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										17.3%	1.0%
Consumer Discret Select Sector SPDR	XLY	0.91									17.8%	1.0%
Consumer Staples Select Sector SPDR	XLP	0.83	0.74								8.2%	0.7%
Energy Select Sector SPDR	XLE	0.92	0.80	0.77							18.1%	1.5%
Financial Select Sector SPDR	XLF	0.93	0.84	0.69	0.81						25.5%	1.5%
Health Care Select Sector SPDR	XLV	0.89	0.76	0.83	0.76	0.78					13.5%	0.9%
Industrial Select Sector SPDR	XLI	0.98	0.89	0.78	0.88	0.90	0.86				20.1%	1.2%
Materials Select Sector SPDR	XLB	0.94	0.83	0.73	0.85	0.88	0.85	0.94			19.7%	1.4%
Technology Select Sector SPDR	XLK	0.93	0.84	0.68	0.83	0.83	0.76	0.90	0.87		19.3%	1.0%
Utilities Select Sector SPDR	XLU	0.65	0.56	0.87	0.59	0.53	0.69	0.59	0.58	0.49	4.5%	0.9%

Select Period:

Intra-portfolio diversification	= 0.79
Portfolio return	= 16.4%
Start Date	= 2011-11-25
End Date	= 2012-02-21

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

1 Returns for periods greater than a year are annualized.

2 Standard deviations are for daily returns.