PIM vs SPY: Correlation
Measured on weekly returns over the past three years, Franklin Master Intermediate Income Trust Shares of (PIM) and SPDR S&P 500 ETF Trust (SPY) carry a correlation of 0.41, a moderate link.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are PIM and SPY?
Over the past 3 years, PIM and SPY moved with a correlation of 0.41, which is moderate. The relationship has been stable: the 1-year correlation (0.40) sits close to the 3-year figure. Over 5 years the correlation is 0.49, and the annualized covariance of weekly returns is 54.5 %².
Among the 15 assets we track against PIM, SPY ranks #7 by 3-year correlation. The last year tells two different stories: SPY led by 17.4 percentage points, +3.2% for PIM against +20.6% for SPY. Note the risk asymmetry: SPY runs 1.6 times the annualized volatility of the other leg, so equal-weighting the two is not an equal-risk position.
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.
PIM vs SPY: side by side
| PIM (Franklin Master Intermediate Income Trust Shares of) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | +3.2% | +20.6% |
| 5-year return | +16.1% | +82.4% |
| Volatility (ann.) | 9.2% | 14.5% |
| Beta vs S&P 500 | 0.26 | 1.00 |
| Max drawdown (3Y) | -6.4% | -18.8% |
| Market cap | $0.2B | – |
| P/E (trailing) | 14.4 | – |
| Dividend yield | 8.35% | 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 | PIM | SPY |
|---|---|---|
| 2022 | -12.5% | -18.2% |
| 2023 | +8.4% | +26.2% |
| 2024 | +10.9% | +24.9% |
| 2025 | +10.9% | +17.7% |
| 2026 | +0.3% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are PIM 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 PIM and SPY?
As of 2026-08-27, the correlation of weekly returns between PIM and SPY is 0.41 over 3 years, 0.40 over 1 year and 0.49 over 5 years.
Is SPY a good diversifier for PIM?
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?
A reading of 0.41 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: PIM correlations · SPY correlations
