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 -4.5% 0.8%
Consumer Discret Select Sector SPDR XLY 0.94 -4.8% 0.8%
Consumer Staples Select Sector SPDR XLP 0.79 0.74 -0.8% 0.7%
Energy Select Sector SPDR XLE 0.78 0.70 0.55 -16.6% 1.1%
Financial Select Sector SPDR XLF 0.92 0.88 0.73 0.60 -2.3% 0.8%
Health Care Select Sector SPDR XLV 0.92 0.85 0.79 0.69 0.82 0.0% 0.9%
Industrial Select Sector SPDR XLI 0.91 0.88 0.66 0.65 0.83 0.77 -5.0% 0.9%
Materials Select Sector SPDR XLB 0.87 0.80 0.65 0.83 0.74 0.78 0.82 -6.4% 0.9%
Technology Select Sector SPDR XLK 0.92 0.84 0.64 0.64 0.86 0.82 0.83 0.78 -4.4% 0.8%
Utilities Select Sector SPDR XLU 0.50 0.46 0.51 0.43 0.43 0.43 0.44 0.32 0.39 0.7% 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 = -4.4%
Start Date = 2014-07-21
End Date = 2014-10-17

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.