ETJ vs SPY: Correlation
Eaton Vance Risk-Managed Diversified Equity Income Fund (ETJ) and SPDR S&P 500 ETF Trust (SPY) show a very strong relationship: their 3-year correlation of weekly returns is 0.80.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are ETJ and SPY?
On 3 years of weekly data the ETJ/SPY correlation comes out at 0.80, very strong, meaning they move nearly in lockstep. The relationship has been stable: the 1-year correlation (0.83) sits close to the 3-year figure. The 5-year figure is 0.76, and annualized covariance runs at 149.1 %².
Among the 15 assets we track against ETJ, SPY ranks #6 by 3-year correlation. Correlation aside, the last 12 months split them widely, with SPY ahead by 17.2 points (+3.4% versus +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.
ETJ vs SPY: side by side
| ETJ (Eaton Vance Risk-Managed Diversified Equity Income Fund) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | +3.4% | +20.6% |
| 5-year return | +19.5% | +82.4% |
| Volatility (ann.) | 13.0% | 14.5% |
| Beta vs S&P 500 | 0.71 | 1.00 |
| Max drawdown (3Y) | -15.4% | -18.8% |
| Market cap | $0.6B | – |
| P/E (trailing) | 11.4 | – |
| Dividend yield | 0.00% | 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 | ETJ | SPY |
|---|---|---|
| 2022 | -22.7% | -18.2% |
| 2023 | +14.2% | +26.2% |
| 2024 | +29.5% | +24.9% |
| 2025 | +3.5% | +17.7% |
| 2026 | +2.1% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are ETJ and SPY good diversifiers for each other?
Not really. At 0.80, the two trade almost as one position, and owning both buys little extra protection.
FAQ
What is the correlation between ETJ and SPY?
The ETJ/SPY correlation stands at 0.80 on a 3-year window (1 year: 0.83, 5 years: 0.76), computed from weekly returns as of 2026-08-27.
Is SPY a good diversifier for ETJ?
Not really. At 0.80, the two trade almost as one position, and owning both buys little extra protection.
What does a correlation of 0.80 mean?
A reading of 0.80 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: ETJ correlations · SPY correlations
