Asset Classes

Sub-Classes

Your Portfolio

Correlation Over Time

Sector Correlation Matrix

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

SPY XLY XLP XLE XLF XLV XLI XLB XLK Return StdDev
S&P 500 SPY -0.4% 1.6%
Consumer Discretionary XLY 0.89 -0.9% 1.7%
Consumer Staples XLP 0.80 0.75 5.1% 1.0%
Energy XLE 0.82 0.65 0.59 3.7% 2.4%
Financials XLF 0.85 0.81 0.67 0.60 -11.2% 2.9%
Healthcare XLV 0.80 0.70 0.73 0.60 0.62 -0.7% 1.2%
Industrials XLI 0.91 0.87 0.74 0.72 0.78 0.72 1.5% 1.6%
Materials XLB 0.86 0.76 0.65 0.81 0.68 0.66 0.84 4.0% 1.9%
Technology XLK 0.91 0.83 0.74 0.70 0.75 0.69 0.84 0.78 2.0% 1.6%
Utilities XLU 0.78 0.64 0.70 0.71 0.57 0.69 0.67 0.66 0.69 2.4% 1.4%

Period: [1 Mo] [3 Mo] [6 Mo] [1 Yr] [2 Yr] [5 Yr] [10 Yr]

Intra-portfolio diversification = 0.74
Portfolio return = 0.9%
Start Date = 2005-07-29
End Date = 2010-07-28

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

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