CCD vs SPY: Correlation
How closely do Calamos Dynamic Convertible & Income Fund - Closed End Fund (CCD) and SPDR S&P 500 ETF Trust (SPY) trade together? Their weekly returns over three years give a correlation of 0.70, which is strong.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are CCD and SPY?
Over the past 3 years, CCD and SPY moved with a correlation of 0.70, which is strong. Little has changed lately, as the 1-year reading of 0.73 lands near the 3-year figure. Over 5 years the correlation is 0.70, and the annualized covariance of weekly returns is 184.8 %².
SPY is close to the least connected end of CCD's tracked universe, ranking #6 of 10. Over the last 12 months CCD came out ahead by 14.8 percentage points (+35.4% 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.
CCD vs SPY: side by side
| CCD (Calamos Dynamic Convertible & Income Fund - Closed End Fund) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | +35.4% | +20.6% |
| 5-year return | +33.4% | +82.4% |
| Volatility (ann.) | 18.4% | 14.5% |
| Beta vs S&P 500 | 0.88 | 1.00 |
| Max drawdown (3Y) | -22.3% | -18.8% |
| Market cap | $0.7B | – |
| P/E (trailing) | 2.9 | – |
| 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 | CCD | SPY |
|---|---|---|
| 2022 | -28.0% | -18.2% |
| 2023 | +8.0% | +26.2% |
| 2024 | +35.9% | +24.9% |
| 2025 | -4.3% | +17.7% |
| 2026 | +26.6% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are CCD and SPY good diversifiers for each other?
To a limited degree. At 0.70 the two still catch most of the same waves, so the pair smooths returns a little without insulating either from a shared selloff.
FAQ
What is the correlation between CCD and SPY?
As of 2026-08-27, the correlation of weekly returns between CCD and SPY is 0.70 over 3 years, 0.73 over 1 year and 0.70 over 5 years.
Is SPY a good diversifier for CCD?
To a limited degree. At 0.70 the two still catch most of the same waves, so the pair smooths returns a little without insulating either from a shared selloff.
What does a correlation of 0.70 mean?
On the −1 to +1 scale, 0.70 describes how much the two returns move together: +1 is lockstep, 0 is independence, negative values mean opposite directions. It says nothing about which performed better.
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Related comparisons
Hubs: CCD correlations · SPY correlations
