CME vs XLF: Correlation
How closely do CME Group (CME) and Financial Select Sector SPDR Fund (XLF) trade together? Their weekly returns over three years give a correlation of 0.16, which is weak.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are CME and XLF?
Over the past 3 years, CME and XLF moved with a correlation of 0.16, which is weak. Little has changed lately, as the 1-year reading of 0.13 lands near the 3-year figure. Over 5 years the correlation is 0.31, and the annualized covariance of weekly returns is 52.9 %².
Within CME's tracked universe of 47 assets, XLF comes in at #18 by 3-year correlation. Their 12-month results are close: +8.1% for CME against +9.3% for XLF. The rolling one-year correlation moved between 0.04 and 0.37 over the past three years, a moderate range.
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 XLF: side by side
| CME (CME Group) | XLF (Financial Select Sector SPDR Fund) | |
|---|---|---|
| 1-year return | +8.1% | +9.3% |
| 5-year return | +73.9% | +64.2% |
| Volatility (ann.) | 20.0% | 16.2% |
| Beta vs S&P 500 | 0.12 | 0.84 |
| Max drawdown (3Y) | -31.1% | -15.5% |
| Market cap | $101.0B | – |
| P/E (trailing) | 23.8 | – |
| Dividend yield | 1.82% | 1.42% |
| Expense ratio | – | 0.08% |
| Assets under management | – | $57.9B |
| Sector / category | Financials | Sector ETF |
XLF is a Financial fund from State Street Investment Management: $57.9B under management, 77 holdings, a 0.08% expense ratio, a 1.42% trailing dividend yield.
Year-by-year returns
| Year | CME | XLF |
|---|---|---|
| 2022 | -22.9% | -10.6% |
| 2023 | +31.3% | +12.0% |
| 2024 | +15.4% | +30.6% |
| 2025 | +19.8% | +14.9% |
| 2026 | +5.9% | +6.6% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Fund exposure
A structural note: 1.24% of XLF is CME itself, so the fund partly moves with the stock by construction.
Are CME and XLF good diversifiers for each other?
By historical standards, yes. A correlation of 0.16 means the two rarely move for the same reasons.
FAQ
What is the correlation between CME and XLF?
The CME/XLF correlation stands at 0.16 on a 3-year window (1 year: 0.13, 5 years: 0.31), computed from weekly returns as of 2026-08-27.
Is XLF a good diversifier for CME?
By historical standards, yes. A correlation of 0.16 means the two rarely move for the same reasons.
What does a correlation of 0.16 mean?
On the −1 to +1 scale, 0.16 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 · XLF correlations
