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 -5.8% 1.1%
Consumer Discret Select Sector SPDR XLY 0.94 -1.3% 1.2%
Consumer Staples Select Sector SPDR XLP 0.91 0.85 -2.4% 1.0%
Energy Select Sector SPDR XLE 0.79 0.68 0.67 -15.9% 1.7%
Financial Select Sector SPDR XLF 0.95 0.91 0.85 0.71 -4.0% 1.3%
Health Care Select Sector SPDR XLV 0.94 0.89 0.86 0.66 0.88 -4.6% 1.3%
Industrial Select Sector SPDR XLI 0.97 0.90 0.87 0.81 0.91 0.90 -7.7% 1.1%
Materials Select Sector SPDR XLB 0.91 0.84 0.80 0.84 0.85 0.85 0.94 -13.9% 1.3%
Technology Select Sector SPDR XLK 0.95 0.88 0.84 0.71 0.87 0.87 0.91 0.83 -6.6% 1.3%
Utilities Select Sector SPDR XLU 0.58 0.50 0.65 0.39 0.54 0.52 0.54 0.46 0.50 -3.2% 1.1%

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

Intra-portfolio diversification = 0.79
Portfolio return = -6.5%
Start Date = 2015-06-01
End Date = 2015-08-28

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.