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 ten years.

SPY XLY XLP XLE XLF XLV XLI XLB XLK Return StdDev
S&P 500 SPY -0.9% 1.4%
Consumer Discretionary XLY 0.84 2.8% 1.6%
Consumer Staples XLP 0.68 0.60 2.9% 1.0%
Energy XLE 0.70 0.54 0.49 7.8% 2.0%
Financials XLF 0.84 0.76 0.57 0.55 -3.5% 2.3%
Healthcare XLV 0.77 0.68 0.57 0.49 0.60 0.9% 1.2%
Industrials XLI 0.89 0.83 0.62 0.63 0.76 0.72 2.0% 1.5%
Materials XLB 0.79 0.72 0.56 0.70 0.66 0.61 0.80 6.8% 1.7%
Technology XLK 0.84 0.70 0.45 0.47 0.63 0.64 0.75 0.61 -7.3% 1.9%
Utilities XLU 0.67 0.52 0.55 0.60 0.52 0.54 0.57 0.55 0.48 4.6% 1.4%

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

Intra-portfolio diversification = 0.65
Portfolio return = 2.4%
Start Date = 2000-07-31
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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