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 3.0% 0.9%
Consumer Discret Select Sector SPDR XLY 0.90 3.6% 1.0%
Consumer Staples Select Sector SPDR XLP 0.78 0.72 7.9% 0.7%
Energy Select Sector SPDR XLE 0.67 0.52 0.26 -16.2% 1.8%
Financial Select Sector SPDR XLF 0.94 0.84 0.78 0.51 4.8% 1.0%
Health Care Select Sector SPDR XLV 0.90 0.81 0.80 0.43 0.87 8.7% 1.1%
Industrial Select Sector SPDR XLI 0.92 0.82 0.60 0.69 0.85 0.78 4.0% 1.1%
Materials Select Sector SPDR XLB 0.86 0.72 0.56 0.81 0.73 0.69 0.82 -3.8% 1.3%
Technology Select Sector SPDR XLK 0.93 0.85 0.70 0.53 0.86 0.79 0.84 0.75 3.5% 1.0%
Utilities Select Sector SPDR XLU 0.54 0.41 0.64 0.25 0.57 0.51 0.39 0.37 0.44 11.0% 0.9%

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

Intra-portfolio diversification = 0.69
Portfolio return = 2.6%
Start Date = 2014-09-19
End Date = 2014-12-18

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.