EARN vs SPY: Correlation
How closely do Ellington Credit Company (EARN) and SPDR S&P 500 ETF Trust (SPY) trade together? Their weekly returns over three years give a correlation of 0.54, which is moderate.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are EARN and SPY?
On 3 years of weekly data the EARN/SPY correlation comes out at 0.54, moderate. The past 12 months show a weaker link (0.39) than the 3-year average (0.54). The 5-year figure is 0.61, and annualized covariance runs at 192.6 %².
By 3-year correlation, SPY places #6 of the 14 assets tracked against EARN. Correlation aside, the last 12 months split them widely, with SPY ahead by 28.5 points (-7.9% versus +20.6%). Note the risk asymmetry: EARN runs 1.7 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.
EARN vs SPY: side by side
| EARN (Ellington Credit Company) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | -7.9% | +20.6% |
| 5-year return | -17.5% | +82.4% |
| Volatility (ann.) | 24.8% | 14.5% |
| Beta vs S&P 500 | 0.92 | 1.00 |
| Max drawdown (3Y) | -31.2% | -18.8% |
| Market cap | $0.2B | – |
| P/E (trailing) | 15.9 | – |
| Dividend yield | 21.57% | 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 | EARN | SPY |
|---|---|---|
| 2022 | -25.0% | -18.2% |
| 2023 | +3.0% | +26.2% |
| 2024 | +24.6% | +24.9% |
| 2025 | -5.9% | +17.7% |
| 2026 | -5.0% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are EARN and SPY good diversifiers for each other?
To a limited degree. At 0.54 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 EARN and SPY?
Using weekly returns as of 2026-08-27: 0.54 over 3 years, with 0.39 over the last year and 0.61 over 5 years.
Is SPY a good diversifier for EARN?
To a limited degree. At 0.54 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 0.54 mean?
A reading of 0.54 sits on a scale from −1 (opposite moves) through 0 (unrelated) to +1 (identical moves). Correlation captures direction, not magnitude or performance.
Use this data
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Related comparisons
Hubs: EARN correlations · SPY correlations
