CHY vs SPY: Correlation
How closely do Calamos Convertible and High Income Fund - Closed End Fund (CHY) and SPDR S&P 500 ETF Trust (SPY) trade together? Their weekly returns over three years give a correlation of 0.68, which is strong.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are CHY and SPY?
Over the past 3 years, CHY and SPY moved with a correlation of 0.68, which is strong. Recent behaviour matches the longer record: 0.78 over 1 year against 0.68 over 3. Over 5 years the correlation is 0.70, and the annualized covariance of weekly returns is 162.1 %².
Among the 10 assets we track against CHY, SPY sits near the bottom by co-movement, at rank #7. The trailing year gives CHY the advantage: +32.8% versus +20.6%, a 12.2-point spread.
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.
CHY vs SPY: side by side
| CHY (Calamos Convertible and High Income Fund - Closed End Fund) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | +32.8% | +20.6% |
| 5-year return | +33.7% | +82.4% |
| Volatility (ann.) | 16.4% | 14.5% |
| Beta vs S&P 500 | 0.78 | 1.00 |
| Max drawdown (3Y) | -24.3% | -18.8% |
| Market cap | $1.1B | – |
| P/E (trailing) | 3.1 | – |
| Dividend yield | 9.22% | 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 | CHY | SPY |
|---|---|---|
| 2022 | -28.0% | -18.2% |
| 2023 | +20.8% | +26.2% |
| 2024 | +17.2% | +24.9% |
| 2025 | +4.0% | +17.7% |
| 2026 | +22.3% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are CHY and SPY good diversifiers for each other?
To a limited degree. At 0.68 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 CHY and SPY?
The CHY/SPY correlation stands at 0.68 on a 3-year window (1 year: 0.78, 5 years: 0.70), computed from weekly returns as of 2026-08-27.
Is SPY a good diversifier for CHY?
To a limited degree. At 0.68 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 0.68 mean?
A reading of 0.68 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: CHY correlations · SPY correlations
