C vs SPY: Correlation
Citigroup (C) and SPDR S&P 500 ETF Trust (SPY) show a strong relationship: their 3-year correlation of weekly returns is 0.67.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are C and SPY?
Over the past 3 years, C and SPY moved with a correlation of 0.67, which is strong. Lately the two have drifted apart, with the 1-year correlation at 0.51 versus 0.67 over 3 years. Over 5 years the correlation is 0.61, and the annualized covariance of weekly returns is 291.3 %².
Within C's tracked universe of 33 assets, SPY comes in at #18 by 3-year correlation. The last year tells two different stories: C led by 19.3 percentage points, +39.9% for C against +20.6% for SPY. The rolling one-year correlation moved between 0.38 and 0.83 over the past three years, a moderate range. One caveat on sizing: C is 2.1 times as volatile as the other leg, so an equal-dollar split is far from equal-risk.
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.
C vs SPY: side by side
| C (Citigroup) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | +39.9% | +20.6% |
| 5-year return | +119.6% | +82.4% |
| Volatility (ann.) | 30.3% | 14.5% |
| Beta vs S&P 500 | 1.39 | 1.00 |
| Max drawdown (3Y) | -31.3% | -18.8% |
| Market cap | $222.6B | – |
| P/E (trailing) | 14.4 | – |
| Dividend yield | 1.80% | 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 | C | SPY |
|---|---|---|
| 2022 | -22.1% | -18.2% |
| 2023 | +19.0% | +26.2% |
| 2024 | +41.9% | +24.9% |
| 2025 | +70.4% | +17.7% |
| 2026 | +15.4% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Fund exposure
C represents 0.34% of SPY's portfolio, so part of any move in SPY is C itself, and the correlation between them is partly mechanical.
Are C and SPY good diversifiers for each other?
Only partially. A correlation of 0.67 means C and SPY share most of their swings. Pairing them dampens volatility somewhat, but it will not protect against a common drawdown.
FAQ
What is the correlation between C and SPY?
The C/SPY correlation stands at 0.67 on a 3-year window (1 year: 0.51, 5 years: 0.61), computed from weekly returns as of 2026-08-27.
Is SPY a good diversifier for C?
Only partially. A correlation of 0.67 means C and SPY share most of their swings. Pairing them dampens volatility somewhat, but it will not protect against a common drawdown.
What does a correlation of 0.67 mean?
Correlation ranges from −1 to +1. Values near +1 mean two assets move together, near 0 that they move independently, and negative values that they tend to move in opposite directions. It measures co-movement, not performance.
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Related comparisons
Hubs: C correlations · SPY correlations
