Sector Correlation Matrix

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

		SPY	XLY	XLP	XLE	XLF	XLV	XLI	XLB	XLK	Return1	StdDev2
SPDR S&P 500	SPY										29.8%	0.8%
Consumer Discret Select Sector SPDR	XLY	0.92									37.7%	0.9%
Consumer Staples Select Sector SPDR	XLP	0.81	0.75								27.5%	0.7%
Energy Select Sector SPDR	XLE	0.88	0.76	0.63							29.4%	1.1%
Financial Select Sector SPDR	XLF	0.92	0.82	0.72	0.82						45.3%	1.0%
Health Care Select Sector SPDR	XLV	0.85	0.78	0.81	0.67	0.74					37.0%	0.7%
Industrial Select Sector SPDR	XLI	0.92	0.86	0.68	0.84	0.85	0.74				31.2%	0.9%
Materials Select Sector SPDR	XLB	0.88	0.81	0.61	0.85	0.80	0.68	0.86			27.8%	1.1%
Technology Select Sector SPDR	XLK	0.90	0.80	0.66	0.75	0.77	0.72	0.82	0.78		17.7%	0.9%
Utilities Select Sector SPDR	XLU	0.60	0.53	0.67	0.51	0.58	0.56	0.52	0.46	0.43	17.1%	0.6%

Select Period:

Intra-portfolio diversification	= 0.74
Portfolio return	= 30.0%
Start Date	= 2012-05-17
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.