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 0.4% 0.7%
Consumer Discret Select Sector SPDR XLY 0.92 4.7% 0.7%
Consumer Staples Select Sector SPDR XLP 0.84 0.80 3.8% 0.7%
Energy Select Sector SPDR XLE 0.68 0.58 0.51 -14.8% 1.0%
Financial Select Sector SPDR XLF 0.89 0.85 0.68 0.52 3.8% 0.9%
Health Care Select Sector SPDR XLV 0.92 0.79 0.73 0.58 0.80 6.2% 0.9%
Industrial Select Sector SPDR XLI 0.94 0.86 0.80 0.68 0.81 0.85 -3.5% 0.8%
Materials Select Sector SPDR XLB 0.89 0.82 0.74 0.71 0.75 0.87 0.89 -9.7% 0.9%
Technology Select Sector SPDR XLK 0.90 0.78 0.72 0.52 0.77 0.77 0.83 0.74 -0.5% 0.9%
Utilities Select Sector SPDR XLU 0.52 0.49 0.65 0.25 0.40 0.45 0.47 0.37 0.40 -2.6% 0.9%

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

Intra-portfolio diversification = 0.71
Portfolio return = -1.2%
Start Date = 2015-04-30
End Date = 2015-07-28

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.