JOF vs SPY: Correlation
Japan Smaller Capitalization Fund Inc (JOF) and SPDR S&P 500 ETF Trust (SPY) show a moderate relationship: their 3-year correlation of weekly returns is 0.57.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are JOF and SPY?
Across a 3-year window, the weekly returns of JOF and SPY correlate at 0.57, moderate. Recent behaviour matches the longer record: 0.61 over 1 year against 0.57 over 3. Stretching to 5 years gives 0.54, with an annualized covariance of 154.1 %².
By 3-year correlation, SPY places #6 of the 15 assets tracked against JOF. Over the last 12 months JOF came out ahead by 12.4 percentage points (+33.0% against +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.
JOF vs SPY: side by side
| JOF (Japan Smaller Capitalization Fund Inc) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | +33.0% | +20.6% |
| 5-year return | +81.0% | +82.4% |
| Volatility (ann.) | 18.6% | 14.5% |
| Beta vs S&P 500 | 0.74 | 1.00 |
| Max drawdown (3Y) | -17.2% | -18.8% |
| Market cap | – | – |
| P/E (trailing) | 2.5 | – |
| Dividend yield | 5.67% | 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 | JOF | SPY |
|---|---|---|
| 2022 | -17.1% | -18.2% |
| 2023 | +21.4% | +26.2% |
| 2024 | +5.3% | +24.9% |
| 2025 | +52.1% | +17.7% |
| 2026 | +20.9% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are JOF and SPY good diversifiers for each other?
Somewhat, no more. With 0.57 correlation, most large moves hit both names, and the diversification benefit stays modest.
FAQ
What is the correlation between JOF and SPY?
As of 2026-08-27, the correlation of weekly returns between JOF and SPY is 0.57 over 3 years, 0.61 over 1 year and 0.54 over 5 years.
Is SPY a good diversifier for JOF?
Somewhat, no more. With 0.57 correlation, most large moves hit both names, and the diversification benefit stays modest.
What does a correlation of 0.57 mean?
A reading of 0.57 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: JOF correlations · SPY correlations
