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 -9.9% 1.2%
Consumer Discret Select Sector SPDR XLY 0.92 -13.4% 1.3%
Consumer Staples Select Sector SPDR XLP 0.88 0.83 1.3% 1.0%
Energy Select Sector SPDR XLE 0.76 0.59 0.55 -19.2% 2.3%
Financial Select Sector SPDR XLF 0.96 0.83 0.86 0.69 -14.7% 1.4%
Health Care Select Sector SPDR XLV 0.85 0.77 0.71 0.58 0.80 -10.2% 1.3%
Industrial Select Sector SPDR XLI 0.93 0.81 0.80 0.71 0.92 0.75 -8.1% 1.2%
Materials Select Sector SPDR XLB 0.76 0.56 0.55 0.79 0.74 0.62 0.82 -9.1% 1.6%
Technology Select Sector SPDR XLK 0.96 0.93 0.84 0.64 0.89 0.78 0.87 0.64 -9.4% 1.4%
Utilities Select Sector SPDR XLU 0.64 0.50 0.67 0.49 0.63 0.40 0.60 0.50 0.59 9.0% 1.0%

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

Intra-portfolio diversification = 0.73
Portfolio return = -8.4%
Start Date = 2015-11-10
End Date = 2016-02-05

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.