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 19.4% 0.9%
Consumer Discretionary XLY 0.92 50.3% 0.9%
Consumer Staples XLP 0.83 0.79 16.1% 0.6%
Energy XLE 0.92 0.82 0.73 29.5% 1.3%
Financials XLF 0.87 0.76 0.66 0.72 31.7% 1.4%
Healthcare XLV 0.86 0.79 0.81 0.78 0.69 14.6% 0.9%
Industrials XLI 0.93 0.88 0.84 0.85 0.76 0.83 36.4% 1.1%
Materials XLB 0.86 0.75 0.72 0.88 0.71 0.70 0.82 11.7% 1.5%
Technology XLK 0.90 0.81 0.64 0.78 0.74 0.70 0.76 0.74 6.1% 1.1%
Utilities XLU 0.79 0.79 0.72 0.72 0.59 0.72 0.77 0.69 0.68 -7.4% 0.9%

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

Intra-portfolio diversification = 0.78
Portfolio return = 20.0%
Start Date = 2009-12-09
End Date = 2010-03-08

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

Back