SOR vs SPY: Correlation
How closely do Source Capital, Inc. Cmn Shs of BI (SOR) and SPDR S&P 500 ETF Trust (SPY) trade together? Their weekly returns over three years give a correlation of 0.51, which is moderate.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are SOR and SPY?
On 3 years of weekly data the SOR/SPY correlation comes out at 0.51, moderate. Recent behaviour matches the longer record: 0.48 over 1 year against 0.51 over 3. The 5-year figure is 0.64, and annualized covariance runs at 76.8 %².
Among the 11 assets we track against SOR, SPY ranks #6 by 3-year correlation. On 12-month performance SPY holds a 9.4-point edge, +11.2% against +20.6%.
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.
SOR vs SPY: side by side
| SOR (Source Capital, Inc. Cmn Shs of BI) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | +11.2% | +20.6% |
| 5-year return | +53.7% | +82.4% |
| Volatility (ann.) | 10.5% | 14.5% |
| Beta vs S&P 500 | 0.37 | 1.00 |
| Max drawdown (3Y) | -9.2% | -18.8% |
| Market cap | – | – |
| P/E (trailing) | 6.4 | – |
| Dividend yield | 5.36% | 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 | SOR | SPY |
|---|---|---|
| 2022 | -5.2% | -18.2% |
| 2023 | +12.6% | +26.2% |
| 2024 | +21.3% | +24.9% |
| 2025 | +11.5% | +17.7% |
| 2026 | +5.4% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are SOR and SPY good diversifiers for each other?
Only partially. A correlation of 0.51 means SOR 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 SOR and SPY?
Using weekly returns as of 2026-08-27: 0.51 over 3 years, with 0.48 over the last year and 0.64 over 5 years.
Is SPY a good diversifier for SOR?
Only partially. A correlation of 0.51 means SOR 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 0.51 mean?
On the −1 to +1 scale, 0.51 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: SOR correlations · SPY correlations
