CSQ vs SPY: Correlation
Measured on weekly returns over the past three years, Calamos Strategic Total Return Fund - Closed End Fund (CSQ) and SPDR S&P 500 ETF Trust (SPY) carry a correlation of 0.94, a very strong link.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are CSQ and SPY?
Across a 3-year window, the weekly returns of CSQ and SPY correlate at 0.94, very strong, meaning they move nearly in lockstep. The relationship has been stable: the 1-year correlation (0.96) sits close to the 3-year figure. Stretching to 5 years gives 0.93, with an annualized covariance of 255.6 %².
In CSQ's tracked universe of 51 assets, SPY sits right near the top at #2. Twelve-month performance is nearly a tie, at +21.4% for CSQ and +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.
CSQ vs SPY: side by side
| CSQ (Calamos Strategic Total Return Fund - Closed End Fund) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | +21.4% | +20.6% |
| 5-year return | +64.2% | +82.4% |
| Volatility (ann.) | 18.8% | 14.5% |
| Beta vs S&P 500 | 1.22 | 1.00 |
| Max drawdown (3Y) | -24.2% | -18.8% |
| Market cap | $3.4B | – |
| P/E (trailing) | 3.2 | – |
| Dividend yield | 2.95% | 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 | CSQ | SPY |
|---|---|---|
| 2022 | -24.2% | -18.2% |
| 2023 | +20.9% | +26.2% |
| 2024 | +28.2% | +24.9% |
| 2025 | +16.3% | +17.7% |
| 2026 | +14.3% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are CSQ and SPY good diversifiers for each other?
Not really. At 0.94, the two trade almost as one position, and owning both buys little extra protection.
FAQ
What is the correlation between CSQ and SPY?
Using weekly returns as of 2026-08-27: 0.94 over 3 years, with 0.96 over the last year and 0.93 over 5 years.
Is SPY a good diversifier for CSQ?
Not really. At 0.94, the two trade almost as one position, and owning both buys little extra protection.
What does a correlation of 0.94 mean?
A reading of 0.94 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: CSQ correlations · SPY correlations
