Returns By Period
In the year-to-date period, GUG achieves a 7.47% return, which is significantly higher than CME's -12.68% return.
GUG
- 1D
- 0.51%
- 1M
- -0.83%
- YTD
- 7.47%
- 6M
- 6.98%
- 1Y
- 10.33%
- 3Y*
- 13.77%
- 5Y*
- —
- 10Y*
- —
CME
- 1D
- -4.37%
- 1M
- -20.04%
- YTD
- -12.68%
- 6M
- -13.72%
- 1Y
- -11.31%
- 3Y*
- 13.19%
- 5Y*
- 5.56%
- 10Y*
- 13.40%
GUG vs. CME - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
GUG Guggenheim Active Allocation Fund | 7.47% | 13.12% | 11.46% | 20.68% | -26.55% | -0.20% |
CME CME Group Inc. | -12.68% | 19.83% | 15.41% | 31.32% | -22.89% | 2.07% |
Correlation
The correlation between GUG and CME is -0.06, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.06 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.01 |
Correlation (All Time) Calculated using the full available price history since Nov 24, 2021 | 0.08 |
The correlation between GUG and CME shifts across timeframes, from -0.06 (1 year) to 0.08 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
GUG vs. CME — Risk / Return Rank
GUG
CME
GUG vs. CME - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Guggenheim Active Allocation Fund (GUG) and CME Group Inc. (CME). 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.
| GUG | CME | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.42 | ||
| Sortino ratioReturn per unit of downside risk | +1.97 | ||
| Omega ratioGain probability vs. loss probability | 1.16 | 0.93 | +0.23 |
| Calmar ratioReturn relative to maximum drawdown | 1.33 | -0.42 | +1.75 |
| Martin ratioReturn relative to average drawdown | 3.83 | -1.49 | +5.32 |
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Drawdowns
GUG vs. CME - Drawdown Comparison
The maximum GUG drawdown since its inception was -32.78%, smaller than the maximum CME drawdown of -77.50%. Use the drawdown chart below to compare losses from any high point for GUG and CME.
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Drawdown Indicators
| GUG | CME | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -32.78% | -77.50% | +44.72% |
Max Drawdown (1Y)Largest decline over 1 year | -7.80% | -26.96% | +19.16% |
Max Drawdown (3Y)Largest decline over 3 years | -12.10% | -26.96% | +14.86% |
Max Drawdown (5Y)Largest decline over 5 years | — | -31.74% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -37.36% | — |
Current DrawdownCurrent decline from peak | -2.72% | -26.96% | +24.24% |
Average DrawdownAverage peak-to-trough decline | -11.50% | -20.68% | +9.18% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.70% | 7.61% | -4.91% |
Volatility
GUG vs. CME - Volatility Comparison
The current volatility for Guggenheim Active Allocation Fund (GUG) is 3.95%, while CME Group Inc. (CME) has a volatility of 10.55%. This indicates that GUG experiences smaller price fluctuations and is considered to be less risky than CME based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GUG | CME | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.95% | 10.55% | -6.60% |
Volatility (6M)Calculated over the trailing 6-month period | 8.11% | 18.23% | -10.12% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.59% | 21.68% | -10.09% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.47% | 20.29% | -2.82% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.47% | 24.01% | -6.54% |
Dividends
GUG vs. CME - Dividend Comparison
GUG's dividend yield for the trailing twelve months is around 9.05%, more than CME's 4.86% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CME CME Group Inc. | 4.86% | 1.83% | 4.48% | 4.58% | 5.05% | 3.00% | 3.24% | 2.74% | 2.42% | 4.20% | 4.90% | 5.41% |
GUG Guggenheim Active Allocation Fund | 9.05% | 9.30% | 9.58% | 9.72% | 9.71% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
GUG and CME have a correlation of -0.06, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CME has higher volatility (10.55%) compared to GUG (3.95%). In terms of maximum drawdown, GUG dropped -32.78% vs CME's -77.50%.
GUG currently has the higher Sharpe Ratio (0.90 vs -0.52), 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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