SIGI vs SPY: Correlation
Measured on weekly returns over the past three years, Selective Insurance Group, Inc. (SIGI) and SPDR S&P 500 ETF Trust (SPY) carry a correlation of 0.18, a weak link.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are SIGI and SPY?
Over the past 3 years, SIGI and SPY moved with a correlation of 0.18, which is weak. Recent behaviour matches the longer record: 0.17 over 1 year against 0.18 over 3. Over 5 years the correlation is 0.28, and the annualized covariance of weekly returns is 66.5 %².
Within SIGI's tracked universe of 16 assets, SPY comes in at #9 by 3-year correlation. Their 12-month results are close: +19.1% for SIGI against +20.6% for SPY. Note the risk asymmetry: SIGI runs 1.8 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.
SIGI vs SPY: side by side
| SIGI (Selective Insurance Group, Inc.) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | +19.1% | +20.6% |
| 5-year return | +18.8% | +82.4% |
| Volatility (ann.) | 25.4% | 14.5% |
| Beta vs S&P 500 | 0.32 | 1.00 |
| Max drawdown (3Y) | -30.5% | -18.8% |
| Market cap | $5.5B | – |
| P/E (trailing) | 11.5 | – |
| Dividend yield | 1.81% | 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 | SIGI | SPY |
|---|---|---|
| 2022 | +9.7% | -18.2% |
| 2023 | +13.7% | +26.2% |
| 2024 | -4.6% | +24.9% |
| 2025 | -8.8% | +17.7% |
| 2026 | +11.9% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are SIGI and SPY good diversifiers for each other?
Yes: at 0.18, the two have gone their own ways historically, which is what genuine diversification looks like.
FAQ
What is the correlation between SIGI and SPY?
Using weekly returns as of 2026-08-27: 0.18 over 3 years, with 0.17 over the last year and 0.28 over 5 years.
Is SPY a good diversifier for SIGI?
Yes: at 0.18, the two have gone their own ways historically, which is what genuine diversification looks like.
What does a correlation of 0.18 mean?
A reading of 0.18 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: SIGI correlations · SPY correlations
