Sector Correlation Matrix

The following table shows return correlations for the 9 S&P sectors for the past three months.

SPY XLY XLP XLE XLF XLV XLI XLB XLK Return1 StdDev2
SPDR S&P 500 SPY 3.0% 0.7%
Consumer Discret Select Sector SPDR XLY 0.90 8.9% 0.8%
Consumer Staples Select Sector SPDR XLP 0.86 0.79 -0.9% 0.7%
Energy Select Sector SPDR XLE 0.56 0.39 0.39 5.4% 1.3%
Financial Select Sector SPDR XLF 0.89 0.83 0.77 0.50 1.6% 0.8%
Health Care Select Sector SPDR XLV 0.85 0.72 0.74 0.37 0.70 4.3% 0.9%
Industrial Select Sector SPDR XLI 0.95 0.83 0.79 0.50 0.83 0.81 0.5% 0.9%
Materials Select Sector SPDR XLB 0.84 0.76 0.66 0.67 0.76 0.62 0.78 3.7% 0.9%
Technology Select Sector SPDR XLK 0.89 0.78 0.70 0.33 0.73 0.71 0.83 0.72 4.5% 0.9%
Utilities Select Sector SPDR XLU 0.56 0.46 0.62 0.30 0.37 0.54 0.51 0.47 0.44 -8.1% 1.2%

Select Period: 1 Mo | 3 Mo | 6 Mo | 1 Yr | 2 Yr | 5 Yr | 10 Yr

Intra-portfolio diversification = 0.67
Portfolio return = 2.3%
Start Date = 2015-01-26
End Date = 2015-04-24

Each cell represents the correlation between the two corresponding assets.

Cell Color Description Diversification Benefit
-0.65 Asset pair with negative correlation Excellent Diversification
-0.15 Asset pair with slight negative correlation Good Diversification
0.2 Asset pair with mild positive correlation Moderate Diversification
0.8 Asset pair with strong positive correlation Poor Diversification

Notes

1 Returns for periods greater than a year are annualized.
2 Standard deviations are for daily returns.