EOS vs SPY: Correlation
Eaton Vance Enhance Equity Income Fund II (EOS) and SPDR S&P 500 ETF Trust (SPY) show a very strong relationship: their 3-year correlation of weekly returns is 0.88.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are EOS and SPY?
Across a 3-year window, the weekly returns of EOS and SPY correlate at 0.88, very strong, meaning they move nearly in lockstep. The relationship has been stable: the 1-year correlation (0.87) sits close to the 3-year figure. Stretching to 5 years gives 0.90, with an annualized covariance of 245.0 %².
Among the 34 assets we track against EOS, SPY ranks #6 by 3-year correlation. The last year tells two different stories: SPY led by 22.5 percentage points, -1.9% for EOS 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.
EOS vs SPY: side by side
| EOS (Eaton Vance Enhance Equity Income Fund II) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | -1.9% | +20.6% |
| 5-year return | +30.9% | +82.4% |
| Volatility (ann.) | 19.2% | 14.5% |
| Beta vs S&P 500 | 1.17 | 1.00 |
| Max drawdown (3Y) | -24.3% | -18.8% |
| Market cap | $1.2B | – |
| P/E (trailing) | 7.2 | – |
| Dividend yield | 8.51% | 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 | EOS | SPY |
|---|---|---|
| 2022 | -26.5% | -18.2% |
| 2023 | +22.6% | +26.2% |
| 2024 | +38.7% | +24.9% |
| 2025 | +5.8% | +17.7% |
| 2026 | -2.2% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are EOS and SPY good diversifiers for each other?
No: a correlation of 0.88 means EOS and SPY tend to fall together, which is precisely when diversification is supposed to help.
FAQ
What is the correlation between EOS and SPY?
The EOS/SPY correlation stands at 0.88 on a 3-year window (1 year: 0.87, 5 years: 0.90), computed from weekly returns as of 2026-08-27.
Is SPY a good diversifier for EOS?
No: a correlation of 0.88 means EOS and SPY tend to fall together, which is precisely when diversification is supposed to help.
What does a correlation of 0.88 mean?
A reading of 0.88 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: EOS correlations · SPY correlations
