NEPH vs SPY: Correlation
Measured on weekly returns over the past three years, Nephros, Inc. (NEPH) and SPDR S&P 500 ETF Trust (SPY) carry a correlation of 0.02, a near-zero link.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are NEPH and SPY?
On 3 years of weekly data the NEPH/SPY correlation comes out at 0.02, near zero, meaning they move largely independently. Lately the two have moved closer together, with the 1-year correlation at 0.23 versus 0.02 over 3 years. The 5-year figure is 0.12, and annualized covariance runs at 14.9 %².
By 3-year correlation, SPY places #7 of the 16 assets tracked against NEPH. On 12-month performance SPY holds a 14.2-point edge, +6.4% against +20.6%. Risk is not evenly split, since NEPH carries 4.6 times the volatility of the other side.
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.
NEPH vs SPY: side by side
| NEPH (Nephros, Inc.) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | +6.4% | +20.6% |
| 5-year return | -48.4% | +82.4% |
| Volatility (ann.) | 66.5% | 14.5% |
| Beta vs S&P 500 | 0.07 | 1.00 |
| Max drawdown (3Y) | -65.2% | -18.8% |
| Market cap | – | – |
| P/E (trailing) | 25.4 | – |
| Dividend yield | 0.00% | 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 | NEPH | SPY |
|---|---|---|
| 2022 | -80.3% | -18.2% |
| 2023 | +198.3% | +26.2% |
| 2024 | -57.5% | +24.9% |
| 2025 | +232.0% | +17.7% |
| 2026 | -11.7% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are NEPH and SPY good diversifiers for each other?
Yes. With a correlation of 0.02, NEPH and SPY have moved largely independently, which makes them a genuinely diversifying pair by historical standards.
FAQ
What is the correlation between NEPH and SPY?
Using weekly returns as of 2026-08-27: 0.02 over 3 years, with 0.23 over the last year and 0.12 over 5 years.
Is SPY a good diversifier for NEPH?
Yes. With a correlation of 0.02, NEPH and SPY have moved largely independently, which makes them a genuinely diversifying pair by historical standards.
What does a correlation of 0.02 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: NEPH correlations · SPY correlations
