GJR vs SPY: Correlation
How closely do Synthetic Fixed-Income Securities, Inc. STRATS Trust for (GJR) and SPDR S&P 500 ETF Trust (SPY) trade together? Their weekly returns over three years give a correlation of 0.02, which is near-zero.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are GJR and SPY?
Across a 3-year window, the weekly returns of GJR and SPY correlate at 0.02, near zero, meaning they move largely independently. The past 12 months show a weaker link (-0.13) than the 3-year average (0.02). Stretching to 5 years gives -0.04, with an annualized covariance of 2.0 %².
By 3-year correlation, SPY places #6 of the 14 assets tracked against GJR. Correlation aside, the last 12 months split them widely, with SPY ahead by 17.7 points (+2.9% versus +20.6%). Risk is not evenly split, since SPY carries 1.8 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.
GJR vs SPY: side by side
| GJR (Synthetic Fixed-Income Securities, Inc. STRATS Trust for) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | +2.9% | +20.6% |
| 5-year return | +39.3% | +82.4% |
| Volatility (ann.) | 8.1% | 14.5% |
| Beta vs S&P 500 | 0.01 | 1.00 |
| Max drawdown (3Y) | -4.4% | -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 | GJR | SPY |
|---|---|---|
| 2022 | +9.2% | -18.2% |
| 2023 | +11.4% | +26.2% |
| 2024 | +3.9% | +24.9% |
| 2025 | +4.6% | +17.7% |
| 2026 | +2.5% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are GJR and SPY good diversifiers for each other?
Yes: at 0.02, the two have gone their own ways historically, which is what genuine diversification looks like.
FAQ
What is the correlation between GJR and SPY?
Using weekly returns as of 2026-08-27: 0.02 over 3 years, with -0.13 over the last year and -0.04 over 5 years.
Is SPY a good diversifier for GJR?
Yes: at 0.02, the two have gone their own ways historically, which is what genuine diversification looks like.
What does a correlation of 0.02 mean?
A reading of 0.02 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: GJR correlations · SPY correlations
