PCM vs SPY: Correlation
How closely do PCM Fund, Inc. (PCM) and SPDR S&P 500 ETF Trust (SPY) trade together? Their weekly returns over three years give a correlation of 0.35, which is moderate.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are PCM and SPY?
Across a 3-year window, the weekly returns of PCM and SPY correlate at 0.35, moderate. Lately the two have moved closer together, with the 1-year correlation at 0.45 versus 0.35 over 3 years. Stretching to 5 years gives 0.42, with an annualized covariance of 96.5 %².
Among the 11 assets we track against PCM, SPY ranks #6 by 3-year correlation. The last year tells two different stories: SPY led by 23.5 percentage points, -2.9% for PCM against +20.6% for SPY.
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.
PCM vs SPY: side by side
| PCM (PCM Fund, Inc.) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | -2.9% | +20.6% |
| 5-year return | -19.9% | +82.4% |
| Volatility (ann.) | 19.0% | 14.5% |
| Beta vs S&P 500 | 0.46 | 1.00 |
| Max drawdown (3Y) | -27.1% | -18.8% |
| Market cap | – | – |
| P/E (trailing) | 9.6 | – |
| Dividend yield | 14.25% | 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 | PCM | SPY |
|---|---|---|
| 2022 | -19.7% | -18.2% |
| 2023 | +12.4% | +26.2% |
| 2024 | +8.8% | +24.9% |
| 2025 | -10.1% | +17.7% |
| 2026 | -4.0% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are PCM and SPY good diversifiers for each other?
A fair diversifier. At 0.35, enough of each asset's movement is its own that the pair has smoothed outcomes historically.
FAQ
What is the correlation between PCM and SPY?
The PCM/SPY correlation stands at 0.35 on a 3-year window (1 year: 0.45, 5 years: 0.42), computed from weekly returns as of 2026-08-27.
Is SPY a good diversifier for PCM?
A fair diversifier. At 0.35, enough of each asset's movement is its own that the pair has smoothed outcomes historically.
What does a correlation of 0.35 mean?
On the −1 to +1 scale, 0.35 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: PCM correlations · SPY correlations
