PAI vs SPY: Correlation
Western Asset Investment Grade Income Fund Inc. (PAI) and SPDR S&P 500 ETF Trust (SPY) show a moderate relationship: their 3-year correlation of weekly returns is 0.41.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are PAI and SPY?
Over the past 3 years, PAI and SPY moved with a correlation of 0.41, which is moderate. Lately the two have moved closer together, with the 1-year correlation at 0.54 versus 0.41 over 3 years. Over 5 years the correlation is 0.43, and the annualized covariance of weekly returns is 58.6 %².
Among the 11 assets we track against PAI, SPY ranks #6 by 3-year correlation. Correlation aside, the last 12 months split them widely, with SPY ahead by 21.2 points (-0.6% versus +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.
PAI vs SPY: side by side
| PAI (Western Asset Investment Grade Income Fund Inc.) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | -0.6% | +20.6% |
| 5-year return | -4.0% | +82.4% |
| Volatility (ann.) | 10.0% | 14.5% |
| Beta vs S&P 500 | 0.28 | 1.00 |
| Max drawdown (3Y) | -8.9% | -18.8% |
| Market cap | $0.1B | – |
| P/E (trailing) | 12.9 | – |
| Dividend yield | 2.65% | 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 | PAI | SPY |
|---|---|---|
| 2022 | -22.5% | -18.2% |
| 2023 | +9.1% | +26.2% |
| 2024 | +9.2% | +24.9% |
| 2025 | +5.4% | +17.7% |
| 2026 | -1.7% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are PAI and SPY good diversifiers for each other?
Yes, to a useful degree: a correlation of 0.41 leaves real independence between the two, which historically damped combined volatility.
FAQ
What is the correlation between PAI and SPY?
As of 2026-08-27, the correlation of weekly returns between PAI and SPY is 0.41 over 3 years, 0.54 over 1 year and 0.43 over 5 years.
Is SPY a good diversifier for PAI?
Yes, to a useful degree: a correlation of 0.41 leaves real independence between the two, which historically damped combined volatility.
What does a correlation of 0.41 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: PAI correlations · SPY correlations
