CME Group Inc. (CME)
Quantitative Summary
DeterministicCME trades at 23.4x earnings, roughly in line with its sector average of 19.2x. Financial health is average: Piotroski 6/9, Altman Z 0.6. DCF fair value of $371 implies 23% upside from current prices based on model assumptions.
Generated deterministically from quant metrics and financial statements. Not a recommendation.
Algorithmic Teardown
AI-GeneratedThe fundamental economics of CME Group Inc. reveal a distinct dichotomy between high-margin operational efficiency and elevated financial leverage driving returns. While the DuPont decomposition shows that an exceptional net margin of 62.5% is being amplified by significant equity multipliers to achieve a 14.2% ROE, this return on invested capital is underpinned by a spread where current ROIC of 11.4% exceeds the WACC of 6.5%, creating a +4.9% value creation buffer. However, solvency metrics present a counter-narrative; an Altman Z-Score of 0.6 signals heightened bankruptcy risk relative to historical norms, despite a strong Beneish M-Score of -2.55 that suggests earnings are unlikely to be materially manipulated and a solid Piotroski F-Score of 6/9 indicating overall financial strength.
Valuation analysis indicates the market is pricing in aggressive growth assumptions that diverge sharply from recent cash flow trajectories. The current P/E ratio of 27.3x sits substantially above the sector average of 18.4x, yet a DCF model projecting only 1% annual free cash flow growth over ten years implies a fair value of $523 with potential upside of 77%. This discrepancy suggests the market is currently discounting future profitability at rates inconsistent with the company's actual low-growth FCF profile, potentially creating a valuation gap if long-term earnings expansion fails to materialize.
Risk-adjusted performance metrics highlight conflicting signals regarding alpha generation and factor exposure. The stock has delivered an annualized Fama-French Alpha of 17.64%, suggesting strong outperformance relative to its risk factors, although this is tempered by a negative Profitability Factor (RMW) score of -0.31, which flags weak profitability trends in the model's view. Furthermore, while the Value Factor tilt remains neutral at 0.305, recent insider activity shows $5.66 million in net selling over the last ninety days, introducing a layer of caution that investors must weigh against the theoretical valuation premium and historical alpha generation.
Generated by LLM from quantitative data inputs. May contain inaccuracies. Not investment advice.
DCF Sandbox
Interactive5-year two-stage DCF. Terminal growth 3%. Default sliders match the pre-computed base case. Drag to explore scenarios. Not investment advice.
The growth rate the market implicitly expects over the next 10 years to justify today's price. Compare with historical growth of 6% YoY revenue.
Sensitivity Matrix
| TG ↓ / WACC → | 6% | 7.9% | 9.9% |
|---|---|---|---|
| 2% | $470 | $317 | $234 |
| 3% | $608 | $371 | $261 |
| 4% | $884 | $452 | $296 |
Center = base case. Green = >10% upside, Red = >10% downside vs $250.53.
Pre-computed DCF: WACC=7.9%, terminal growth 3%. Fair value $371 (+23.4%). Not investment advice.
Valuation Context
Currently trading 10% above its 5-year average P/E of 24.0x.
Price Chart with Moving Averages
Technical Setup
AI GeneratedCME Group Inc. is currently trading at $305.12, presenting a snapshot of its recent market positioning within the financial services sector. While specific moving average data and Relative Strength Index values were not provided in this dataset, the current price level serves as the primary reference point for assessing short-term momentum. In the absence of comparative trend indicators such as whether the stock is trading above or below key moving averages, any definitive conclusion regarding long-term direction remains incomplete based solely on this single data point. The Relative Strength Index, a critical tool for gauging overbought or oversold conditions, cannot be evaluated without its specific numerical reading at this moment. Consequently, it is impossible to determine if the asset is exhibiting signs of strong bullish momentum or potential exhaustion from recent gains and losses. Without these supplementary technical metrics, the price figure alone does not reveal whether the market sentiment is accelerating upward, stabilizing, or potentially reversing. This isolated data point offers a static view rather than a dynamic trend analysis. To fully understand the interplay between current valuation and historical performance, additional context regarding moving average crossovers and RSI levels would be necessary to construct a comprehensive technical narrative. Readers must weigh this limited information against broader market conditions before forming any views on potential future price action or strategic positioning for CME Group Inc.
Quant Health Deep Dive
Profitability & Value Creation
⚠️ Dividend consumes >80% of FCF — sustainability risk.
DuPont Analysis — ROE Decomposition
Breaking down Return on Equity to see how the company generates its ROE — efficiency, margins, or leverage.
Balance Sheet Health
Insider Activity (Last 90 Days)
Open-market buys vs sells by company insiders. Source: yfinance.
Earnings Surprise History
EPS estimates vs actuals for the most recent reported quarters. Source: yfinance.
Dividend History
| Date | Amount | Change |
|---|---|---|
| 2026-03-10 | $7.4500 | +496.0% |
| 2025-12-12 | $1.2500 | 0.0% |
| 2025-09-09 | $1.2500 | 0.0% |
| 2025-06-09 | $1.2500 | 0.0% |
| 2025-03-07 | $1.2500 | -78.4% |
| 2024-12-27 | $5.8000 | +404.3% |
| 2024-12-09 | $1.1500 | 0.0% |
| 2024-09-09 | $1.1500 | 0.0% |
| 2024-06-07 | $1.1500 | 0.0% |
| 2024-03-07 | $1.1500 | -78.1% |
| 2023-12-27 | $5.2500 | +377.3% |
| 2023-12-07 | $1.1000 | 0.0% |
Dividend and split data from SEC filings and market data. Amounts are per share, not adjusted for splits. Source: yfinance.
Risk Profile
Sharpe = risk-adjusted return (higher is better). Max drawdown = largest peak-to-trough decline. 1,200+ trading days.
Underwater (Drawdown from Peak)
How far below the all-time high the price has been over time. Deeper = more pain for holders.
Rolling 60-Day Beta vs S&P 500 (VOO)
How the stock's sensitivity to market moves changes over time. β > 1 = more volatile than the market.
Fama-French 5-Factor Exposure
Academic factor model decomposition — what's really driving this stock's returns.
Fama-French 5-Factor Model. Data: Kenneth French Data Library. Regression over 3 years of daily returns.
Fundamentals
Passive Flow Attribution
ETF Draft EffectWhen investors buy or sell ETFs like XLF or VFH, the fund manager is mechanically forced to buy or sell CME shares regardless of CME Group Inc.'s individual fundamentals. We estimate $12.1B of passive capital is structurally linked to CME through 8 tracked ETFs. This substantial passive exposure means that ETF inflows and outflows — not company fundamentals — can dominate daily volume on this stock.
Passive exposure = Σ (ETF AUM × stock weight in ETF) across 8 tracked ETFs. Actual passive ownership is larger (includes mutual funds). Not investment advice.
ETF Contagion Visualizer
Simulate a price drop in CME Group Inc. to visualize passive redemption contagion across ETFs and collateral stocks.
If CME Group Inc. (CME) experiences a significant drawdown, ETF redemptions can create collateral selling pressure on co-held stocks. Our model identifies JPMorgan Chase & Co. (JPM) as the most exposed collateral stock, sharing 3 ETFs with CME. This is the "Passive Contagion" effect described in the Inelastic Market Hypothesis.
Contagion model based on shared ETF exposure and constituent weights across 29 tracked ETFs. Estimated selling pressure is a simplified model — actual impact depends on market liquidity, ETF redemption mechanics, and market-maker activity.
CME Ownership Dynamics
Passive funds hold 1 in every 8 CME shares, reducing daily market volatility.
CME Group Inc. (CME) exerts measurable gravity on the passive index market, currently representing 1.4% of the State Street Financial Select Sector SPDR ETF (XLF) and 1.2% of the VFH (VFH). Across 29 tracked ETFs, approximately 44M shares (12.3% of float) are held by passive funds and rarely trade on the open market. This level of passive ownership means index rebalances can create outsized volume events.
ETFs with Highest CME Exposure
Float lock-up computed from 29 ETFs tracked by SecuritiesDB. Actual passive ownership is higher (includes mutual funds, pension funds, etc.).
CME Institutional Volume Profile
252-day volume distribution by price level. The Point of Control (POC) marks — the price where the most institutional volume transacted — an implicit support/resistance floor.
The highest-volume price zone for CME Group Inc. over the past year sits near $265.71 (16% of 252-day volume). The current price of $250.53 sits 5.7% below the POC — suggesting potential mean-reversion upside if institutional demand reasserts at this level. The highly concentrated volume profile (16% at POC) indicates strong consensus on fair value — institutional participants have repeatedly transacted near this price.
Volume Profile computed from 252 trading days of OHLCV data. Volume allocated to price bins proportionally based on daily high-low range. Not investment advice.
CME Capital Efficiency
How efficiently does CME Group Inc. convert operating profits into free cash? The FCF Conversion ratio measures the gap between accounting earnings and real cash generation.
CME Group Inc. converts 72% of its EBITDA into free cash flow, an exceptional conversion rate indicating an asset-light business model with minimal capital reinvestment drag. The positive ROIC-WACC spread of 3.5% confirms that reinvested capital creates shareholder value.
Capital efficiency = Free Cash Flow ÷ EBITDA. Reinvestment = (EBITDA − FCF) ÷ EBITDA. Metrics from latest annual filings. Not investment advice.
Fails-to-Deliver (FTD) History
SEC-reported settlement failures. Elevated FTDs can indicate high short-selling pressure, operational settlement issues, or naked shorting activity.
| Date | Failed Shares | Close Price | Notional Value |
|---|---|---|---|
| 2026-05-14 | 1 | $297.13 | $297.13 |
| 2026-05-07 | 2 | $288.34 | $576.68 |
| 2026-04-29 | 17 | $284.53 | $4,837.01 |
| 2026-04-23 | 902 | $285.71 | $257,710.42 |
| 2026-04-22 | 2 | $284.40 | $568.8 |
| 2026-04-21 | 11,480 | $287.45 | $3.3M |
| 2026-04-15 | 11 | $297.03 | $3,267.33 |
| 2026-04-07 | 2,510 | $308.57 | $774,510.7 |
| 2026-04-06 | 348 | $305.11 | $106,178.28 |
| 2026-03-30 | 7,493 | $293.78 | $2.2M |
| 2026-03-25 | 36 | $302.68 | $10,896.48 |
| 2026-03-23 | 33 | $307.32 | $10,141.56 |
| 2026-03-19 | 3 | $308.90 | $926.7 |
| 2026-03-17 | 161,187 | $313.83 | $50.6M |
| 2026-03-12 | 502 | $303.33 | $152,271.66 |
| 2026-03-10 | 2,438 | $319.09 | $777,941.42 |
| 2026-03-03 | 13,757 | $326.46 | $4.5M |
| 2026-02-24 | 318 | $314.00 | $99,852 |
| 2026-02-23 | 349,360 | $308.09 | $107.6M |
| 2026-02-20 | 9 | $303.91 | $2,735.19 |
| 2026-02-18 | 285 | $303.23 | $86,420.55 |
| 2026-02-17 | 795 | $303.07 | $240,940.65 |
| 2026-02-10 | 2 | $307.24 | $614.48 |
| 2026-02-09 | 100 | $302.27 | $30,227 |
| 2026-01-26 | 3 | $282.74 | $848.22 |
| 2026-01-21 | 73,957 | $279.91 | $20.7M |
| 2026-01-09 | 364 | $266.64 | $97,056.96 |
| 2026-01-08 | 388 | $266.85 | $103,537.8 |
| 2026-01-02 | 310 | $273.08 | $84,654.8 |
| 2025-12-22 | 2,925 | $269.09 | $787,088.25 |
Source: SEC Regulation SHO FTD data. Data is reported with a ~30 day delay. High FTD quantities relative to average daily volume may indicate settlement stress.
Price Correlations
Statistical correlation of daily returns with other stocks. High correlations indicate stocks that move together; negative correlations can offer diversification.
| Peer | 252-Day (1Y) | 126-Day (6M) | Direction |
|---|---|---|---|
| WTGXX | NaN | NaN | |
| ICE | 0.410 | 0.335 | Moderate |
| WM | 0.405 | 0.345 | Moderate |
| KR | 0.381 | 0.345 | Moderate |
| RSG | 0.375 | 0.332 | Moderate |
| AMT | 0.368 | 0.356 | Moderate |
| WRB | 0.365 | 0.358 | Moderate |
| ON | -0.330 | -0.170 | Inverse / hedge |
| COR | 0.325 | 0.220 | Moderate |
| DUK | 0.320 | 0.208 | Moderate |
Pearson correlation of daily log returns. 252d ≈ 1 trading year. Computed from price history. Not investment advice.
Compare CME to Peers
Quant metrics computed deterministically from financial statements and price data. Updated: 2026-06-02.
SecuritiesDB provides programmatic data aggregation for informational purposes only. None of the metrics, summaries, or algorithmic flags constitute a recommendation to buy or sell any security.