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 4.6% 0.5%
Consumer Discret Select Sector SPDR XLY 0.91 5.7% 0.6%
Consumer Staples Select Sector SPDR XLP 0.73 0.64 1.6% 0.6%
Energy Select Sector SPDR XLE 0.74 0.58 0.47 3.2% 0.8%
Financial Select Sector SPDR XLF 0.89 0.82 0.54 0.58 4.1% 0.6%
Health Care Select Sector SPDR XLV 0.82 0.75 0.61 0.52 0.66 6.6% 0.7%
Industrial Select Sector SPDR XLI 0.88 0.79 0.61 0.57 0.82 0.62 1.1% 0.7%
Materials Select Sector SPDR XLB 0.82 0.72 0.65 0.69 0.70 0.66 0.71 4.6% 0.6%
Technology Select Sector SPDR XLK 0.93 0.84 0.62 0.64 0.81 0.71 0.82 0.71 7.8% 0.6%
Utilities Select Sector SPDR XLU 0.34 0.23 0.36 0.28 0.20 0.19 0.26 0.26 0.25 1.3% 0.9%

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

Intra-portfolio diversification = 0.62
Portfolio return = 4.1%
Start Date = 2014-05-22
End Date = 2014-08-19

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.