EFC vs SPY: Correlation
How closely do Ellington Financial Inc. (EFC) and SPDR S&P 500 ETF Trust (SPY) trade together? Their weekly returns over three years give a correlation of 0.42, which is moderate.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are EFC and SPY?
Across a 3-year window, the weekly returns of EFC and SPY correlate at 0.42, moderate. Little has changed lately, as the 1-year reading of 0.34 lands near the 3-year figure. Stretching to 5 years gives 0.57, with an annualized covariance of 113.3 %².
Among the 13 assets we track against EFC, SPY ranks #8 by 3-year correlation. Over the last 12 months SPY came out ahead by 9.9 percentage points (+10.7% 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.
EFC vs SPY: side by side
| EFC (Ellington Financial Inc.) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | +10.7% | +20.6% |
| 5-year return | +35.9% | +82.4% |
| Volatility (ann.) | 18.8% | 14.5% |
| Beta vs S&P 500 | 0.54 | 1.00 |
| Max drawdown (3Y) | -18.9% | -18.8% |
| Market cap | $1.8B | – |
| P/E (trailing) | 8.4 | – |
| Dividend yield | 11.59% | 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 | EFC | SPY |
|---|---|---|
| 2022 | -18.3% | -18.2% |
| 2023 | +18.2% | +26.2% |
| 2024 | +8.7% | +24.9% |
| 2025 | +26.1% | +17.7% |
| 2026 | +7.2% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are EFC and SPY good diversifiers for each other?
Reasonably. At 0.42, EFC and SPY keep a meaningful degree of independence, and combining them has historically reduced portfolio volatility.
FAQ
What is the correlation between EFC and SPY?
The EFC/SPY correlation stands at 0.42 on a 3-year window (1 year: 0.34, 5 years: 0.57), computed from weekly returns as of 2026-08-27.
Is SPY a good diversifier for EFC?
Reasonably. At 0.42, EFC and SPY keep a meaningful degree of independence, and combining them has historically reduced portfolio volatility.
What does a correlation of 0.42 mean?
On the −1 to +1 scale, 0.42 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: EFC correlations · SPY correlations
