JEF vs SPY: Correlation
Measured on weekly returns over the past three years, Jefferies Financial Group Inc. (JEF) and SPDR S&P 500 ETF Trust (SPY) carry a correlation of 0.58, a moderate link.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are JEF and SPY?
On 3 years of weekly data the JEF/SPY correlation comes out at 0.58, moderate. Little has changed lately, as the 1-year reading of 0.49 lands near the 3-year figure. The 5-year figure is 0.64, and annualized covariance runs at 328.7 %².
Within JEF's tracked universe of 16 assets, SPY comes in at #9 by 3-year correlation. Their recent paths diverged sharply: over the last 12 months SPY outperformed by 36.5 percentage points (-15.9% for JEF against +20.6% for SPY). One caveat on sizing: JEF is 2.7 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.
JEF vs SPY: side by side
| JEF (Jefferies Financial Group Inc.) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | -15.9% | +20.6% |
| 5-year return | +73.8% | +82.4% |
| Volatility (ann.) | 39.3% | 14.5% |
| Beta vs S&P 500 | 1.57 | 1.00 |
| Max drawdown (3Y) | -54.4% | -18.8% |
| Market cap | $10.7B | – |
| P/E (trailing) | 14.8 | – |
| Dividend yield | 0.00% | 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 | JEF | SPY |
|---|---|---|
| 2022 | -8.5% | -18.2% |
| 2023 | +27.7% | +26.2% |
| 2024 | +98.8% | +24.9% |
| 2025 | -18.8% | +17.7% |
| 2026 | -12.8% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are JEF and SPY good diversifiers for each other?
To a limited degree. At 0.58 the two still catch most of the same waves, so the pair smooths returns a little without insulating either from a shared selloff.
FAQ
What is the correlation between JEF and SPY?
Using weekly returns as of 2026-08-27: 0.58 over 3 years, with 0.49 over the last year and 0.64 over 5 years.
Is SPY a good diversifier for JEF?
To a limited degree. At 0.58 the two still catch most of the same waves, so the pair smooths returns a little without insulating either from a shared selloff.
What does a correlation of 0.58 mean?
On the −1 to +1 scale, 0.58 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: JEF correlations · SPY correlations
