GS vs SPY: Correlation
Goldman Sachs (GS) and SPDR S&P 500 ETF Trust (SPY) show a strong relationship: their 3-year correlation of weekly returns is 0.72.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are GS and SPY?
On 3 years of weekly data the GS/SPY correlation comes out at 0.72, strong. The past 12 months show a weaker link (0.56) than the 3-year average (0.72). The 5-year figure is 0.71, and annualized covariance runs at 279.0 %².
By 3-year correlation, SPY places #17 of the 41 assets tracked against GS. Correlation aside, the last 12 months split them widely, with GS ahead by 21.0 points (+41.6% versus +20.6%). The rolling one-year correlation moved between 0.49 and 0.85 over the past three years, a moderate range. One caveat on sizing: GS 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.
GS vs SPY: side by side
| GS (Goldman Sachs) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | +41.6% | +20.6% |
| 5-year return | +184.1% | +82.4% |
| Volatility (ann.) | 27.0% | 14.5% |
| Beta vs S&P 500 | 1.34 | 1.00 |
| Max drawdown (3Y) | -30.9% | -18.8% |
| Market cap | $303.1B | – |
| P/E (trailing) | 16.1 | – |
| Dividend yield | 1.63% | 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 | GS | SPY |
|---|---|---|
| 2022 | -7.9% | -18.2% |
| 2023 | +15.9% | +26.2% |
| 2024 | +52.0% | +24.9% |
| 2025 | +56.6% | +17.7% |
| 2026 | +19.6% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Fund exposure
Keep in mind that SPY holds GS at a 0.46% weight, which makes a slice of this correlation mechanical rather than coincidental.
Are GS and SPY good diversifiers for each other?
To a limited degree. At 0.72 the two still catch most of the same waves, so the pair smooths returns a little without insulating either from a shared selloff.
FAQ
What is the correlation between GS and SPY?
As of 2026-08-27, the correlation of weekly returns between GS and SPY is 0.72 over 3 years, 0.56 over 1 year and 0.71 over 5 years.
Is SPY a good diversifier for GS?
To a limited degree. At 0.72 the two still catch most of the same waves, so the pair smooths returns a little without insulating either from a shared selloff.
What does a correlation of 0.72 mean?
A reading of 0.72 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: GS correlations · SPY correlations
