M vs SPY: Correlation
Measured on weekly returns over the past three years, Macy's Inc (M) and SPDR S&P 500 ETF Trust (SPY) carry a correlation of 0.31, a moderate link.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are M and SPY?
Over the past 3 years, M and SPY moved with a correlation of 0.31, which is moderate. The past 12 months show a weaker link (0.16) than the 3-year average (0.31). Over 5 years the correlation is 0.48, and the annualized covariance of weekly returns is 221.4 %².
Out of 14 assets tracked against M, SPY lands near the bottom at #10. Their recent paths diverged sharply: over the last 12 months M outperformed by 51.2 percentage points (+71.8% for M against +20.6% for SPY). One caveat on sizing: M is 3.4 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.
M vs SPY: side by side
| M (Macy's Inc) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | +71.8% | +20.6% |
| 5-year return | +21.5% | +82.4% |
| Volatility (ann.) | 49.3% | 14.5% |
| Beta vs S&P 500 | 1.06 | 1.00 |
| Max drawdown (3Y) | -51.3% | -18.8% |
| Market cap | $5.9B | – |
| P/E (trailing) | 9.4 | – |
| Dividend yield | 3.24% | 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 | M | SPY |
|---|---|---|
| 2022 | -18.7% | -18.2% |
| 2023 | +1.6% | +26.2% |
| 2024 | -12.4% | +24.9% |
| 2025 | +36.5% | +17.7% |
| 2026 | +4.0% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are M and SPY good diversifiers for each other?
Reasonably. At 0.31, M and SPY keep a meaningful degree of independence, and combining them has historically reduced portfolio volatility.
FAQ
What is the correlation between M and SPY?
Using weekly returns as of 2026-08-27: 0.31 over 3 years, with 0.16 over the last year and 0.48 over 5 years.
Is SPY a good diversifier for M?
Reasonably. At 0.31, M and SPY keep a meaningful degree of independence, and combining them has historically reduced portfolio volatility.
What does a correlation of 0.31 mean?
A reading of 0.31 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: M correlations · SPY correlations
