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 two years.

SPY XLY XLP XLE XLF XLV XLI XLB XLK Return StdDev
S&P 500 SPY -3.3% 2.2%
Consumer Discretionary XLY 0.90 7.7% 2.4%
Consumer Staples XLP 0.83 0.79 2.9% 1.3%
Energy XLE 0.89 0.77 0.70 -13.5% 3.1%
Financials XLF 0.86 0.82 0.69 0.71 -12.0% 4.1%
Healthcare XLV 0.82 0.72 0.75 0.70 0.63 -3.6% 1.6%
Industrials XLI 0.92 0.90 0.78 0.81 0.80 0.75 -3.4% 2.3%
Materials XLB 0.89 0.82 0.70 0.86 0.73 0.71 0.87 -8.2% 2.6%
Technology XLK 0.94 0.86 0.78 0.81 0.79 0.72 0.86 0.83 1.9% 2.1%
Utilities XLU 0.84 0.70 0.76 0.81 0.62 0.74 0.74 0.73 0.79 -5.8% 1.8%

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

Intra-portfolio diversification = 0.79
Portfolio return = -3.5%
Start Date = 2008-07-28
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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