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 year.

SPY XLY XLP XLE XLF XLV XLI XLB XLK Return StdDev
S&P 500 SPY 14.9% 1.2%
Consumer Discretionary XLY 0.94 27.1% 1.4%
Consumer Staples XLP 0.84 0.77 14.0% 0.8%
Energy XLE 0.91 0.83 0.74 8.0% 1.6%
Financials XLF 0.91 0.83 0.68 0.78 17.6% 1.8%
Healthcare XLV 0.83 0.73 0.77 0.73 0.69 3.0% 0.9%
Industrials XLI 0.95 0.92 0.77 0.85 0.85 0.75 30.9% 1.5%
Materials XLB 0.90 0.84 0.72 0.88 0.82 0.69 0.87 13.0% 1.7%
Technology XLK 0.94 0.88 0.77 0.81 0.81 0.76 0.88 0.82 14.0% 1.2%
Utilities XLU 0.82 0.75 0.74 0.80 0.66 0.75 0.76 0.73 0.75 10.4% 1.0%

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

Intra-portfolio diversification = 0.80
Portfolio return = 15.3%
Start Date = 2009-07-28
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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