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 three months.

SPY XLY XLP XLE XLF XLV XLI XLB XLK Return StdDev
S&P 500 SPY 17.0% 4.3%
Consumer Discretionary XLY 0.89 26.1% 4.4%
Consumer Staples XLP 0.87 0.80 10.0% 2.2%
Energy XLE 0.93 0.84 0.79 75.4% 6.1%
Financials XLF 0.85 0.87 0.81 0.74 -27.7% 6.4%
Healthcare XLV 0.88 0.74 0.75 0.80 0.70 22.3% 3.1%
Industrials XLI 0.95 0.90 0.83 0.88 0.84 0.85 5.2% 3.9%
Materials XLB 0.92 0.86 0.78 0.88 0.78 0.84 0.93 -29.5% 4.7%
Technology XLK 0.96 0.85 0.86 0.88 0.84 0.81 0.91 0.87 8.2% 4.1%
Utilities XLU 0.89 0.71 0.83 0.87 0.67 0.81 0.80 0.78 0.86 51.3% 3.7%

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

Intra-portfolio diversification = 0.84
Portfolio return = 12.8%
Start Date = 2008-10-09
End Date = 2009-01-06

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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