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: | 1 Mo | | 3 Mo | | 6 Mo | | 1 Yr | | 2 Yr | | 5 Yr | | 10 Yr |
| 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 |
Notes
1 Returns for periods greater than a year are annualized.
2 Standard deviations are for daily returns.