Sector Correlation Matrix

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

		SPY	XLY	XLP	XLE	XLF	XLV	XLI	XLB	XLK	Return1	StdDev2
SPDR S&P 500	SPY										6.9%	0.5%
Consumer Discret Select Sector SPDR	XLY	0.87									7.3%	0.6%
Consumer Staples Select Sector SPDR	XLP	0.60	0.60								1.0%	0.7%
Energy Select Sector SPDR	XLE	0.75	0.58	0.03							10.5%	0.9%
Financial Select Sector SPDR	XLF	0.92	0.78	0.47	0.72						10.4%	0.8%
Health Care Select Sector SPDR	XLV	0.69	0.70	0.81	0.22	0.51					1.8%	0.8%
Industrial Select Sector SPDR	XLI	0.87	0.79	0.26	0.87	0.82	0.42				9.6%	0.7%
Materials Select Sector SPDR	XLB	0.80	0.70	0.22	0.78	0.75	0.28	0.89			8.3%	0.9%
Technology Select Sector SPDR	XLK	0.72	0.45	0.25	0.58	0.59	0.31	0.60	0.64		8.9%	0.6%
Utilities Select Sector SPDR	XLU	0.59	0.50	0.53	0.38	0.49	0.34	0.46	0.47	0.36	-1.4%	0.8%

Select Period:

Intra-portfolio diversification	= 0.58
Portfolio return	= 6.3%
Start Date	= 2013-04-22
End Date	= 2013-05-20

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.