GJT vs SPY: Correlation
How closely do Synthetic Fixed-Income Securities, Inc. Floating Rate (GJT) and SPDR S&P 500 ETF Trust (SPY) trade together? Their weekly returns over three years give a correlation of -0.03, which is near-zero.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are GJT and SPY?
Across a 3-year window, the weekly returns of GJT and SPY correlate at -0.03, near zero, meaning they move largely independently. The past 12 months show a tighter link (0.15) than the 3-year average (-0.03). Stretching to 5 years gives -0.02, with an annualized covariance of -3.5 %².
Within GJT's tracked universe of 20 assets, SPY comes in at #6 by 3-year correlation. Over the last 12 months SPY came out ahead by 12.0 percentage points (+8.6% against +20.6%). One caveat on sizing: SPY is 2.0 times as volatile as the other leg, so an equal-dollar split is far from equal-risk.
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 SPY: side by side
| GJT (Synthetic Fixed-Income Securities, Inc. Floating Rate) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | +8.6% | +20.6% |
| 5-year return | +44.3% | +82.4% |
| Volatility (ann.) | 7.3% | 14.5% |
| Beta vs S&P 500 | -0.02 | 1.00 |
| Max drawdown (3Y) | -5.3% | -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 | GJT | SPY |
|---|---|---|
| 2022 | +4.5% | -18.2% |
| 2023 | +13.6% | +26.2% |
| 2024 | +10.6% | +24.9% |
| 2025 | +6.2% | +17.7% |
| 2026 | +3.5% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are GJT and SPY good diversifiers for each other?
Yes. With a correlation of -0.03, GJT and SPY have moved largely independently, which makes them a genuinely diversifying pair by historical standards.
FAQ
What is the correlation between GJT and SPY?
Using weekly returns as of 2026-08-27: -0.03 over 3 years, with 0.15 over the last year and -0.02 over 5 years.
Is SPY a good diversifier for GJT?
Yes. With a correlation of -0.03, GJT and SPY have moved largely independently, which makes them a genuinely diversifying pair by historical standards.
What does a correlation of -0.03 mean?
On the −1 to +1 scale, -0.03 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: GJT correlations · SPY correlations
