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 -28.3% 1.7%
Consumer Discretionary XLY 0.97 -39.0% 1.9%
Consumer Staples XLP 0.90 0.86 -5.0% 1.1%
Energy XLE 0.95 0.90 0.81 -37.1% 2.1%
Financials XLF 0.97 0.93 0.82 0.90 -38.4% 2.2%
Healthcare XLV 0.93 0.87 0.85 0.86 0.88 -30.2% 1.2%
Industrials XLI 0.98 0.96 0.86 0.93 0.93 0.87 -31.3% 2.1%
Materials XLB 0.94 0.92 0.80 0.92 0.93 0.82 0.93 -27.4% 2.1%
Technology XLK 0.97 0.94 0.87 0.88 0.90 0.91 0.94 0.87 -24.6% 1.7%
Utilities XLU 0.90 0.83 0.84 0.90 0.84 0.88 0.85 0.79 0.86 14.2% 1.4%

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

Intra-portfolio diversification = 0.89
Portfolio return = -25.8%
Start Date = 2010-04-29
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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