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 month.

SPY XLY XLP XLE XLF XLV XLI XLB XLK Return StdDev
S&P 500 SPY 44.5% 1.4%
Consumer Discretionary XLY 0.95 37.5% 1.8%
Consumer Staples XLP 0.94 0.89 68.3% 0.9%
Energy XLE 0.97 0.91 0.93 61.9% 1.5%
Financials XLF 0.98 0.93 0.90 0.93 15.2% 1.9%
Healthcare XLV 0.89 0.80 0.84 0.84 0.87 -18.4% 1.0%
Industrials XLI 0.96 0.94 0.88 0.92 0.94 0.78 89.6% 1.8%
Materials XLB 0.91 0.89 0.84 0.91 0.90 0.71 0.94 127.6% 1.9%
Technology XLK 0.97 0.91 0.90 0.93 0.94 0.88 0.91 0.84 46.9% 1.6%
Utilities XLU 0.90 0.78 0.86 0.88 0.87 0.89 0.77 0.72 0.91 122.4% 1.2%

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

Intra-portfolio diversification = 0.89
Portfolio return = 53.8%
Start Date = 2010-06-28
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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