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										-5.9%	0.7%
Consumer Discret Select Sector SPDR	XLY	0.89									-5.6%	1.0%
Consumer Staples Select Sector SPDR	XLP	0.74	0.70								-1.1%	0.6%
Energy Select Sector SPDR	XLE	0.76	0.53	0.39							-7.2%	1.0%
Financial Select Sector SPDR	XLF	0.87	0.72	0.55	0.75						-9.9%	0.9%
Health Care Select Sector SPDR	XLV	0.86	0.70	0.76	0.66	0.69					-2.0%	0.5%
Industrial Select Sector SPDR	XLI	0.83	0.77	0.71	0.51	0.74	0.73				-7.4%	0.8%
Materials Select Sector SPDR	XLB	0.91	0.83	0.58	0.68	0.78	0.83	0.70			-10.4%	0.9%
Technology Select Sector SPDR	XLK	0.84	0.78	0.51	0.54	0.62	0.63	0.55	0.82		-7.4%	0.9%
Utilities Select Sector SPDR	XLU	0.63	0.46	0.61	0.61	0.54	0.65	0.68	0.57	0.32	1.9%	0.5%

Select Period:

Intra-portfolio diversification	= 0.68
Portfolio return	= -5.5%
Start Date	= 2012-04-17
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.