SGOV vs. CME
SGOV (iShares 0-3 Month Treasury Bond ETF) is Ultrashort Bond fund tracking the ICE 0-3 Month US Treasury Securities Index, while CME (CME Group Inc.) is a stock. Over the past 5 years, SGOV returned 3.55%/yr vs 7.50%/yr for CME. At a 0.04 correlation, their price movements are largely independent.
Performance
SGOV vs. CME - Performance Comparison
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Returns By Period
In the year-to-date period, SGOV achieves a 1.56% return, which is significantly higher than CME's -5.50% return.
SGOV
- 1D
- 0.01%
- 1M
- 0.28%
- YTD
- 1.56%
- 6M
- 1.80%
- 1Y
- 3.95%
- 3Y*
- 4.70%
- 5Y*
- 3.55%
- 10Y*
- —
CME
- 1D
- -2.09%
- 1M
- -10.39%
- YTD
- -5.50%
- 6M
- -4.13%
- 1Y
- -4.58%
- 3Y*
- 15.54%
- 5Y*
- 7.50%
- 10Y*
- 14.50%
SGOV vs. CME - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
SGOV iShares 0-3 Month Treasury Bond ETF | 1.56% | 4.24% | 5.27% | 5.12% | 1.58% | 0.04% | 0.05% |
CME CME Group Inc. | -5.50% | 19.83% | 15.41% | 31.32% | -22.89% | 29.47% | 3.74% |
Correlation
The correlation between SGOV and CME is 0.12, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.12 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.09 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.06 |
Correlation (All Time) Calculated using the full available price history since May 29, 2020 | 0.04 |
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Return for Risk
SGOV vs. CME — Risk / Return Rank
SGOV
CME
SGOV vs. CME - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares 0-3 Month Treasury Bond ETF (SGOV) 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.
| SGOV | CME | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +20.50 | ||
| Sortino ratioReturn per unit of downside risk | +275.86 | ||
| Omega ratioGain probability vs. loss probability | 195.55 | 0.98 | +194.57 |
| Calmar ratioReturn relative to maximum drawdown | 398.20 | -0.21 | +398.41 |
| Martin ratioReturn relative to average drawdown | 4,461.99 | -0.72 | +4,462.71 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| SGOV | CME | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 20.28 | -0.23 | +20.50 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 14.78 | 0.38 | +14.40 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.61 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 12.50 | 0.59 | +11.92 |
Drawdowns
SGOV vs. CME - Drawdown Comparison
The maximum SGOV drawdown since its inception was -0.03%, smaller than the maximum CME drawdown of -77.50%. Use the drawdown chart below to compare losses from any high point for SGOV and CME.
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Drawdown Indicators
| SGOV | CME | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -0.03% | -77.50% | +77.47% |
Max Drawdown (1Y)Largest decline over 1 year | -0.01% | -21.42% | +21.41% |
Max Drawdown (3Y)Largest decline over 3 years | -0.01% | -21.42% | +21.41% |
Max Drawdown (5Y)Largest decline over 5 years | -0.03% | -31.74% | +31.71% |
Max Drawdown (10Y)Largest decline over 10 years | — | -37.36% | — |
Current DrawdownCurrent decline from peak | 0.00% | -20.95% | +20.95% |
Average DrawdownAverage peak-to-trough decline | -0.00% | -20.69% | +20.69% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.00% | 6.35% | -6.35% |
Volatility
SGOV vs. CME - Volatility Comparison
The current volatility for iShares 0-3 Month Treasury Bond ETF (SGOV) is 0.06%, while CME Group Inc. (CME) has a volatility of 10.21%. This indicates that SGOV 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
| SGOV | CME | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.06% | 10.21% | -10.15% |
Volatility (6M)Calculated over the trailing 6-month period | 0.13% | 16.89% | -16.76% |
Volatility (1Y)Calculated over the trailing 1-year period | 0.20% | 20.38% | -20.18% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 0.24% | 20.06% | -19.82% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 0.24% | 23.89% | -23.65% |
Dividends
SGOV vs. CME - Dividend Comparison
SGOV's dividend yield for the trailing twelve months is around 3.85%, less than CME's 4.44% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CME CME Group Inc. | 4.44% | 1.83% | 4.48% | 4.58% | 5.05% | 3.00% | 3.24% | 2.74% | 2.42% | 4.20% | 4.90% | 5.41% |
SGOV iShares 0-3 Month Treasury Bond ETF | 3.85% | 4.10% | 5.10% | 4.87% | 1.45% | 0.03% | 0.05% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
SGOV and CME 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 (10.21%) compared to SGOV (0.06%). In terms of maximum drawdown, SGOV dropped -0.03% vs CME's -77.50%.
SGOV currently has the higher Sharpe Ratio (20.28 vs -0.23), 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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