FDS vs SPY: Correlation
How closely do FactSet (FDS) and SPDR S&P 500 ETF Trust (SPY) trade together? Their weekly returns over three years give a correlation of 0.25, which is weak.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are FDS and SPY?
Across a 3-year window, the weekly returns of FDS and SPY correlate at 0.25, weak. The past 12 months show a weaker link (0.12) than the 3-year average (0.25). Stretching to 5 years gives 0.41, with an annualized covariance of 116.3 %².
By 3-year correlation, SPY places #21 of the 32 assets tracked against FDS. Their recent paths diverged sharply: over the last 12 months SPY outperformed by 39.2 percentage points (-18.6% for FDS against +20.6% for SPY). Do not treat this figure as fixed: across three years the rolling one-year correlation ranged all the way from 0.12 to 0.70. Risk is not evenly split, since FDS carries 2.2 times the volatility of the other side.
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.
FDS vs SPY: side by side
| FDS (FactSet) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | -18.6% | +20.6% |
| 5-year return | -15.8% | +82.4% |
| Volatility (ann.) | 31.9% | 14.5% |
| Beta vs S&P 500 | 0.56 | 1.00 |
| Max drawdown (3Y) | -61.1% | -18.8% |
| Market cap | $10.8B | – |
| P/E (trailing) | 19.5 | – |
| Dividend yield | 1.51% | 1.01% |
| Expense ratio | – | 0.09% |
| Assets under management | – | $795.3B |
| Sector / category | Financials | 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 | FDS | SPY |
|---|---|---|
| 2022 | -16.7% | -18.2% |
| 2023 | +20.0% | +26.2% |
| 2024 | +1.6% | +24.9% |
| 2025 | -38.9% | +17.7% |
| 2026 | +6.0% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are FDS and SPY good diversifiers for each other?
A fair diversifier. At 0.25, enough of each asset's movement is its own that the pair has smoothed outcomes historically.
FAQ
What is the correlation between FDS and SPY?
Using weekly returns as of 2026-08-27: 0.25 over 3 years, with 0.12 over the last year and 0.41 over 5 years.
Is SPY a good diversifier for FDS?
A fair diversifier. At 0.25, enough of each asset's movement is its own that the pair has smoothed outcomes historically.
What does a correlation of 0.25 mean?
A reading of 0.25 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: FDS correlations · SPY correlations
