MSCI vs SPY: Correlation
MSCI (MSCI) and SPDR S&P 500 ETF Trust (SPY) show a moderate relationship: their 3-year correlation of weekly returns is 0.48.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are MSCI and SPY?
Over the past 3 years, MSCI and SPY moved with a correlation of 0.48, which is moderate. Lately the two have drifted apart, with the 1-year correlation at 0.37 versus 0.48 over 3 years. Over 5 years the correlation is 0.64, and the annualized covariance of weekly returns is 177.6 %².
Among the 27 assets we track against MSCI, SPY ranks #11 by 3-year correlation. Their recent paths diverged sharply: over the last 12 months SPY outperformed by 19.3 percentage points (+1.3% for MSCI against +20.6% for SPY). On a rolling one-year basis the correlation drifted between 0.35 and 0.71, a moderate band. Note the risk asymmetry: MSCI runs 1.8 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.
MSCI vs SPY: side by side
| MSCI (MSCI) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | +1.3% | +20.6% |
| 5-year return | -5.6% | +82.4% |
| Volatility (ann.) | 25.4% | 14.5% |
| Beta vs S&P 500 | 0.85 | 1.00 |
| Max drawdown (3Y) | -26.0% | -18.8% |
| Market cap | $41.4B | – |
| P/E (trailing) | 30.9 | – |
| Dividend yield | 1.36% | 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 | MSCI | SPY |
|---|---|---|
| 2022 | -23.3% | -18.2% |
| 2023 | +22.9% | +26.2% |
| 2024 | +7.3% | +24.9% |
| 2025 | -3.2% | +17.7% |
| 2026 | +0.3% | +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 MSCI at a 0.06% weight, which makes a slice of this correlation mechanical rather than coincidental.
Are MSCI and SPY good diversifiers for each other?
A fair diversifier. At 0.48, enough of each asset's movement is its own that the pair has smoothed outcomes historically.
FAQ
What is the correlation between MSCI and SPY?
Using weekly returns as of 2026-08-27: 0.48 over 3 years, with 0.37 over the last year and 0.64 over 5 years.
Is SPY a good diversifier for MSCI?
A fair diversifier. At 0.48, enough of each asset's movement is its own that the pair has smoothed outcomes historically.
What does a correlation of 0.48 mean?
On the −1 to +1 scale, 0.48 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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Hubs: MSCI correlations · SPY correlations
