Sector Correlation Matrix

The following table shows return correlations for the 9 S&P sectors for the past six months.

		SPY	XLY	XLP	XLE	XLF	XLV	XLI	XLB	XLK	Return1	StdDev2
SPDR S&P 500	SPY										20.8%	0.7%
Consumer Discret Select Sector SPDR	XLY	0.91									25.5%	0.8%
Consumer Staples Select Sector SPDR	XLP	0.80	0.75								21.3%	0.7%
Energy Select Sector SPDR	XLE	0.86	0.74	0.59							17.1%	1.0%
Financial Select Sector SPDR	XLF	0.92	0.83	0.70	0.80						29.0%	0.9%
Health Care Select Sector SPDR	XLV	0.83	0.78	0.80	0.61	0.71					25.5%	0.7%
Industrial Select Sector SPDR	XLI	0.91	0.83	0.65	0.85	0.84	0.69				22.9%	0.8%
Materials Select Sector SPDR	XLB	0.84	0.75	0.55	0.81	0.78	0.62	0.85			16.1%	1.0%
Technology Select Sector SPDR	XLK	0.86	0.71	0.60	0.69	0.73	0.63	0.73	0.69		13.9%	0.8%
Utilities Select Sector SPDR	XLU	0.65	0.61	0.65	0.51	0.62	0.57	0.61	0.52	0.46	18.6%	0.6%

Select Period:

Intra-portfolio diversification	= 0.72
Portfolio return	= 21.1%
Start Date	= 2012-11-19
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.