CEV vs SPY: Correlation
How closely do Eaton Vance California Municipal Income Trust Shares of (CEV) and SPDR S&P 500 ETF Trust (SPY) trade together? Their weekly returns over three years give a correlation of 0.30, which is moderate.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are CEV and SPY?
On 3 years of weekly data the CEV/SPY correlation comes out at 0.30, moderate. The link has tightened recently: the 1-year correlation (0.40) runs above the 3-year figure (0.30). The 5-year figure is 0.39, and annualized covariance runs at 47.5 %².
Among the 12 assets we track against CEV, SPY ranks #7 by 3-year correlation. Their 12-month results are close: +19.0% for CEV against +20.6% for SPY.
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.
CEV vs SPY: side by side
| CEV (Eaton Vance California Municipal Income Trust Shares of) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | +19.0% | +20.6% |
| 5-year return | -1.8% | +82.4% |
| Volatility (ann.) | 10.9% | 14.5% |
| Beta vs S&P 500 | 0.23 | 1.00 |
| Max drawdown (3Y) | -12.4% | -18.8% |
| Market cap | $0.1B | – |
| P/E (trailing) | 10.2 | – |
| Dividend yield | 5.54% | 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 | CEV | SPY |
|---|---|---|
| 2022 | -22.7% | -18.2% |
| 2023 | +8.2% | +26.2% |
| 2024 | +2.3% | +24.9% |
| 2025 | +6.2% | +17.7% |
| 2026 | +10.2% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are CEV and SPY good diversifiers for each other?
Yes, to a useful degree: a correlation of 0.30 leaves real independence between the two, which historically damped combined volatility.
FAQ
What is the correlation between CEV and SPY?
The CEV/SPY correlation stands at 0.30 on a 3-year window (1 year: 0.40, 5 years: 0.39), computed from weekly returns as of 2026-08-27.
Is SPY a good diversifier for CEV?
Yes, to a useful degree: a correlation of 0.30 leaves real independence between the two, which historically damped combined volatility.
What does a correlation of 0.30 mean?
On the −1 to +1 scale, 0.30 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: CEV correlations · SPY correlations
