187.11 -1.89 (-1.01%) Buy

CME investors herd to book profits while the going is good

13 min read

CME GROUP INC. was among the worst performers on Friday. It returned -1.01% to close at 187.11. On a day when the overall market breadth was 35%, it closed higher than 81% of the market. In comparison, the benchmark SP500 index closed today at -0.0233%.

[Themes containing CME]

CME showed a up trend over the last 3 months. During this period CME returned +7.47% . There were 2 long signals during this period that returned a cumulative of +4.41% to investors.


CME has been outperforming the SP500 index in recent time. Over the last 2 years 11 months and 3 days, CME outperformed the SP500 index on 54% days.

During the last three months CME was mostly profitable and delivered on average +0.12% per day. It's best return during this period (of +2.88%) was on Thursday, 4 Oct, 2018. While it's worst loss in the same period (of -3.63%) was on Wednesday, 28 Nov, 2018. There was initially a bearish trend during this period which started on 24 Sep, 2018 and went on till 28 Sep, 2018. The trend delivered -2.84% losses to investors. This was followed by a bullish trend that started on 26 Oct, 2018 and ended on 9 Nov, 2018. This bullish trend delivered +6.72% to investors.

On monthly basis, CME delivered profits in more months over the last year, than losses. CME delivered profits less regularly than SP500 index. CME significantly outperformed SP500 index in Aug 2018, when it returned +9.81% compared to +4.75% returned by SP500 index during it's best month in the last one year - Jan 2018. CME had a shorter streak of profitable months than SP500 index. It only went up in 2 straight months during the last year. It is interesting to note that both CME and SP500 index significantly outperform during months when quarterly/annual results are announced.

"You and I come by road or rail, but economists travel on infrastructure.

CME is becoming more volatile overall. In comparison, the SP500 index is seeing a rise in volatility. During the last three months, there was a significant surge in CME's volatility from 10 Sep, 2018 to 29 Oct, 2018. While there was a significant surge in the SP500 index's volatility from 10 Sep, 2018 to 29 Oct, 2018.

Advanced/professional short-term investors should note that CME has negative skewness in it's return distribution. This indicates that investors may need to stay invested through long periods of drawdown before expecting a recovery.

Investors trading in CME derivatives at this moment can consider 'Calendar Spread' options strategy to receive better risk-adjusted returns.

CME has more chance of extreme outcomes than the SP500 index. Therefore, CME must receive a lower allocation than SP500 in your portfolio. SP500 index usually has shorter drawdown period than CME.

On a general note (since you are interested in CME), HQY is a small cap that deserves to be closely tracked for investment opportunities.

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