GDL vs SPY: Correlation
Measured on weekly returns over the past three years, GDL Fund, The (GDL) and SPDR S&P 500 ETF Trust (SPY) carry a correlation of 0.49, a moderate link.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are GDL and SPY?
Over the past 3 years, GDL and SPY moved with a correlation of 0.49, which is moderate. The past 12 months show a weaker link (0.38) than the 3-year average (0.49). Over 5 years the correlation is 0.45, and the annualized covariance of weekly returns is 42.3 %².
SPY is close to the least connected end of GDL's tracked universe, ranking #6 of 10. Their recent paths diverged sharply: over the last 12 months SPY outperformed by 16.2 percentage points (+4.4% for GDL against +20.6% for SPY). Note the risk asymmetry: SPY runs 2.4 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.
GDL vs SPY: side by side
| GDL (GDL Fund, The) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | +4.4% | +20.6% |
| 5-year return | +23.0% | +82.4% |
| Volatility (ann.) | 6.0% | 14.5% |
| Beta vs S&P 500 | 0.20 | 1.00 |
| Max drawdown (3Y) | -6.0% | -18.8% |
| Market cap | – | – |
| P/E (trailing) | 12.0 | – |
| 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 | GDL | SPY |
|---|---|---|
| 2022 | -6.9% | -18.2% |
| 2023 | +9.0% | +26.2% |
| 2024 | +5.9% | +24.9% |
| 2025 | +11.8% | +17.7% |
| 2026 | +1.8% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are GDL and SPY good diversifiers for each other?
Yes, to a useful degree: a correlation of 0.49 leaves real independence between the two, which historically damped combined volatility.
FAQ
What is the correlation between GDL and SPY?
The GDL/SPY correlation stands at 0.49 on a 3-year window (1 year: 0.38, 5 years: 0.45), computed from weekly returns as of 2026-08-27.
Is SPY a good diversifier for GDL?
Yes, to a useful degree: a correlation of 0.49 leaves real independence between the two, which historically damped combined volatility.
What does a correlation of 0.49 mean?
A reading of 0.49 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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Hubs: GDL correlations · SPY correlations
