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 six months.

SPY XLY XLP XLE XLF XLV XLI XLB XLK Return StdDev
S&P 500 SPY 2.8% 1.3%
Consumer Discretionary XLY 0.95 15.9% 1.5%
Consumer Staples XLP 0.89 0.84 8.3% 0.9%
Energy XLE 0.93 0.85 0.79 -7.0% 1.7%
Financials XLF 0.95 0.90 0.79 0.85 5.0% 1.8%
Healthcare XLV 0.88 0.78 0.83 0.79 0.80 -18.5% 1.0%
Industrials XLI 0.97 0.95 0.85 0.89 0.90 0.82 18.3% 1.6%
Materials XLB 0.92 0.87 0.79 0.90 0.88 0.75 0.90 5.2% 1.8%
Technology XLK 0.95 0.91 0.83 0.84 0.87 0.82 0.92 0.85 3.0% 1.4%
Utilities XLU 0.87 0.78 0.82 0.88 0.79 0.81 0.83 0.79 0.80 9.5% 1.1%

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

Intra-portfolio diversification = 0.86
Portfolio return = 4.0%
Start Date = 2010-01-27
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

Back