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										-1.3%	1.7%
Consumer Discret Select Sector SPDR	XLY	0.90									2.5%	1.8%
Consumer Staples Select Sector SPDR	XLP	0.83	0.77								6.2%	1.0%
Energy Select Sector SPDR	XLE	0.87	0.72	0.66							0.2%	2.4%
Financial Select Sector SPDR	XLF	0.87	0.82	0.69	0.67						-16.4%	3.0%
Health Care Select Sector SPDR	XLV	0.83	0.74	0.77	0.68	0.66					1.5%	1.3%
Industrial Select Sector SPDR	XLI	0.92	0.88	0.77	0.79	0.79	0.77				-0.5%	1.8%
Materials Select Sector SPDR	XLB	0.88	0.79	0.69	0.85	0.72	0.72	0.87			-2.0%	2.1%
Technology Select Sector SPDR	XLK	0.93	0.86	0.76	0.77	0.77	0.73	0.86	0.81		2.9%	1.7%
Utilities Select Sector SPDR	XLU	0.80	0.67	0.74	0.75	0.60	0.72	0.70	0.68	0.72	-0.5%	1.4%

Select Period:

Intra-portfolio diversification	= 0.77
Portfolio return	= -0.1%
Start Date	= 2007-05-18
End Date	= 2012-05-17

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.