NFJ vs SPY: Correlation
How closely do Virtus Dividend, Interest & Premium Strategy Fund (NFJ) and SPDR S&P 500 ETF Trust (SPY) trade together? Their weekly returns over three years give a correlation of 0.76, which is strong.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are NFJ and SPY?
On 3 years of weekly data the NFJ/SPY correlation comes out at 0.76, strong. The relationship has been stable: the 1-year correlation (0.72) sits close to the 3-year figure. The 5-year figure is 0.85, and annualized covariance runs at 151.9 %².
Within NFJ's tracked universe of 34 assets, SPY comes in at #8 by 3-year correlation. Over the last 12 months NFJ came out ahead by 10.4 percentage points (+31.0% 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.
NFJ vs SPY: side by side
| NFJ (Virtus Dividend, Interest & Premium Strategy Fund) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | +31.0% | +20.6% |
| 5-year return | +50.8% | +82.4% |
| Volatility (ann.) | 13.8% | 14.5% |
| Beta vs S&P 500 | 0.73 | 1.00 |
| Max drawdown (3Y) | -17.0% | -18.8% |
| Market cap | $1.5B | – |
| P/E (trailing) | 9.8 | – |
| Dividend yield | 7.83% | 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 | NFJ | SPY |
|---|---|---|
| 2022 | -23.9% | -18.2% |
| 2023 | +21.3% | +26.2% |
| 2024 | +10.0% | +24.9% |
| 2025 | +12.4% | +17.7% |
| 2026 | +26.1% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are NFJ and SPY good diversifiers for each other?
Only partially. A correlation of 0.76 means NFJ and SPY share most of their swings. Pairing them dampens volatility somewhat, but it will not protect against a common drawdown.
FAQ
What is the correlation between NFJ and SPY?
The NFJ/SPY correlation stands at 0.76 on a 3-year window (1 year: 0.72, 5 years: 0.85), computed from weekly returns as of 2026-08-27.
Is SPY a good diversifier for NFJ?
Only partially. A correlation of 0.76 means NFJ and SPY share most of their swings. Pairing them dampens volatility somewhat, but it will not protect against a common drawdown.
What does a correlation of 0.76 mean?
Correlation ranges from −1 to +1. Values near +1 mean two assets move together, near 0 that they move independently, and negative values that they tend to move in opposite directions. It measures co-movement, not performance.
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Related comparisons
Hubs: NFJ correlations · SPY correlations
