GJT vs ICFI: Correlation
Measured on weekly returns over the past three years, Synthetic Fixed-Income Securities, Inc. Floating Rate (GJT) and ICF International, Inc. (ICFI) carry a correlation of 0.25, a weak link.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are GJT and ICFI?
On 3 years of weekly data the GJT/ICFI correlation comes out at 0.25, weak. The relationship has been stable: the 1-year correlation (0.29) sits close to the 3-year figure. The 5-year figure is 0.15, and annualized covariance runs at 69.0 %².
Few assets follow GJT as closely as ICFI, which ranks #3 of 20 tracked partners. The last year tells two different stories: GJT led by 18.0 percentage points, +8.6% for GJT against -9.4% for ICFI. Note the risk asymmetry: ICFI runs 5.2 times the annualized volatility of the other leg, so equal-weighting the two is not an equal-risk position.
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.
GJT vs ICFI: side by side
| GJT (Synthetic Fixed-Income Securities, Inc. Floating Rate) | ICFI (ICF International, Inc.) | |
|---|---|---|
| 1-year return | +8.6% | -9.4% |
| 5-year return | +44.3% | -2.1% |
| Volatility (ann.) | 7.3% | 37.8% |
| Beta vs S&P 500 | -0.02 | 0.60 |
| Max drawdown (3Y) | -5.3% | -65.6% |
| Market cap | – | $1.6B |
| P/E (trailing) | – | 18.4 |
| Dividend yield | – | 0.63% |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | GJT | ICFI |
|---|---|---|
| 2022 | +4.5% | -2.9% |
| 2023 | +13.6% | +36.0% |
| 2024 | +10.6% | -10.8% |
| 2025 | +6.2% | -28.0% |
| 2026 | +3.5% | +5.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are GJT and ICFI good diversifiers for each other?
A fair diversifier. At 0.25, enough of each asset's movement is its own that the pair has smoothed outcomes historically.
FAQ
What is the correlation between GJT and ICFI?
As of 2026-08-27, the correlation of weekly returns between GJT and ICFI is 0.25 over 3 years, 0.29 over 1 year and 0.15 over 5 years.
Is ICFI a good diversifier for GJT?
A fair diversifier. At 0.25, enough of each asset's movement is its own that the pair has smoothed outcomes historically.
What does a correlation of 0.25 mean?
A reading of 0.25 sits on a scale from −1 (opposite moves) through 0 (unrelated) to +1 (identical moves). Correlation captures direction, not magnitude or performance.
Use this data
$ curl https://www.pairbook.io/api/v1/pairs/gjt-vs-icfi.json
Embed this badge (it refreshes with the data), with attribution:
[](https://www.pairbook.io/pair/gjt-vs-icfi/)
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Related comparisons
Hubs: GJT correlations · ICFI correlations
