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 1.7% 0.9%
Consumer Discret Select Sector SPDR XLY 0.91 7.4% 0.9%
Consumer Staples Select Sector SPDR XLP 0.87 0.76 2.4% 0.8%
Energy Select Sector SPDR XLE 0.70 0.61 0.44 -3.1% 1.7%
Financial Select Sector SPDR XLF 0.93 0.88 0.81 0.60 -0.6% 1.1%
Health Care Select Sector SPDR XLV 0.81 0.68 0.71 0.43 0.73 2.8% 1.0%
Industrial Select Sector SPDR XLI 0.94 0.83 0.82 0.66 0.86 0.69 0.9% 1.0%
Materials Select Sector SPDR XLB 0.91 0.81 0.74 0.79 0.83 0.69 0.87 3.5% 1.2%
Technology Select Sector SPDR XLK 0.91 0.81 0.80 0.52 0.80 0.68 0.86 0.77 2.3% 1.0%
Utilities Select Sector SPDR XLU 0.45 0.31 0.56 0.25 0.31 0.48 0.42 0.37 0.35 -3.5% 1.2%

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

Intra-portfolio diversification = 0.69
Portfolio return = 1.4%
Start Date = 2014-12-04
End Date = 2015-03-03

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.