MHF vs SPY: Correlation
Western Asset Municipal High Income Fund, Inc. (MHF) and SPDR S&P 500 ETF Trust (SPY) show a moderate relationship: their 3-year correlation of weekly returns is 0.38.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are MHF and SPY?
On 3 years of weekly data the MHF/SPY correlation comes out at 0.38, moderate. Lately the two have moved closer together, with the 1-year correlation at 0.53 versus 0.38 over 3 years. The 5-year figure is 0.41, and annualized covariance runs at 66.6 %².
Out of 10 assets tracked against MHF, SPY lands near the bottom at #6. Their recent paths diverged sharply: over the last 12 months SPY outperformed by 15.0 percentage points (+5.6% for MHF 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.
MHF vs SPY: side by side
| MHF (Western Asset Municipal High Income Fund, Inc.) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | +5.6% | +20.6% |
| 5-year return | +6.2% | +82.4% |
| Volatility (ann.) | 12.2% | 14.5% |
| Beta vs S&P 500 | 0.32 | 1.00 |
| Max drawdown (3Y) | -13.3% | -18.8% |
| Market cap | $0.2B | – |
| P/E (trailing) | 18.0 | – |
| Dividend yield | 5.93% | 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 | MHF | SPY |
|---|---|---|
| 2022 | -17.6% | -18.2% |
| 2023 | +4.6% | +26.2% |
| 2024 | +12.0% | +24.9% |
| 2025 | +7.2% | +17.7% |
| 2026 | +3.3% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are MHF and SPY good diversifiers for each other?
Reasonably. At 0.38, MHF and SPY keep a meaningful degree of independence, and combining them has historically reduced portfolio volatility.
FAQ
What is the correlation between MHF and SPY?
As of 2026-08-27, the correlation of weekly returns between MHF and SPY is 0.38 over 3 years, 0.53 over 1 year and 0.41 over 5 years.
Is SPY a good diversifier for MHF?
Reasonably. At 0.38, MHF and SPY keep a meaningful degree of independence, and combining them has historically reduced portfolio volatility.
What does a correlation of 0.38 mean?
Correlation ranges from −1 to +1. Values near +1 mean two assets move together, near 0 that they move independently, and negative values that they tend to move in opposite directions. It measures co-movement, not performance.
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Related comparisons
Hubs: MHF correlations · SPY correlations
