JFR vs SPY: Correlation
Measured on weekly returns over the past three years, Nuveen Floating Rate Income Fund (JFR) and SPDR S&P 500 ETF Trust (SPY) carry a correlation of 0.52, a moderate link.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are JFR and SPY?
Across a 3-year window, the weekly returns of JFR and SPY correlate at 0.52, moderate. Recent behaviour matches the longer record: 0.50 over 1 year against 0.52 over 3. Stretching to 5 years gives 0.47, with an annualized covariance of 72.8 %².
Out of 13 assets tracked against JFR, SPY lands near the bottom at #9. Correlation aside, the last 12 months split them widely, with SPY ahead by 18.3 points (+2.3% versus +20.6%).
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.
JFR vs SPY: side by side
| JFR (Nuveen Floating Rate Income Fund) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | +2.3% | +20.6% |
| 5-year return | +31.7% | +82.4% |
| Volatility (ann.) | 9.7% | 14.5% |
| Beta vs S&P 500 | 0.35 | 1.00 |
| Max drawdown (3Y) | -15.3% | -18.8% |
| Market cap | – | – |
| P/E (trailing) | 22.4 | – |
| Dividend yield | 13.47% | 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 | JFR | SPY |
|---|---|---|
| 2022 | -15.1% | -18.2% |
| 2023 | +16.7% | +26.2% |
| 2024 | +21.9% | +24.9% |
| 2025 | -0.7% | +17.7% |
| 2026 | +5.6% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are JFR and SPY good diversifiers for each other?
To a limited degree. At 0.52 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 JFR and SPY?
The JFR/SPY correlation stands at 0.52 on a 3-year window (1 year: 0.50, 5 years: 0.47), computed from weekly returns as of 2026-08-27.
Is SPY a good diversifier for JFR?
To a limited degree. At 0.52 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 0.52 mean?
A reading of 0.52 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: JFR correlations · SPY correlations
