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 5.5% 0.5%
Consumer Discret Select Sector SPDR XLY 0.88 4.5% 0.7%
Consumer Staples Select Sector SPDR XLP 0.66 0.52 2.7% 0.5%
Energy Select Sector SPDR XLE 0.62 0.38 0.31 6.5% 0.7%
Financial Select Sector SPDR XLF 0.85 0.76 0.44 0.43 4.0% 0.6%
Health Care Select Sector SPDR XLV 0.78 0.68 0.52 0.43 0.56 6.7% 0.6%
Industrial Select Sector SPDR XLI 0.92 0.79 0.55 0.57 0.82 0.62 2.6% 0.6%
Materials Select Sector SPDR XLB 0.78 0.69 0.43 0.60 0.66 0.59 0.76 5.0% 0.5%
Technology Select Sector SPDR XLK 0.91 0.84 0.55 0.47 0.73 0.68 0.81 0.63 9.7% 0.6%
Utilities Select Sector SPDR XLU 0.09 -0.12 0.28 0.12 0.03 0.04 0.01 0.04 -0.00 -0.0% 0.8%

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

Intra-portfolio diversification = 0.53
Portfolio return = 4.7%
Start Date = 2014-04-24
End Date = 2014-07-22

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.