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										8.9%	0.7%
Consumer Discret Select Sector SPDR	XLY	0.92									13.5%	0.8%
Consumer Staples Select Sector SPDR	XLP	0.77	0.76								8.0%	0.7%
Energy Select Sector SPDR	XLE	0.83	0.69	0.43							5.4%	1.1%
Financial Select Sector SPDR	XLF	0.94	0.86	0.69	0.77						11.1%	0.9%
Health Care Select Sector SPDR	XLV	0.77	0.76	0.82	0.44	0.66					13.6%	0.8%
Industrial Select Sector SPDR	XLI	0.92	0.85	0.56	0.85	0.87	0.59				7.4%	0.9%
Materials Select Sector SPDR	XLB	0.87	0.77	0.52	0.86	0.83	0.54	0.90			6.5%	1.1%
Technology Select Sector SPDR	XLK	0.88	0.74	0.56	0.73	0.81	0.57	0.81	0.76		6.9%	0.8%
Utilities Select Sector SPDR	XLU	0.65	0.65	0.68	0.44	0.60	0.56	0.57	0.56	0.46	5.6%	0.7%

Select Period:

Intra-portfolio diversification	= 0.71
Portfolio return	= 8.7%
Start Date	= 2013-02-22
End Date	= 2013-05-23

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

1 Returns for periods greater than a year are annualized.

2 Standard deviations are for daily returns.