Sector Correlation Matrix

The following table shows return correlations for the 9 S&P sectors for the past five years.

		SPY	XLY	XLP	XLE	XLF	XLV	XLI	XLB	XLK	Return1	StdDev2
SPDR S&P 500	SPY										5.5%	1.6%
Consumer Discret Select Sector SPDR	XLY	0.91									13.4%	1.8%
Consumer Staples Select Sector SPDR	XLP	0.83	0.78								11.0%	1.0%
Energy Select Sector SPDR	XLE	0.88	0.75	0.68							-0.5%	2.3%
Financial Select Sector SPDR	XLF	0.86	0.82	0.69	0.69						-2.9%	2.9%
Health Care Select Sector SPDR	XLV	0.84	0.75	0.78	0.70	0.65					11.0%	1.3%
Industrial Select Sector SPDR	XLI	0.93	0.89	0.78	0.80	0.80	0.78				4.5%	1.8%
Materials Select Sector SPDR	XLB	0.89	0.82	0.70	0.86	0.73	0.73	0.88			-0.0%	2.0%
Technology Select Sector SPDR	XLK	0.93	0.86	0.77	0.79	0.78	0.74	0.86	0.83		6.5%	1.6%
Utilities Select Sector SPDR	XLU	0.81	0.68	0.75	0.76	0.61	0.72	0.71	0.69	0.73	3.0%	1.3%

Select Period:

Intra-portfolio diversification	= 0.78
Portfolio return	= 5.7%
Start Date	= 2008-05-20
End Date	= 2013-05-17

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

1 Returns for periods greater than a year are annualized.

2 Standard deviations are for daily returns.