Sector Correlation Matrix

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

		SPY	XLY	XLP	XLE	XLF	XLV	XLI	XLB	XLK	Return1	StdDev2
SPDR S&P 500	SPY										-4.1%	0.8%
Consumer Discret Select Sector SPDR	XLY	0.89									-1.5%	0.9%
Consumer Staples Select Sector SPDR	XLP	0.75	0.72								2.0%	0.5%
Energy Select Sector SPDR	XLE	0.81	0.61	0.45							-14.1%	1.0%
Financial Select Sector SPDR	XLF	0.91	0.77	0.61	0.72						-5.8%	1.2%
Health Care Select Sector SPDR	XLV	0.89	0.77	0.76	0.69	0.76					0.4%	0.6%
Industrial Select Sector SPDR	XLI	0.92	0.81	0.70	0.74	0.84	0.83				-8.0%	1.0%
Materials Select Sector SPDR	XLB	0.91	0.80	0.58	0.80	0.80	0.80	0.86			-12.0%	1.1%
Technology Select Sector SPDR	XLK	0.89	0.80	0.57	0.65	0.74	0.75	0.73	0.80		-2.8%	0.9%
Utilities Select Sector SPDR	XLU	0.49	0.42	0.61	0.41	0.36	0.56	0.52	0.42	0.28	1.3%	0.5%

Select Period:

Intra-portfolio diversification	= 0.70
Portfolio return	= -4.5%
Start Date	= 2012-02-17
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.