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 2.2% 0.5%
Consumer Discret Select Sector SPDR XLY 0.89 3.2% 0.6%
Consumer Staples Select Sector SPDR XLP 0.74 0.63 0.4% 0.5%
Energy Select Sector SPDR XLE 0.76 0.58 0.51 -5.4% 0.9%
Financial Select Sector SPDR XLF 0.88 0.79 0.55 0.57 2.9% 0.6%
Health Care Select Sector SPDR XLV 0.84 0.75 0.61 0.58 0.68 6.8% 0.7%
Industrial Select Sector SPDR XLI 0.85 0.76 0.60 0.56 0.76 0.65 -1.1% 0.6%
Materials Select Sector SPDR XLB 0.83 0.70 0.66 0.76 0.68 0.69 0.67 1.2% 0.6%
Technology Select Sector SPDR XLK 0.91 0.82 0.60 0.63 0.81 0.72 0.76 0.68 5.2% 0.6%
Utilities Select Sector SPDR XLU 0.38 0.27 0.40 0.35 0.21 0.21 0.28 0.33 0.28 -1.2% 0.9%

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

Intra-portfolio diversification = 0.63
Portfolio return = 1.4%
Start Date = 2014-06-17
End Date = 2014-09-12

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.