EWJ vs JOF: Correlation
iShares MSCI Japan ETF (EWJ) and Japan Smaller Capitalization Fund Inc (JOF) show a very strong relationship: their 3-year correlation of weekly returns is 0.83.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are EWJ and JOF?
Over the past 3 years, EWJ and JOF moved with a correlation of 0.83, which is very strong, meaning they move nearly in lockstep. Little has changed lately, as the 1-year reading of 0.83 lands near the 3-year figure. Over 5 years the correlation is 0.82, and the annualized covariance of weekly returns is 303.5 %².
Among the 70 assets we track against EWJ, JOF ranks #4 by 3-year correlation. On 12-month performance JOF holds a 5.9-point edge, +27.1% against +33.0%.
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.
EWJ vs JOF: side by side
| EWJ (iShares MSCI Japan ETF) | JOF (Japan Smaller Capitalization Fund Inc) | |
|---|---|---|
| 1-year return | +27.1% | +33.0% |
| 5-year return | +58.6% | +81.0% |
| Volatility (ann.) | 19.6% | 18.6% |
| Beta vs S&P 500 | 0.94 | 0.74 |
| Max drawdown (3Y) | -14.7% | -17.2% |
| Market cap | – | – |
| P/E (trailing) | – | 2.5 |
| Dividend yield | 3.86% | 5.67% |
| Expense ratio | 0.49% | – |
| Assets under management | $21.8B | – |
| Sector / category | ETF · International | US Listed |
On the fund side, EWJ sits in the Japan Stock category at iShares, with $21.8B under management, 168 holdings, a 0.49% expense ratio, a 3.86% trailing dividend yield.
Year-by-year returns
| Year | EWJ | JOF |
|---|---|---|
| 2022 | -17.7% | -17.1% |
| 2023 | +20.3% | +21.4% |
| 2024 | +7.0% | +5.3% |
| 2025 | +25.8% | +52.1% |
| 2026 | +19.3% | +20.9% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are EWJ and JOF good diversifiers for each other?
No. With a correlation of 0.83, EWJ and JOF move nearly in lockstep, so holding both adds very little diversification.
FAQ
What is the correlation between EWJ and JOF?
The EWJ/JOF correlation stands at 0.83 on a 3-year window (1 year: 0.83, 5 years: 0.82), computed from weekly returns as of 2026-08-27.
Is JOF a good diversifier for EWJ?
No. With a correlation of 0.83, EWJ and JOF move nearly in lockstep, so holding both adds very little diversification.
What does a correlation of 0.83 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: EWJ correlations · JOF correlations
