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 -23.4% 1.7%
Consumer Discretionary XLY 0.97 -33.8% 1.9%
Consumer Staples XLP 0.90 0.86 -2.8% 1.1%
Energy XLE 0.95 0.90 0.81 -34.1% 2.1%
Financials XLF 0.96 0.93 0.83 0.90 -32.3% 2.2%
Healthcare XLV 0.93 0.87 0.85 0.86 0.87 -26.7% 1.2%
Industrials XLI 0.97 0.96 0.86 0.93 0.93 0.87 -24.4% 2.1%
Materials XLB 0.94 0.91 0.80 0.92 0.93 0.82 0.93 -22.1% 2.1%
Technology XLK 0.97 0.93 0.87 0.88 0.90 0.91 0.94 0.87 -18.0% 1.7%
Utilities XLU 0.91 0.84 0.85 0.90 0.85 0.89 0.87 0.80 0.87 12.5% 1.4%

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

Intra-portfolio diversification = 0.89
Portfolio return = -21.4%
Start Date = 2010-04-30
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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