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 3.5% 0.8%
Consumer Discret Select Sector SPDR XLY 0.92 2.9% 0.9%
Consumer Staples Select Sector SPDR XLP 0.74 0.66 7.8% 0.6%
Energy Select Sector SPDR XLE 0.73 0.67 0.37 -12.5% 1.4%
Financial Select Sector SPDR XLF 0.93 0.85 0.73 0.56 4.0% 0.8%
Health Care Select Sector SPDR XLV 0.89 0.78 0.76 0.52 0.82 8.4% 1.0%
Industrial Select Sector SPDR XLI 0.93 0.86 0.57 0.71 0.88 0.78 5.9% 1.0%
Materials Select Sector SPDR XLB 0.84 0.77 0.55 0.79 0.69 0.68 0.79 -0.1% 1.0%
Technology Select Sector SPDR XLK 0.91 0.82 0.60 0.57 0.86 0.75 0.84 0.72 5.0% 0.9%
Utilities Select Sector SPDR XLU 0.45 0.32 0.57 0.31 0.44 0.41 0.32 0.31 0.31 6.1% 0.9%

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

Intra-portfolio diversification = 0.67
Portfolio return = 3.1%
Start Date = 2014-09-02
End Date = 2014-11-26

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.