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:

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

1 Returns for periods greater than a year are annualized.

2 Standard deviations are for daily returns.