GHY vs SPY: Correlation
PGIM Global High Yield Fund, Inc. (GHY) and SPDR S&P 500 ETF Trust (SPY) show a moderate relationship: their 3-year correlation of weekly returns is 0.51.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are GHY and SPY?
Across a 3-year window, the weekly returns of GHY and SPY correlate at 0.51, moderate. Little has changed lately, as the 1-year reading of 0.58 lands near the 3-year figure. Stretching to 5 years gives 0.60, with an annualized covariance of 103.1 %².
Among the 13 assets we track against GHY, SPY ranks #7 by 3-year correlation. The last year tells two different stories: SPY led by 24.5 percentage points, -3.9% for GHY against +20.6% for SPY.
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.
GHY vs SPY: side by side
| GHY (PGIM Global High Yield Fund, Inc.) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | -3.9% | +20.6% |
| 5-year return | +23.8% | +82.4% |
| Volatility (ann.) | 14.0% | 14.5% |
| Beta vs S&P 500 | 0.49 | 1.00 |
| Max drawdown (3Y) | -16.4% | -18.8% |
| Market cap | $0.5B | – |
| P/E (trailing) | 9.3 | – |
| 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 | GHY | SPY |
|---|---|---|
| 2022 | -20.0% | -18.2% |
| 2023 | +17.3% | +26.2% |
| 2024 | +20.3% | +24.9% |
| 2025 | +10.5% | +17.7% |
| 2026 | -0.1% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are GHY and SPY good diversifiers for each other?
Only partially. A correlation of 0.51 means GHY and SPY share most of their swings. Pairing them dampens volatility somewhat, but it will not protect against a common drawdown.
FAQ
What is the correlation between GHY and SPY?
Using weekly returns as of 2026-08-27: 0.51 over 3 years, with 0.58 over the last year and 0.60 over 5 years.
Is SPY a good diversifier for GHY?
Only partially. A correlation of 0.51 means GHY and SPY share most of their swings. Pairing them dampens volatility somewhat, but it will not protect against a common drawdown.
What does a correlation of 0.51 mean?
On the −1 to +1 scale, 0.51 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: GHY correlations · SPY correlations
