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CME vs SPY 1 Year Daily ReturnsCME has a beta of -0.06. In the past year, CME has been inversely correlated with the S&P500.
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CME Historical BetaSince 2024-08-14, the beta for CME changed by -0.11 and had an average of -0.04.
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CME Sharpe RatioCME has a 1 year sharpe of 2.33 which is +1.99 compared to the S&P500.
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CME Daily P/L Normal Distribution
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CME 1 Year DrawdownCME had a max drawdown of 8.47% in the previous year.
Created with Highcharts 10.1.0.CMESPYSep '24Oct '24Nov '24Dec '24Jan '25Feb '25Mar '25Apr '25May '25Jun '25Jul '25Aug '25-15%-10%-5%0%Powered by unusualwhales.com
CME Yearly Drawdown Duration