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										7.2%	0.9%
Consumer Discret Select Sector SPDR	XLY	0.91									11.7%	1.0%
Consumer Staples Select Sector SPDR	XLP	0.81	0.74								8.9%	0.6%
Energy Select Sector SPDR	XLE	0.89	0.75	0.67							-6.2%	1.3%
Financial Select Sector SPDR	XLF	0.93	0.82	0.69	0.80						11.8%	1.4%
Health Care Select Sector SPDR	XLV	0.90	0.78	0.81	0.76	0.79					10.5%	0.8%
Industrial Select Sector SPDR	XLI	0.96	0.87	0.77	0.84	0.89	0.86				4.4%	1.2%
Materials Select Sector SPDR	XLB	0.93	0.83	0.70	0.84	0.86	0.84	0.92			-0.5%	1.3%
Technology Select Sector SPDR	XLK	0.92	0.84	0.66	0.78	0.81	0.78	0.84	0.85		9.1%	1.0%
Utilities Select Sector SPDR	XLU	0.61	0.51	0.78	0.55	0.50	0.65	0.59	0.55	0.44	3.2%	0.7%

Select Period:

Intra-portfolio diversification	= 0.77
Portfolio return	= 6.0%
Start Date	= 2011-11-17
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.