Sector Correlation Matrix

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

SPY XLY XLP XLE XLF XLV XLI XLB XLK Return1 StdDev2
SPDR S&P 500 SPY 3.6% 1.4%
Consumer Discret Select Sector SPDR XLY 0.90 4.4% 1.5%
Consumer Staples Select Sector SPDR XLP 0.79 0.74 5.0% 0.9%
Energy Select Sector SPDR XLE 0.79 0.64 0.57 10.3% 2.0%
Financial Select Sector SPDR XLF 0.86 0.81 0.66 0.62 -4.4% 2.3%
Health Care Select Sector SPDR XLV 0.81 0.72 0.73 0.59 0.64 3.3% 1.1%
Industrial Select Sector SPDR XLI 0.92 0.87 0.74 0.71 0.79 0.75 4.4% 1.5%
Materials Select Sector SPDR XLB 0.86 0.78 0.66 0.78 0.71 0.67 0.85 5.3% 1.7%
Technology Select Sector SPDR XLK 0.89 0.82 0.67 0.64 0.72 0.68 0.81 0.75 4.6% 1.5%
Utilities Select Sector SPDR XLU 0.73 0.61 0.63 0.65 0.57 0.63 0.65 0.62 0.62 6.6% 1.3%

Select Period: 1 Mo | 3 Mo | 6 Mo | 1 Yr | 2 Yr | 5 Yr | 10 Yr

Intra-portfolio diversification = 0.73
Portfolio return = 4.8%
Start Date = 2002-05-20
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

Notes

1 Returns for periods greater than a year are annualized.
2 Standard deviations are for daily returns.