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										14.7%	1.2%
Consumer Discret Select Sector SPDR	XLY	0.95									22.0%	1.2%
Consumer Staples Select Sector SPDR	XLP	0.87	0.82								16.9%	0.8%
Energy Select Sector SPDR	XLE	0.93	0.85	0.76							8.0%	1.6%
Financial Select Sector SPDR	XLF	0.94	0.87	0.79	0.86						15.6%	1.7%
Health Care Select Sector SPDR	XLV	0.92	0.87	0.87	0.81	0.84					19.7%	1.0%
Industrial Select Sector SPDR	XLI	0.96	0.92	0.81	0.89	0.91	0.87				12.0%	1.4%
Materials Select Sector SPDR	XLB	0.94	0.89	0.76	0.91	0.88	0.84	0.93			6.2%	1.6%
Technology Select Sector SPDR	XLK	0.94	0.89	0.77	0.84	0.83	0.83	0.89	0.87		13.2%	1.2%
Utilities Select Sector SPDR	XLU	0.76	0.70	0.79	0.68	0.72	0.74	0.71	0.66	0.63	12.6%	0.9%

Select Period:

Intra-portfolio diversification	= 0.84
Portfolio return	= 14.2%
Start Date	= 2011-05-23
End Date	= 2013-05-21

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.