RMT vs SPY: Correlation
How closely do Royce Micro-Cap Trust, Inc. (RMT) and SPDR S&P 500 ETF Trust (SPY) trade together? Their weekly returns over three years give a correlation of 0.76, which is strong.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are RMT and SPY?
Over the past 3 years, RMT and SPY moved with a correlation of 0.76, which is strong. Recent behaviour matches the longer record: 0.71 over 1 year against 0.76 over 3. Over 5 years the correlation is 0.80, and the annualized covariance of weekly returns is 226.8 %².
Among the 136 assets we track against RMT, SPY ranks #6 by 3-year correlation. The last year tells two different stories: RMT led by 27.8 percentage points, +48.4% for RMT 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.
RMT vs SPY: side by side
| RMT (Royce Micro-Cap Trust, Inc.) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | +48.4% | +20.6% |
| 5-year return | +80.1% | +82.4% |
| Volatility (ann.) | 20.5% | 14.5% |
| Beta vs S&P 500 | 1.09 | 1.00 |
| Max drawdown (3Y) | -26.4% | -18.8% |
| Market cap | $0.8B | – |
| P/E (trailing) | 8.5 | – |
| Dividend yield | 5.57% | 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 | RMT | SPY |
|---|---|---|
| 2022 | -16.8% | -18.2% |
| 2023 | +15.8% | +26.2% |
| 2024 | +14.0% | +24.9% |
| 2025 | +16.1% | +17.7% |
| 2026 | +39.6% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are RMT and SPY good diversifiers for each other?
Only partially. A correlation of 0.76 means RMT and SPY share most of their swings. Pairing them dampens volatility somewhat, but it will not protect against a common drawdown.
FAQ
What is the correlation between RMT and SPY?
The RMT/SPY correlation stands at 0.76 on a 3-year window (1 year: 0.71, 5 years: 0.80), computed from weekly returns as of 2026-08-27.
Is SPY a good diversifier for RMT?
Only partially. A correlation of 0.76 means RMT and SPY share most of their swings. Pairing them dampens volatility somewhat, but it will not protect against a common drawdown.
What does a correlation of 0.76 mean?
On the −1 to +1 scale, 0.76 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: RMT correlations · SPY correlations
