SPY vs THG: Correlation
Measured on weekly returns over the past three years, SPDR S&P 500 ETF Trust (SPY) and Hanover Insurance Group Inc (THG) carry a correlation of 0.16, a weak link.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are SPY and THG?
On 3 years of weekly data the SPY/THG correlation comes out at 0.16, weak. The past 12 months show a weaker link (0.04) than the 3-year average (0.16). The 5-year figure is 0.30, and annualized covariance runs at 50.6 %².
Within SPY's tracked universe of 4755 assets, THG comes in at #3649 by 3-year correlation. On 12-month performance THG holds a 12.5-point edge, +20.6% against +33.1%. Note the risk asymmetry: THG runs 1.5 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.
SPY vs THG: side by side
| SPY (SPDR S&P 500 ETF Trust) | THG (Hanover Insurance Group Inc) | |
|---|---|---|
| 1-year return | +20.6% | +33.1% |
| 5-year return | +82.4% | +81.9% |
| Volatility (ann.) | 14.5% | 21.9% |
| Beta vs S&P 500 | 1.00 | 0.24 |
| Max drawdown (3Y) | -18.8% | -14.0% |
| Market cap | – | $7.9B |
| P/E (trailing) | – | 10.9 |
| Dividend yield | 1.01% | 1.64% |
| Expense ratio | 0.09% | – |
| Assets under management | $795.3B | – |
| Sector / category | ETF · US Large Cap | US Listed |
SPY, State Street Investment Management's Large Blend fund, carries $795.3B under management, 504 holdings, a 0.09% expense ratio, a 1.01% trailing dividend yield.
Year-by-year returns
| Year | SPY | THG |
|---|---|---|
| 2022 | -18.2% | +5.4% |
| 2023 | +26.2% | -7.6% |
| 2024 | +24.9% | +30.6% |
| 2025 | +17.7% | +20.7% |
| 2026 | +13.7% | +25.9% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are SPY and THG good diversifiers for each other?
Yes. With a correlation of 0.16, SPY and THG have moved largely independently, which makes them a genuinely diversifying pair by historical standards.
FAQ
What is the correlation between SPY and THG?
As of 2026-08-27, the correlation of weekly returns between SPY and THG is 0.16 over 3 years, 0.04 over 1 year and 0.30 over 5 years.
Is THG a good diversifier for SPY?
Yes. With a correlation of 0.16, SPY and THG have moved largely independently, which makes them a genuinely diversifying pair by historical standards.
What does a correlation of 0.16 mean?
Correlation ranges from −1 to +1. Values near +1 mean two assets move together, near 0 that they move independently, and negative values that they tend to move in opposite directions. It measures co-movement, not performance.
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Related comparisons
Hubs: SPY correlations · THG correlations
