CAF vs SPY: Correlation
Morgan Stanley China A Share Fund Inc. (CAF) and SPDR S&P 500 ETF Trust (SPY) show a moderate relationship: their 3-year correlation of weekly returns is 0.34.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are CAF and SPY?
On 3 years of weekly data the CAF/SPY correlation comes out at 0.34, moderate. Lately the two have moved closer together, with the 1-year correlation at 0.56 versus 0.34 over 3 years. The 5-year figure is 0.31, and annualized covariance runs at 99.9 %².
By 3-year correlation, SPY places #9 of the 14 assets tracked against CAF. On 12-month performance CAF holds a 9.1-point edge, +29.7% against +20.6%.
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.
CAF vs SPY: side by side
| CAF (Morgan Stanley China A Share Fund Inc.) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | +29.7% | +20.6% |
| 5-year return | +4.1% | +82.4% |
| Volatility (ann.) | 20.4% | 14.5% |
| Beta vs S&P 500 | 0.48 | 1.00 |
| Max drawdown (3Y) | -26.3% | -18.8% |
| Market cap | $0.3B | – |
| P/E (trailing) | 4.6 | – |
| Dividend yield | 0.00% | 1.01% |
| Expense ratio | – | 0.09% |
| Assets under management | – | $795.3B |
| Sector / category | US Listed | 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 | CAF | SPY |
|---|---|---|
| 2022 | -30.4% | -18.2% |
| 2023 | -9.4% | +26.2% |
| 2024 | +0.3% | +24.9% |
| 2025 | +41.5% | +17.7% |
| 2026 | +9.7% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are CAF and SPY good diversifiers for each other?
Yes, to a useful degree: a correlation of 0.34 leaves real independence between the two, which historically damped combined volatility.
FAQ
What is the correlation between CAF and SPY?
Using weekly returns as of 2026-08-27: 0.34 over 3 years, with 0.56 over the last year and 0.31 over 5 years.
Is SPY a good diversifier for CAF?
Yes, to a useful degree: a correlation of 0.34 leaves real independence between the two, which historically damped combined volatility.
What does a correlation of 0.34 mean?
A reading of 0.34 sits on a scale from −1 (opposite moves) through 0 (unrelated) to +1 (identical moves). Correlation captures direction, not magnitude or performance.
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Related comparisons
Hubs: CAF correlations · SPY correlations
