CIM vs SPY: Correlation
Measured on weekly returns over the past three years, Chimera Investment Corporation (CIM) and SPDR S&P 500 ETF Trust (SPY) carry a correlation of 0.37, a moderate link.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are CIM and SPY?
Over the past 3 years, CIM and SPY moved with a correlation of 0.37, which is moderate. Lately the two have drifted apart, with the 1-year correlation at 0.25 versus 0.37 over 3 years. Over 5 years the correlation is 0.57, and the annualized covariance of weekly returns is 158.7 %².
SPY is close to the least connected end of CIM's tracked universe, ranking #7 of 11. The last year tells two different stories: SPY led by 27.5 percentage points, -6.9% for CIM against +20.6% for SPY. Note the risk asymmetry: CIM runs 2.0 times the annualized volatility of the other leg, so equal-weighting the two is not an equal-risk position.
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.
CIM vs SPY: side by side
| CIM (Chimera Investment Corporation) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | -6.9% | +20.6% |
| 5-year return | -54.1% | +82.4% |
| Volatility (ann.) | 29.4% | 14.5% |
| Beta vs S&P 500 | 0.76 | 1.00 |
| Max drawdown (3Y) | -33.1% | -18.8% |
| Market cap | $1.0B | – |
| P/E (trailing) | – | – |
| Dividend yield | 14.29% | 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 | CIM | SPY |
|---|---|---|
| 2022 | -57.9% | -18.2% |
| 2023 | +2.9% | +26.2% |
| 2024 | +3.6% | +24.9% |
| 2025 | -0.6% | +17.7% |
| 2026 | -0.7% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are CIM and SPY good diversifiers for each other?
Yes, to a useful degree: a correlation of 0.37 leaves real independence between the two, which historically damped combined volatility.
FAQ
What is the correlation between CIM and SPY?
The CIM/SPY correlation stands at 0.37 on a 3-year window (1 year: 0.25, 5 years: 0.57), computed from weekly returns as of 2026-08-27.
Is SPY a good diversifier for CIM?
Yes, to a useful degree: a correlation of 0.37 leaves real independence between the two, which historically damped combined volatility.
What does a correlation of 0.37 mean?
Correlation ranges from −1 to +1. Values near +1 mean two assets move together, near 0 that they move independently, and negative values that they tend to move in opposite directions. It measures co-movement, not performance.
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Hubs: CIM correlations · SPY correlations
