PNI vs SPY: Correlation
How closely do Pimco New York Municipal Income Fund II (PNI) and SPDR S&P 500 ETF Trust (SPY) trade together? Their weekly returns over three years give a correlation of 0.32, which is moderate.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are PNI and SPY?
Over the past 3 years, PNI and SPY moved with a correlation of 0.32, which is moderate. Lately the two have moved closer together, with the 1-year correlation at 0.61 versus 0.32 over 3 years. Over 5 years the correlation is 0.38, and the annualized covariance of weekly returns is 57.8 %².
Out of 18 assets tracked against PNI, SPY lands near the bottom at #14. The trailing year gives SPY the advantage: +9.3% versus +20.6%, a 11.3-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.
PNI vs SPY: side by side
| PNI (Pimco New York Municipal Income Fund II) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | +9.3% | +20.6% |
| 5-year return | -26.1% | +82.4% |
| Volatility (ann.) | 12.4% | 14.5% |
| Beta vs S&P 500 | 0.28 | 1.00 |
| Max drawdown (3Y) | -16.4% | -18.8% |
| Market cap | – | – |
| P/E (trailing) | – | – |
| Dividend yield | 5.18% | 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 | PNI | SPY |
|---|---|---|
| 2022 | -26.5% | -18.2% |
| 2023 | +0.2% | +26.2% |
| 2024 | -1.0% | +24.9% |
| 2025 | +1.4% | +17.7% |
| 2026 | +2.4% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are PNI and SPY good diversifiers for each other?
Yes, to a useful degree: a correlation of 0.32 leaves real independence between the two, which historically damped combined volatility.
FAQ
What is the correlation between PNI and SPY?
Using weekly returns as of 2026-08-27: 0.32 over 3 years, with 0.61 over the last year and 0.38 over 5 years.
Is SPY a good diversifier for PNI?
Yes, to a useful degree: a correlation of 0.32 leaves real independence between the two, which historically damped combined volatility.
What does a correlation of 0.32 mean?
On the −1 to +1 scale, 0.32 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: PNI correlations · SPY correlations
