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 -1.7% 0.9%
Consumer Discret Select Sector SPDR XLY 0.93 2.4% 1.0%
Consumer Staples Select Sector SPDR XLP 0.86 0.78 -1.8% 0.8%
Energy Select Sector SPDR XLE 0.65 0.55 0.44 -4.2% 1.5%
Financial Select Sector SPDR XLF 0.92 0.90 0.77 0.59 -4.3% 1.0%
Health Care Select Sector SPDR XLV 0.87 0.77 0.79 0.45 0.75 4.5% 1.0%
Industrial Select Sector SPDR XLI 0.96 0.87 0.81 0.60 0.89 0.78 -3.7% 1.0%
Materials Select Sector SPDR XLB 0.87 0.80 0.71 0.72 0.81 0.69 0.84 -1.2% 1.0%
Technology Select Sector SPDR XLK 0.90 0.80 0.73 0.44 0.77 0.74 0.87 0.72 -1.8% 1.0%
Utilities Select Sector SPDR XLU 0.50 0.38 0.62 0.30 0.31 0.57 0.48 0.41 0.38 -11.2% 1.3%

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

Intra-portfolio diversification = 0.69
Portfolio return = -2.3%
Start Date = 2014-12-29
End Date = 2015-03-26

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.