CMTG vs SPY: Correlation
Measured on weekly returns over the past three years, Claros Mortgage Trust, Inc. (CMTG) and SPDR S&P 500 ETF Trust (SPY) carry a correlation of 0.21, a weak link.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are CMTG and SPY?
On 3 years of weekly data the CMTG/SPY correlation comes out at 0.21, weak. Recent behaviour matches the longer record: 0.26 over 1 year against 0.21 over 3. The 5-year figure is 0.25, and annualized covariance runs at 187.8 %².
Out of 11 assets tracked against CMTG, SPY lands near the bottom at #7. Their recent paths diverged sharply: over the last 12 months SPY outperformed by 73.3 percentage points (-52.7% for CMTG against +20.6% for SPY). One caveat on sizing: CMTG is 4.3 times as volatile as the other leg, so an equal-dollar split is far from equal-risk.
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.
CMTG vs SPY: side by side
| CMTG (Claros Mortgage Trust, Inc.) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | -52.7% | +20.6% |
| 5-year return | -87.0% | +82.4% |
| Volatility (ann.) | 62.4% | 14.5% |
| Beta vs S&P 500 | 0.90 | 1.00 |
| Max drawdown (3Y) | -87.6% | -18.8% |
| Market cap | $0.2B | – |
| P/E (trailing) | – | – |
| 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 | CMTG | SPY |
|---|---|---|
| 2022 | -1.4% | -18.2% |
| 2023 | +2.8% | +26.2% |
| 2024 | -64.4% | +24.9% |
| 2025 | -32.3% | +17.7% |
| 2026 | -46.1% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are CMTG and SPY good diversifiers for each other?
Reasonably. At 0.21, CMTG and SPY keep a meaningful degree of independence, and combining them has historically reduced portfolio volatility.
FAQ
What is the correlation between CMTG and SPY?
The CMTG/SPY correlation stands at 0.21 on a 3-year window (1 year: 0.26, 5 years: 0.25), computed from weekly returns as of 2026-08-27.
Is SPY a good diversifier for CMTG?
Reasonably. At 0.21, CMTG and SPY keep a meaningful degree of independence, and combining them has historically reduced portfolio volatility.
What does a correlation of 0.21 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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Related comparisons
Hubs: CMTG correlations · SPY correlations
