CGO vs SPY: Correlation
How closely do Calamos Global Total Return Fund - Closed End Fund (CGO) and SPDR S&P 500 ETF Trust (SPY) trade together? Their weekly returns over three years give a correlation of 0.78, which is strong.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are CGO and SPY?
Across a 3-year window, the weekly returns of CGO and SPY correlate at 0.78, strong. Little has changed lately, as the 1-year reading of 0.79 lands near the 3-year figure. Stretching to 5 years gives 0.71, with an annualized covariance of 216.7 %².
Among the 16 assets we track against CGO, SPY ranks #6 by 3-year correlation. Neither side won the trailing year by much: +22.1% 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.
CGO vs SPY: side by side
| CGO (Calamos Global Total Return Fund - Closed End Fund) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | +22.1% | +20.6% |
| 5-year return | +21.0% | +82.4% |
| Volatility (ann.) | 19.2% | 14.5% |
| Beta vs S&P 500 | 1.04 | 1.00 |
| Max drawdown (3Y) | -26.7% | -18.8% |
| Market cap | $0.1B | – |
| P/E (trailing) | 2.9 | – |
| Dividend yield | 7.31% | 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 | CGO | SPY |
|---|---|---|
| 2022 | -36.6% | -18.2% |
| 2023 | +14.0% | +26.2% |
| 2024 | +36.8% | +24.9% |
| 2025 | +8.9% | +17.7% |
| 2026 | +20.3% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are CGO and SPY good diversifiers for each other?
To a limited degree. At 0.78 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 CGO and SPY?
As of 2026-08-27, the correlation of weekly returns between CGO and SPY is 0.78 over 3 years, 0.79 over 1 year and 0.71 over 5 years.
Is SPY a good diversifier for CGO?
To a limited degree. At 0.78 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 0.78 mean?
On the −1 to +1 scale, 0.78 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.
Use this data
$ curl https://www.pairbook.io/api/v1/pairs/cgo-vs-spy.json
Embed this badge (it refreshes with the data), with attribution:
[](https://www.pairbook.io/pair/cgo-vs-spy/)
Free with attribution; caching and terms are described in the API documentation.
Related comparisons
Hubs: CGO correlations · SPY correlations
