NCZ vs SPY: Correlation
Measured on weekly returns over the past three years, Virtus Convertible & Income Fund II (NCZ) and SPDR S&P 500 ETF Trust (SPY) carry a correlation of 0.72, a strong link.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are NCZ and SPY?
Over the past 3 years, NCZ and SPY moved with a correlation of 0.72, which is strong. Little has changed lately, as the 1-year reading of 0.72 lands near the 3-year figure. Over 5 years the correlation is 0.75, and the annualized covariance of weekly returns is 195.9 %².
By 3-year correlation, SPY places #7 of the 18 assets tracked against NCZ. The trailing year gives NCZ the advantage: +28.2% versus +20.6%, a 7.6-point spread.
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.
NCZ vs SPY: side by side
| NCZ (Virtus Convertible & Income Fund II) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | +28.2% | +20.6% |
| 5-year return | +29.5% | +82.4% |
| Volatility (ann.) | 18.8% | 14.5% |
| Beta vs S&P 500 | 0.94 | 1.00 |
| Max drawdown (3Y) | -19.5% | -18.8% |
| Market cap | $0.3B | – |
| P/E (trailing) | 4.3 | – |
| Dividend yield | 9.33% | 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 | NCZ | SPY |
|---|---|---|
| 2022 | -35.8% | -18.2% |
| 2023 | +17.8% | +26.2% |
| 2024 | +18.4% | +24.9% |
| 2025 | +23.2% | +17.7% |
| 2026 | +21.0% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are NCZ and SPY good diversifiers for each other?
Only partially. A correlation of 0.72 means NCZ and SPY share most of their swings. Pairing them dampens volatility somewhat, but it will not protect against a common drawdown.
FAQ
What is the correlation between NCZ and SPY?
As of 2026-08-27, the correlation of weekly returns between NCZ and SPY is 0.72 over 3 years, 0.72 over 1 year and 0.75 over 5 years.
Is SPY a good diversifier for NCZ?
Only partially. A correlation of 0.72 means NCZ and SPY share most of their swings. Pairing them dampens volatility somewhat, but it will not protect against a common drawdown.
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: NCZ correlations · SPY correlations
