SAR vs SPY: Correlation
Saratoga Investment Corp New (SAR) and SPDR S&P 500 ETF Trust (SPY) show a moderate relationship: their 3-year correlation of weekly returns is 0.34.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are SAR and SPY?
Across a 3-year window, the weekly returns of SAR and SPY correlate at 0.34, moderate. Recent behaviour matches the longer record: 0.30 over 1 year against 0.34 over 3. Stretching to 5 years gives 0.40, with an annualized covariance of 111.4 %².
By 3-year correlation, SPY places #6 of the 11 assets tracked against SAR. The last year tells two different stories: SPY led by 37.8 percentage points, -17.2% for SAR against +20.6% for SPY. Note the risk asymmetry: SAR 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.
SAR vs SPY: side by side
| SAR (Saratoga Investment Corp New) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | -17.2% | +20.6% |
| 5-year return | +15.2% | +82.4% |
| Volatility (ann.) | 22.7% | 14.5% |
| Beta vs S&P 500 | 0.53 | 1.00 |
| Max drawdown (3Y) | -24.5% | -18.8% |
| Market cap | $0.3B | – |
| P/E (trailing) | 18.7 | – |
| Dividend yield | 16.29% | 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 | SAR | SPY |
|---|---|---|
| 2022 | -3.8% | -18.2% |
| 2023 | +12.9% | +26.2% |
| 2024 | +6.1% | +24.9% |
| 2025 | +10.4% | +17.7% |
| 2026 | -13.2% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are SAR and SPY good diversifiers for each other?
A fair diversifier. At 0.34, enough of each asset's movement is its own that the pair has smoothed outcomes historically.
FAQ
What is the correlation between SAR and SPY?
The SAR/SPY correlation stands at 0.34 on a 3-year window (1 year: 0.30, 5 years: 0.40), computed from weekly returns as of 2026-08-27.
Is SPY a good diversifier for SAR?
A fair diversifier. At 0.34, enough of each asset's movement is its own that the pair has smoothed outcomes historically.
What does a correlation of 0.34 mean?
On the −1 to +1 scale, 0.34 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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Hubs: SAR correlations · SPY correlations
