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 2.2% 0.5%
Consumer Discret Select Sector SPDR XLY 0.89 2.1% 0.7%
Consumer Staples Select Sector SPDR XLP 0.73 0.61 -1.4% 0.5%
Energy Select Sector SPDR XLE 0.70 0.47 0.44 1.8% 0.7%
Financial Select Sector SPDR XLF 0.90 0.80 0.55 0.54 1.5% 0.7%
Health Care Select Sector SPDR XLV 0.82 0.74 0.59 0.52 0.65 4.9% 0.6%
Industrial Select Sector SPDR XLI 0.90 0.79 0.63 0.60 0.84 0.65 -2.2% 0.7%
Materials Select Sector SPDR XLB 0.83 0.69 0.62 0.66 0.70 0.69 0.78 1.8% 0.6%
Technology Select Sector SPDR XLK 0.93 0.87 0.61 0.56 0.82 0.71 0.83 0.72 6.0% 0.6%
Utilities Select Sector SPDR XLU 0.24 0.05 0.39 0.26 0.18 0.09 0.13 0.26 0.12 -3.4% 0.9%

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

Intra-portfolio diversification = 0.60
Portfolio return = 1.3%
Start Date = 2014-05-05
End Date = 2014-08-01

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.