ETY vs SPY: Correlation
Eaton Vance Tax-Managed Diversified Equity Income Fund (ETY) and SPDR S&P 500 ETF Trust (SPY) show a very strong relationship: their 3-year correlation of weekly returns is 0.91.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are ETY and SPY?
On 3 years of weekly data the ETY/SPY correlation comes out at 0.91, very strong, meaning they move nearly in lockstep. Recent behaviour matches the longer record: 0.88 over 1 year against 0.91 over 3. The 5-year figure is 0.89, and annualized covariance runs at 201.6 %².
Few assets follow ETY as closely as SPY, which ranks #2 of 34 tracked partners. Their recent paths diverged sharply: over the last 12 months SPY outperformed by 21.0 percentage points (-0.4% for ETY 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.
ETY vs SPY: side by side
| ETY (Eaton Vance Tax-Managed Diversified Equity Income Fund) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | -0.4% | +20.6% |
| 5-year return | +51.2% | +82.4% |
| Volatility (ann.) | 15.4% | 14.5% |
| Beta vs S&P 500 | 0.97 | 1.00 |
| Max drawdown (3Y) | -21.3% | -18.8% |
| Market cap | – | – |
| P/E (trailing) | 5.2 | – |
| Dividend yield | 8.24% | 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 | ETY | SPY |
|---|---|---|
| 2022 | -21.2% | -18.2% |
| 2023 | +21.9% | +26.2% |
| 2024 | +33.1% | +24.9% |
| 2025 | +11.0% | +17.7% |
| 2026 | +0.2% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are ETY and SPY good diversifiers for each other?
No. With a correlation of 0.91, ETY and SPY move nearly in lockstep, so holding both adds very little diversification.
FAQ
What is the correlation between ETY and SPY?
Using weekly returns as of 2026-08-27: 0.91 over 3 years, with 0.88 over the last year and 0.89 over 5 years.
Is SPY a good diversifier for ETY?
No. With a correlation of 0.91, ETY and SPY move nearly in lockstep, so holding both adds very little diversification.
What does a correlation of 0.91 mean?
On the −1 to +1 scale, 0.91 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: ETY correlations · SPY correlations
