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 -1.1% 0.8%
Consumer Discret Select Sector SPDR XLY 0.87 2.8% 0.9%
Consumer Staples Select Sector SPDR XLP 0.82 0.72 2.4% 0.8%
Energy Select Sector SPDR XLE 0.60 0.43 0.24 -12.2% 1.9%
Financial Select Sector SPDR XLF 0.93 0.85 0.80 0.47 -3.8% 1.0%
Health Care Select Sector SPDR XLV 0.79 0.65 0.69 0.29 0.74 2.9% 1.0%
Industrial Select Sector SPDR XLI 0.92 0.76 0.73 0.61 0.84 0.64 -1.0% 0.9%
Materials Select Sector SPDR XLB 0.87 0.70 0.61 0.79 0.78 0.60 0.86 -0.8% 1.1%
Technology Select Sector SPDR XLK 0.89 0.79 0.75 0.38 0.79 0.63 0.82 0.69 -2.0% 1.0%
Utilities Select Sector SPDR XLU 0.54 0.38 0.61 0.26 0.47 0.49 0.44 0.38 0.41 5.6% 1.0%

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

Intra-portfolio diversification = 0.65
Portfolio return = -0.7%
Start Date = 2014-11-03
End Date = 2015-01-30

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.