GECC vs SPY: Correlation
How closely do Great Elm Capital Corp. - Closed End Fund (GECC) and SPDR S&P 500 ETF Trust (SPY) trade together? Their weekly returns over three years give a correlation of 0.30, which is moderate.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are GECC and SPY?
On 3 years of weekly data the GECC/SPY correlation comes out at 0.30, moderate. Little has changed lately, as the 1-year reading of 0.37 lands near the 3-year figure. The 5-year figure is 0.23, and annualized covariance runs at 130.4 %².
By 3-year correlation, SPY places #7 of the 13 assets tracked against GECC. Their recent paths diverged sharply: over the last 12 months SPY outperformed by 56.8 percentage points (-36.2% for GECC against +20.6% for SPY). Note the risk asymmetry: GECC runs 2.1 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.
GECC vs SPY: side by side
| GECC (Great Elm Capital Corp. - Closed End Fund) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | -36.2% | +20.6% |
| 5-year return | -40.4% | +82.4% |
| Volatility (ann.) | 30.5% | 14.5% |
| Beta vs S&P 500 | 0.62 | 1.00 |
| Max drawdown (3Y) | -54.0% | -18.8% |
| Market cap | $0.1B | – |
| P/E (trailing) | – | – |
| Dividend yield | 21.54% | 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 | GECC | SPY |
|---|---|---|
| 2022 | -47.4% | -18.2% |
| 2023 | +49.4% | +26.2% |
| 2024 | +18.9% | +24.9% |
| 2025 | -25.4% | +17.7% |
| 2026 | -6.2% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are GECC and SPY good diversifiers for each other?
Reasonably. At 0.30, GECC and SPY keep a meaningful degree of independence, and combining them has historically reduced portfolio volatility.
FAQ
What is the correlation between GECC and SPY?
The GECC/SPY correlation stands at 0.30 on a 3-year window (1 year: 0.37, 5 years: 0.23), computed from weekly returns as of 2026-08-27.
Is SPY a good diversifier for GECC?
Reasonably. At 0.30, GECC and SPY keep a meaningful degree of independence, and combining them has historically reduced portfolio volatility.
What does a correlation of 0.30 mean?
On the −1 to +1 scale, 0.30 describes how much the two returns move together: +1 is lockstep, 0 is independence, negative values mean opposite directions. It says nothing about which performed better.
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Related comparisons
Hubs: GECC correlations · SPY correlations
