GJO vs SPY: Correlation
How closely do Synthetic Fixed-Income Securities, Inc. on behalf of (GJO) and SPDR S&P 500 ETF Trust (SPY) trade together? Their weekly returns over three years give a correlation of 0.05, which is near-zero.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are GJO and SPY?
Over the past 3 years, GJO and SPY moved with a correlation of 0.05, which is near zero, meaning they move largely independently. The relationship has been stable: the 1-year correlation (0.08) sits close to the 3-year figure. Over 5 years the correlation is 0.08, and the annualized covariance of weekly returns is 4.6 %².
Within GJO's tracked universe of 16 assets, SPY comes in at #7 by 3-year correlation. The last year tells two different stories: SPY led by 18.0 percentage points, +2.6% for GJO against +20.6% for SPY. Risk is not evenly split, since SPY carries 2.1 times the volatility of the other side.
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.
GJO vs SPY: side by side
| GJO (Synthetic Fixed-Income Securities, Inc. on behalf of) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | +2.6% | +20.6% |
| 5-year return | +27.3% | +82.4% |
| Volatility (ann.) | 6.9% | 14.5% |
| Beta vs S&P 500 | 0.02 | 1.00 |
| Max drawdown (3Y) | -3.2% | -18.8% |
| Dividend yield | – | 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 | GJO | SPY |
|---|---|---|
| 2022 | +1.6% | -18.2% |
| 2023 | +10.3% | +26.2% |
| 2024 | +5.2% | +24.9% |
| 2025 | +5.6% | +17.7% |
| 2026 | +1.4% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are GJO and SPY good diversifiers for each other?
Yes: at 0.05, the two have gone their own ways historically, which is what genuine diversification looks like.
FAQ
What is the correlation between GJO and SPY?
The GJO/SPY correlation stands at 0.05 on a 3-year window (1 year: 0.08, 5 years: 0.08), computed from weekly returns as of 2026-08-27.
Is SPY a good diversifier for GJO?
Yes: at 0.05, the two have gone their own ways historically, which is what genuine diversification looks like.
What does a correlation of 0.05 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: GJO correlations · SPY correlations
