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JEF vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between JEF and SPY is 0.56, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.0
Correlation: 0.6

Performance

JEF vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Jefferies Financial Group Inc. (JEF) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

1,000.00%1,500.00%2,000.00%NovemberDecember2025FebruaryMarchApril
835.42%
2,152.01%
JEF
SPY

Key characteristics

Sharpe Ratio

JEF:

0.18

SPY:

0.51

Sortino Ratio

JEF:

0.51

SPY:

0.86

Omega Ratio

JEF:

1.08

SPY:

1.13

Calmar Ratio

JEF:

0.15

SPY:

0.55

Martin Ratio

JEF:

0.47

SPY:

2.26

Ulcer Index

JEF:

15.55%

SPY:

4.55%

Daily Std Dev

JEF:

41.97%

SPY:

20.08%

Max Drawdown

JEF:

-80.74%

SPY:

-55.19%

Current Drawdown

JEF:

-42.43%

SPY:

-9.89%

Returns By Period

In the year-to-date period, JEF achieves a -39.97% return, which is significantly lower than SPY's -5.76% return. Both investments have delivered pretty close results over the past 10 years, with JEF having a 11.78% annualized return and SPY not far ahead at 11.99%.


JEF

YTD

-39.97%

1M

-22.38%

6M

-26.13%

1Y

10.17%

5Y*

38.76%

10Y*

11.78%

SPY

YTD

-5.76%

1M

-3.16%

6M

-4.30%

1Y

10.76%

5Y*

15.96%

10Y*

11.99%

*Annualized

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Risk-Adjusted Performance

JEF vs. SPY — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

JEF
The Risk-Adjusted Performance Rank of JEF is 5656
Overall Rank
The Sharpe Ratio Rank of JEF is 5959
Sharpe Ratio Rank
The Sortino Ratio Rank of JEF is 5252
Sortino Ratio Rank
The Omega Ratio Rank of JEF is 5454
Omega Ratio Rank
The Calmar Ratio Rank of JEF is 5959
Calmar Ratio Rank
The Martin Ratio Rank of JEF is 5858
Martin Ratio Rank

SPY
The Risk-Adjusted Performance Rank of SPY is 6161
Overall Rank
The Sharpe Ratio Rank of SPY is 5757
Sharpe Ratio Rank
The Sortino Ratio Rank of SPY is 5858
Sortino Ratio Rank
The Omega Ratio Rank of SPY is 6161
Omega Ratio Rank
The Calmar Ratio Rank of SPY is 6464
Calmar Ratio Rank
The Martin Ratio Rank of SPY is 6363
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

JEF vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Jefferies Financial Group Inc. (JEF) and SPDR S&P 500 ETF (SPY). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


The chart of Sharpe ratio for JEF, currently valued at 0.18, compared to the broader market-2.00-1.000.001.002.003.00
JEF: 0.18
SPY: 0.51
The chart of Sortino ratio for JEF, currently valued at 0.51, compared to the broader market-6.00-4.00-2.000.002.004.00
JEF: 0.51
SPY: 0.86
The chart of Omega ratio for JEF, currently valued at 1.08, compared to the broader market0.501.001.502.00
JEF: 1.08
SPY: 1.13
The chart of Calmar ratio for JEF, currently valued at 0.15, compared to the broader market0.001.002.003.004.005.00
JEF: 0.15
SPY: 0.55
The chart of Martin ratio for JEF, currently valued at 0.47, compared to the broader market-5.000.005.0010.0015.0020.00
JEF: 0.47
SPY: 2.26

The current JEF Sharpe Ratio is 0.18, which is lower than the SPY Sharpe Ratio of 0.51. The chart below compares the historical Sharpe Ratios of JEF and SPY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.001.002.003.004.005.00NovemberDecember2025FebruaryMarchApril
0.18
0.51
JEF
SPY

Dividends

JEF vs. SPY - Dividend Comparison

JEF's dividend yield for the trailing twelve months is around 2.99%, more than SPY's 1.30% yield.


TTM20242023202220212020201920182017201620152014
JEF
Jefferies Financial Group Inc.
2.99%1.66%7.42%3.67%2.43%1.81%4.12%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.30%1.21%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%

Drawdowns

JEF vs. SPY - Drawdown Comparison

The maximum JEF drawdown since its inception was -80.74%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for JEF and SPY. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2025FebruaryMarchApril
-42.43%
-9.89%
JEF
SPY

Volatility

JEF vs. SPY - Volatility Comparison

Jefferies Financial Group Inc. (JEF) has a higher volatility of 29.07% compared to SPDR S&P 500 ETF (SPY) at 15.12%. This indicates that JEF's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%20.00%25.00%30.00%NovemberDecember2025FebruaryMarchApril
29.07%
15.12%
JEF
SPY