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 5.6% 0.6%
Consumer Discret Select Sector SPDR XLY 0.34 3.3% 0.7%
Consumer Staples Select Sector SPDR XLP 0.06 0.55 2.3% 0.7%
Energy Select Sector SPDR XLE 0.66 0.04 -0.14 12.9% 1.3%
Financial Select Sector SPDR XLF 0.86 0.26 -0.14 0.60 8.0% 0.9%
Health Care Select Sector SPDR XLV 0.70 0.03 -0.08 0.38 0.56 5.0% 0.9%
Industrial Select Sector SPDR XLI 0.85 0.31 0.06 0.68 0.82 0.44 5.2% 0.7%
Materials Select Sector SPDR XLB 0.17 0.57 0.41 0.19 0.08 -0.18 0.23 9.8% 1.0%
Technology Select Sector SPDR XLK 0.85 0.34 0.05 0.38 0.62 0.60 0.64 0.21 4.2% 0.8%
Utilities Select Sector SPDR XLU 0.24 0.15 0.40 0.13 -0.01 -0.05 0.13 0.07 0.17 5.4% 0.9%

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

Intra-portfolio diversification = 0.32
Portfolio return = 6.2%
Start Date = 2016-03-02
End Date = 2016-05-27

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.