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 0.95 -0.8% 0.9%
Consumer Staples Select Sector SPDR XLP 0.77 0.72 2.2% 0.7%
Energy Select Sector SPDR XLE 0.81 0.75 0.53 -13.8% 1.2%
Financial Select Sector SPDR XLF 0.93 0.89 0.70 0.65 -0.1% 0.9%
Health Care Select Sector SPDR XLV 0.93 0.88 0.77 0.74 0.84 3.9% 1.0%
Industrial Select Sector SPDR XLI 0.92 0.90 0.60 0.72 0.85 0.80 -0.5% 1.0%
Materials Select Sector SPDR XLB 0.88 0.83 0.67 0.83 0.76 0.79 0.81 -4.6% 1.0%
Technology Select Sector SPDR XLK 0.94 0.86 0.64 0.69 0.87 0.84 0.86 0.79 -2.2% 0.9%
Utilities Select Sector SPDR XLU 0.49 0.45 0.56 0.41 0.42 0.44 0.43 0.34 0.40 2.5% 0.9%

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

Intra-portfolio diversification = 0.73
Portfolio return = -1.5%
Start Date = 2014-07-28
End Date = 2014-10-23

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.