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 8.5% 0.8%
Consumer Discret Select Sector SPDR XLY 0.04 8.6% 1.0%
Consumer Staples Select Sector SPDR XLP -0.22 0.49 4.2% 0.7%
Energy Select Sector SPDR XLE 0.73 -0.04 -0.21 22.0% 1.6%
Financial Select Sector SPDR XLF 0.89 -0.01 -0.28 0.64 10.8% 1.2%
Health Care Select Sector SPDR XLV 0.80 -0.10 -0.31 0.51 0.67 6.4% 1.0%
Industrial Select Sector SPDR XLI 0.86 -0.14 -0.25 0.66 0.85 0.58 14.9% 0.9%
Materials Select Sector SPDR XLB -0.04 0.63 0.40 0.05 -0.14 -0.23 -0.09 17.8% 1.2%
Technology Select Sector SPDR XLK 0.89 0.13 -0.12 0.55 0.69 0.69 0.66 0.07 3.6% 1.0%
Utilities Select Sector SPDR XLU 0.21 -0.02 0.05 0.12 0.08 0.03 0.22 -0.02 0.09 5.1% 0.9%

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

Intra-portfolio diversification = 0.25
Portfolio return = 10.2%
Start Date = 2016-02-02
End Date = 2016-04-29

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.