Did Jesus himself assert the fact that he belonged to some religion like Judaism?

It is assumed that Jesus was a Jew. I am not asking whether Jesus *was* a Jew or not (as we all know that Jesus was born in a "Jewish" household), but does Jesus explicitly call himself a Jew? Rather than his audience *thinking* he is a Jew, what exact word(s) did he use to describe the religion he followed? Moreover, as there were many Jewish sects at that time did he show affinity to some Jewish sects over the others?