Sector Correlation Matrix

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

		SPY	XLY	XLP	XLE	XLF	XLV	XLI	XLB	XLK	Return1	StdDev2
SPDR S&P 500	SPY										9.5%	1.2%
Consumer Discret Select Sector SPDR	XLY	0.95									15.2%	1.4%
Consumer Staples Select Sector SPDR	XLP	0.88	0.84								13.3%	0.8%
Energy Select Sector SPDR	XLE	0.92	0.83	0.77							9.3%	1.7%
Financial Select Sector SPDR	XLF	0.94	0.87	0.79	0.83						-2.5%	1.8%
Health Care Select Sector SPDR	XLV	0.92	0.87	0.87	0.82	0.83					12.3%	1.1%
Industrial Select Sector SPDR	XLI	0.97	0.93	0.85	0.88	0.90	0.89				7.2%	1.5%
Materials Select Sector SPDR	XLB	0.94	0.88	0.78	0.91	0.87	0.84	0.93			5.4%	1.7%
Technology Select Sector SPDR	XLK	0.95	0.91	0.81	0.84	0.84	0.86	0.90	0.87		13.0%	1.2%
Utilities Select Sector SPDR	XLU	0.80	0.74	0.82	0.72	0.74	0.79	0.76	0.70	0.72	12.8%	0.9%

Select Period:

Intra-portfolio diversification	= 0.85
Portfolio return	= 9.7%
Start Date	= 2010-05-18
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.