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 -0.6% 0.6%
Consumer Discret Select Sector SPDR XLY 0.91 -2.0% 0.7%
Consumer Staples Select Sector SPDR XLP 0.78 0.68 0.0% 0.6%
Energy Select Sector SPDR XLE 0.77 0.64 0.58 -9.7% 0.9%
Financial Select Sector SPDR XLF 0.90 0.82 0.62 0.59 0.6% 0.7%
Health Care Select Sector SPDR XLV 0.89 0.80 0.73 0.62 0.75 2.6% 0.7%
Industrial Select Sector SPDR XLI 0.88 0.82 0.65 0.59 0.81 0.71 -2.9% 0.7%
Materials Select Sector SPDR XLB 0.84 0.74 0.73 0.72 0.74 0.75 0.71 -1.1% 0.6%
Technology Select Sector SPDR XLK 0.92 0.82 0.64 0.65 0.84 0.78 0.81 0.72 2.4% 0.7%
Utilities Select Sector SPDR XLU 0.42 0.31 0.38 0.46 0.26 0.31 0.36 0.32 0.32 -1.0% 0.8%

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

Intra-portfolio diversification = 0.67
Portfolio return = -1.2%
Start Date = 2014-07-03
End Date = 2014-09-30

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.