EFR vs SPY: Correlation
Eaton Vance Senior Floating-Rate Fund (EFR) and SPDR S&P 500 ETF Trust (SPY) show a strong relationship: their 3-year correlation of weekly returns is 0.61.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are EFR and SPY?
Over the past 3 years, EFR and SPY moved with a correlation of 0.61, which is strong. Little has changed lately, as the 1-year reading of 0.53 lands near the 3-year figure. Over 5 years the correlation is 0.46, and the annualized covariance of weekly returns is 94.7 %².
By 3-year correlation, SPY places #10 of the 16 assets tracked against EFR. Their recent paths diverged sharply: over the last 12 months SPY outperformed by 22.9 percentage points (-2.3% for EFR against +20.6% for SPY).
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.
EFR vs SPY: side by side
| EFR (Eaton Vance Senior Floating-Rate Fund) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | -2.3% | +20.6% |
| 5-year return | +16.8% | +82.4% |
| Volatility (ann.) | 10.7% | 14.5% |
| Beta vs S&P 500 | 0.45 | 1.00 |
| Max drawdown (3Y) | -18.3% | -18.8% |
| Market cap | $0.3B | – |
| P/E (trailing) | 20.6 | – |
| Dividend yield | 9.21% | 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 | EFR | SPY |
|---|---|---|
| 2022 | -18.8% | -18.2% |
| 2023 | +29.2% | +26.2% |
| 2024 | +11.3% | +24.9% |
| 2025 | -4.9% | +17.7% |
| 2026 | -0.4% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are EFR and SPY good diversifiers for each other?
Somewhat, no more. With 0.61 correlation, most large moves hit both names, and the diversification benefit stays modest.
FAQ
What is the correlation between EFR and SPY?
As of 2026-08-27, the correlation of weekly returns between EFR and SPY is 0.61 over 3 years, 0.53 over 1 year and 0.46 over 5 years.
Is SPY a good diversifier for EFR?
Somewhat, no more. With 0.61 correlation, most large moves hit both names, and the diversification benefit stays modest.
What does a correlation of 0.61 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: EFR correlations · SPY correlations
