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										8.1%	1.3%
Consumer Discret Select Sector SPDR	XLY	0.90									9.8%	1.4%
Consumer Staples Select Sector SPDR	XLP	0.81	0.76								10.4%	0.9%
Energy Select Sector SPDR	XLE	0.81	0.65	0.58							15.0%	1.9%
Financial Select Sector SPDR	XLF	0.86	0.81	0.67	0.62						0.5%	2.2%
Health Care Select Sector SPDR	XLV	0.81	0.72	0.74	0.60	0.64					7.5%	1.0%
Industrial Select Sector SPDR	XLI	0.92	0.87	0.75	0.73	0.79	0.75				9.5%	1.4%
Materials Select Sector SPDR	XLB	0.86	0.78	0.66	0.80	0.70	0.68	0.85			9.8%	1.7%
Technology Select Sector SPDR	XLK	0.90	0.83	0.72	0.67	0.74	0.69	0.83	0.77		8.5%	1.4%
Utilities Select Sector SPDR	XLU	0.75	0.63	0.68	0.68	0.58	0.65	0.66	0.64	0.64	10.5%	1.1%

Select Period:

Intra-portfolio diversification	= 0.74
Portfolio return	= 9.4%
Start Date	= 2003-05-19
End Date	= 2013-05-17

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.