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 1.5% 0.8%
Consumer Discret Select Sector SPDR XLY 0.93 -1.9% 1.0%
Consumer Staples Select Sector SPDR XLP 0.85 0.77 3.4% 0.6%
Energy Select Sector SPDR XLE 0.83 0.75 0.73 7.2% 0.9%
Financial Select Sector SPDR XLF 0.93 0.87 0.78 0.74 -0.5% 1.0%
Health Care Select Sector SPDR XLV 0.89 0.79 0.71 0.67 0.80 0.3% 1.1%
Industrial Select Sector SPDR XLI 0.95 0.88 0.79 0.82 0.90 0.81 1.7% 1.0%
Materials Select Sector SPDR XLB 0.92 0.86 0.75 0.76 0.86 0.79 0.89 3.9% 1.0%
Technology Select Sector SPDR XLK 0.93 0.85 0.73 0.69 0.82 0.82 0.84 0.84 0.8% 0.9%
Utilities Select Sector SPDR XLU 0.44 0.33 0.50 0.41 0.38 0.34 0.40 0.42 0.39 9.7% 0.7%

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

Intra-portfolio diversification = 0.74
Portfolio return = 2.6%
Start Date = 2014-01-22
End Date = 2014-04-21

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.