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 2.8% 0.8%
Consumer Discret Select Sector SPDR XLY 0.95 1.7% 0.9%
Consumer Staples Select Sector SPDR XLP 0.78 0.74 6.4% 0.6%
Energy Select Sector SPDR XLE 0.78 0.71 0.49 -12.1% 1.2%
Financial Select Sector SPDR XLF 0.93 0.87 0.73 0.62 5.2% 0.9%
Health Care Select Sector SPDR XLV 0.93 0.86 0.80 0.68 0.84 9.4% 1.0%
Industrial Select Sector SPDR XLI 0.92 0.90 0.59 0.72 0.85 0.79 5.2% 1.0%
Materials Select Sector SPDR XLB 0.85 0.78 0.63 0.80 0.72 0.75 0.78 -3.6% 1.0%
Technology Select Sector SPDR XLK 0.93 0.85 0.65 0.66 0.87 0.82 0.86 0.75 2.2% 0.9%
Utilities Select Sector SPDR XLU 0.51 0.48 0.51 0.40 0.43 0.48 0.41 0.35 0.41 10.4% 0.9%

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

Intra-portfolio diversification = 0.71
Portfolio return = 2.8%
Start Date = 2014-08-04
End Date = 2014-10-30

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.