NCV vs SPY: Correlation
Measured on weekly returns over the past three years, Virtus Convertible & Income Fund (NCV) and SPDR S&P 500 ETF Trust (SPY) carry a correlation of 0.69, a strong link.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are NCV and SPY?
On 3 years of weekly data the NCV/SPY correlation comes out at 0.69, strong. Recent behaviour matches the longer record: 0.66 over 1 year against 0.69 over 3. The 5-year figure is 0.74, and annualized covariance runs at 183.9 %².
Among the 16 assets we track against NCV, SPY ranks #9 by 3-year correlation. Over the last 12 months NCV came out ahead by 5.4 percentage points (+26.0% against +20.6%).
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.
NCV vs SPY: side by side
| NCV (Virtus Convertible & Income Fund) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | +26.0% | +20.6% |
| 5-year return | +22.6% | +82.4% |
| Volatility (ann.) | 18.3% | 14.5% |
| Beta vs S&P 500 | 0.88 | 1.00 |
| Max drawdown (3Y) | -17.8% | -18.8% |
| Market cap | – | – |
| P/E (trailing) | 4.5 | – |
| Dividend yield | 9.84% | 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 | NCV | SPY |
|---|---|---|
| 2022 | -33.9% | -18.2% |
| 2023 | +12.7% | +26.2% |
| 2024 | +16.2% | +24.9% |
| 2025 | +22.6% | +17.7% |
| 2026 | +18.2% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are NCV and SPY good diversifiers for each other?
To a limited degree. At 0.69 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 NCV and SPY?
Using weekly returns as of 2026-08-27: 0.69 over 3 years, with 0.66 over the last year and 0.74 over 5 years.
Is SPY a good diversifier for NCV?
To a limited degree. At 0.69 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 0.69 mean?
On the −1 to +1 scale, 0.69 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: NCV correlations · SPY correlations
