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 -2.7% 0.8%
Consumer Discret Select Sector SPDR XLY 0.70 -5.6% 0.9%
Consumer Staples Select Sector SPDR XLP 0.34 0.57 -0.7% 0.7%
Energy Select Sector SPDR XLE 0.70 0.43 0.05 4.6% 1.3%
Financial Select Sector SPDR XLF 0.92 0.66 0.18 0.68 -4.3% 1.2%
Health Care Select Sector SPDR XLV 0.82 0.43 0.17 0.46 0.71 0.6% 0.9%
Industrial Select Sector SPDR XLI 0.93 0.72 0.37 0.75 0.88 0.68 -4.3% 0.9%
Materials Select Sector SPDR XLB 0.60 0.74 0.50 0.56 0.57 0.33 0.68 -1.6% 1.1%
Technology Select Sector SPDR XLK 0.92 0.64 0.29 0.54 0.79 0.76 0.82 0.55 -6.2% 0.9%
Utilities Select Sector SPDR XLU 0.10 0.04 0.40 0.01 -0.09 0.00 0.03 -0.08 0.03 3.2% 0.8%

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

Intra-portfolio diversification = 0.49
Portfolio return = -1.7%
Start Date = 2016-03-29
End Date = 2016-06-27

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.