CME vs SPY: Correlation
How closely do CME Group (CME) and SPDR S&P 500 ETF Trust (SPY) trade together? Their weekly returns over three years give a correlation of 0.09, which is near-zero.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are CME and SPY?
Over the past 3 years, CME and SPY moved with a correlation of 0.09, which is near zero, meaning they move largely independently. Little has changed lately, as the 1-year reading of 0.08 lands near the 3-year figure. Over 5 years the correlation is 0.30, and the annualized covariance of weekly returns is 25.9 %².
By 3-year correlation, SPY places #19 of the 47 assets tracked against CME. On 12-month performance SPY holds a 12.5-point edge, +8.1% against +20.6%. This link changes with the market regime, having swung between -0.08 and 0.45 on a rolling one-year basis.
How is this computed?
Pearson correlation on weekly returns: ρ(A,B) = cov(rA, rB) / (σA · σB), over windows of 52, 156 and 260 weeks. Covariance is annualized (×52) and expressed in %². Full definitions on the methodology page.
CME vs SPY: side by side
| CME (CME Group) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | +8.1% | +20.6% |
| 5-year return | +73.9% | +82.4% |
| Volatility (ann.) | 20.0% | 14.5% |
| Beta vs S&P 500 | 0.12 | 1.00 |
| Max drawdown (3Y) | -31.1% | -18.8% |
| Market cap | $101.0B | – |
| P/E (trailing) | 23.8 | – |
| Dividend yield | 1.82% | 1.01% |
| Expense ratio | – | 0.09% |
| Assets under management | – | $795.3B |
| Sector / category | Financials | ETF · US Large Cap |
SPY is a Large Blend fund from State Street Investment Management: $795.3B under management, 504 holdings, a 0.09% expense ratio, a 1.01% trailing dividend yield.
Year-by-year returns
| Year | CME | SPY |
|---|---|---|
| 2022 | -22.9% | -18.2% |
| 2023 | +31.3% | +26.2% |
| 2024 | +15.4% | +24.9% |
| 2025 | +19.8% | +17.7% |
| 2026 | +5.9% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Fund exposure
A structural note: 0.15% of SPY is CME itself, so the fund partly moves with the stock by construction.
Are CME and SPY good diversifiers for each other?
Yes. With a correlation of 0.09, CME and SPY have moved largely independently, which makes them a genuinely diversifying pair by historical standards.
FAQ
What is the correlation between CME and SPY?
Using weekly returns as of 2026-08-27: 0.09 over 3 years, with 0.08 over the last year and 0.30 over 5 years.
Is SPY a good diversifier for CME?
Yes. With a correlation of 0.09, CME and SPY have moved largely independently, which makes them a genuinely diversifying pair by historical standards.
What does a correlation of 0.09 mean?
On the −1 to +1 scale, 0.09 describes how much the two returns move together: +1 is lockstep, 0 is independence, negative values mean opposite directions. It says nothing about which performed better.
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Related comparisons
Hubs: CME correlations · SPY correlations
