GCMG vs SPY: Correlation
Measured on weekly returns over the past three years, GCM Grosvenor Inc. (GCMG) and SPDR S&P 500 ETF Trust (SPY) carry a correlation of 0.39, a moderate link.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are GCMG and SPY?
Over the past 3 years, GCMG and SPY moved with a correlation of 0.39, which is moderate. Recent behaviour matches the longer record: 0.38 over 1 year against 0.39 over 3. Over 5 years the correlation is 0.48, and the annualized covariance of weekly returns is 157.8 %².
SPY is close to the least connected end of GCMG's tracked universe, ranking #6 of 10. On 12-month performance SPY holds a 11.4-point edge, +9.2% against +20.6%. One caveat on sizing: GCMG is 1.9 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.
GCMG vs SPY: side by side
| GCMG (GCM Grosvenor Inc.) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | +9.2% | +20.6% |
| 5-year return | +52.8% | +82.4% |
| Volatility (ann.) | 28.2% | 14.5% |
| Beta vs S&P 500 | 0.76 | 1.00 |
| Max drawdown (3Y) | -31.3% | -18.8% |
| Market cap | $0.8B | – |
| P/E (trailing) | 25.8 | – |
| Dividend yield | 3.54% | 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 | GCMG | SPY |
|---|---|---|
| 2022 | -24.0% | -18.2% |
| 2023 | +24.6% | +26.2% |
| 2024 | +43.0% | +24.9% |
| 2025 | -4.3% | +17.7% |
| 2026 | +23.5% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are GCMG and SPY good diversifiers for each other?
Reasonably. At 0.39, GCMG and SPY keep a meaningful degree of independence, and combining them has historically reduced portfolio volatility.
FAQ
What is the correlation between GCMG and SPY?
The GCMG/SPY correlation stands at 0.39 on a 3-year window (1 year: 0.38, 5 years: 0.48), computed from weekly returns as of 2026-08-27.
Is SPY a good diversifier for GCMG?
Reasonably. At 0.39, GCMG and SPY keep a meaningful degree of independence, and combining them has historically reduced portfolio volatility.
What does a correlation of 0.39 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: GCMG correlations · SPY correlations
