CME Group Inc

10-Year Study

CME.US · Financial Services · US · Common Stock

Executive Summary: CME Group Inc has compounded at 16.0% annually over the last 10 years, with a maximum drawdown of 29.6% and an annualized volatility of 22.0%.

1Y CAGR
+4.3%
3Y CAGR
+23.3%
5Y CAGR
+10.4%
10Y CAGR
+16.0%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
29.6%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.71
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
1.29
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
18.8%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2017 · +32.3%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -22.9%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
80%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20265.910.5-7.60.3————————8.5%
20251.87.35.14.44.3-4.21.0-4.21.9-1.76.0-2.519.8%
2024-2.37.0-1.8-2.6-3.2-2.6-1.511.42.82.15.60.515.4%
20235.14.94.0-3.0-3.84.37.41.9-0.76.62.3-0.631.3%
20220.53.11.0-7.8-9.43.5-2.6-1.9-9.0-2.21.8-1.6-22.9%
2021-0.29.92.7-1.18.3-2.4-0.3-4.9-3.714.1-0.05.529.5%
20208.2-8.4-12.73.12.5-10.62.25.8-4.4-9.916.16.0-6.3%
2019-3.1-0.2-9.18.77.41.40.211.8-2.4-2.6-1.50.69.7%
20185.18.3-2.3-2.53.31.0-2.99.8-2.27.73.70.332.1%
20175.00.3-1.7-2.20.97.4-2.12.68.41.19.00.532.3%
2016———-4.36.50.15.06.0-3.0-4.212.85.525.5%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 22.0%. The dominant macroeconomic risk driver is SHV.US, accounting for 29.7% of variance. Idiosyncratic stock-specific factors contribute 28.6%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-019568.97816447453
2016-05-0110191.558606813831
2016-06-0110204.29824219978
2016-07-0110711.368664988007
2016-08-0111351.49417509738
2016-09-0111011.580942343793
2016-10-0110545.918077108476
2016-11-0111895.496067329945
2016-12-0112552.10376141103
2017-01-0113175.627325993944
2017-02-0113216.98997296383
2017-03-0112996.95805650949
2017-04-0112711.416569609906
2017-05-0112831.76196193379
2017-06-0113779.075859962813
2017-07-0113490.824767887138
2017-08-0113840.693179878861
2017-09-0115004.820402578465
2017-10-0115169.597331712559
2017-11-0116537.60363117034
2017-12-0116612.110288415763
2018-01-0117457.207699470353
2018-02-0118899.466162869725
2018-03-0118473.429402060494
2018-04-0118009.712662089776
2018-05-0118605.930592190947
2018-06-0118798.252678916277
2018-07-0118247.783662727506
2018-08-0120037.93447246532
2018-09-0119598.664059856823
2018-10-0121098.976936918592
2018-11-0121886.573831501475
2018-12-0121952.113342335408
2019-01-0121270.625185256155
2019-02-0121227.45114477076
2019-03-0119288.19719937604
2019-04-0120966.445806399453
2019-05-0122515.78606993476
2019-06-0122834.26198438908
2019-07-0122870.72937780878
2019-08-0125561.05294358931
2019-09-0124944.984535789245
2019-10-0124285.188190313085
2019-11-0123928.73289281041
2019-12-0124074.01862890984
2020-01-0126039.814728874808
2020-02-0123846.142330619732
2020-03-0120820.366649999847
2020-04-0121458.561005038966
2020-05-0121987.158567292514
2020-06-0119658.844241115938
2020-07-0120099.102686551072
2020-08-0121271.089261280784
2020-09-0120339.29945478552
2020-10-0118322.499902693733
2020-11-0121277.780938152137
2020-12-0122546.804312613585
2021-01-0122508.40576412363
2021-02-0124732.752090587637
2021-03-0125400.587430426018
2021-04-0125121.992113701617
2021-05-0127207.72941074321
2021-06-0126561.376299787124
2021-07-0126492.69304814115
2021-08-0125192.591550223504
2021-09-0124263.735901819477
2021-10-0127672.7934682048
2021-11-0127669.03594942469
2021-12-0129191.28016119905
2022-01-0129324.17057638242
2022-02-0130222.427147549228
2022-03-0130529.43589313676
2022-04-0128152.378614179164
2022-05-0125519.914849534576
2022-06-0126405.64136803624
2022-07-0125732.282026485263
2022-08-0125233.070955727148
2022-09-0122963.829016428288
2022-10-0122467.297610457576
2022-11-0122882.151636092538
2022-12-0122509.902783557933
2023-01-0123647.712404602433
2023-02-0124812.28873313233
2023-03-0125792.836462602958
2023-04-0125018.458249624997
2023-05-0124073.04556627754
2023-06-0125105.090764288303
2023-07-0126957.248118995078
2023-08-0127461.264622137325
2023-09-0127275.289897813454
2023-10-0129078.92885265436
2023-11-0129746.434848217195
2023-12-0129559.84634592526
2024-01-0128891.7415425887
2024-02-0130928.361631990705
2024-03-0130377.159076279124
2024-04-0129579.951316927993
2024-05-0128640.227307430905
2024-06-0127899.247598032314
2024-07-0127489.13912400411
2024-08-0130615.394749054627
2024-09-0131476.315655529837
2024-10-0132148.222888229535
2024-11-0133951.35285646278
2024-12-0134115.33636529669
2025-01-0134745.55160675095
2025-02-0137279.631254172935
2025-03-0139164.66315565708
2025-04-0140905.21771153632
2025-05-0142664.96405656338
2025-06-0140875.99589217867
2025-07-0141270.49045350706
2025-08-0139524.93585271724
2025-09-0140262.36762605651
2025-10-0139561.98708371632
2025-11-0141941.75396785001
2025-12-0140880.60671203633
2026-01-0143272.84376805779
2026-02-0147829.77092608616
2026-03-0144214.468992236456
2026-04-0144344.70968302111
Annual Return Matrix
YearAnnual Return
20170.3234522757441205
20180.32145242002416907
20190.09666063824853977
2020-0.06343827924359347
20210.29469701144602034
2022-0.22888264374653844
20230.31319298133605744
20240.1541107476020216
20250.19830583741866636
20260.08473707338508873
Total Factor Risk
0.21972486351963702
VTI.US Exposure
0.06499160997361784
VEA.US Exposure
0.00015439680195602034
VWO.US Exposure
0.04059586510607048
QQQ.US Exposure
0.02180159224103738
VTV.US Exposure
0.13488807627745245
IJR.US Exposure
-0.029665745083786166
QUAL.US Exposure
-0.0290347672820048
SHV.US Exposure
0.2972550833135985
TLT.US Exposure
0.08475440784475376
LQD.US Exposure
0.09027166392220183
HYG.US Exposure
0.008354154787854846
GLD.US Exposure
0.0060566901710531985
USO.US Exposure
0.0023140691700572584
VNQ.US Exposure
-0.00789026810732955
BTC-USD.CC Exposure
-0.0007870403257743992
CPER.US Exposure
-0.01018321200318649
VIX.INDX Exposure
-0.003015434534444739
UUP.US Exposure
0.039337523519039984
TIP.US Exposure
0.003975416339221346
Idiosyncratic Exposure
0.285825917868611
Value Score
39
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
19.7
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
22.0%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →27.6x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →1.64%
Market Cap$112.0B
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$1,115
Avg Yield on Cost
11.15%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$1,115.2811.15%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
-3.2%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+5.8%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
9.3% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
0.30
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is CME Group Inc a high-risk investment?

CME Group Inc (CME.US) has an annualized volatility of 22.0% and experienced a maximum drawdown of 29.6% over the last 10 years. Its primary macro risk driver is SHV.US.

What is the 10-year return of CME.US?

Over the past 10 years, CME.US has generated a Compound Annual Growth Rate (CAGR) of 16.0%. It has had a positive return in 80% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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