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% |
| 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 |
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