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 Return1 StdDev2
SPDR S&P 500 SPY -1.6% 0.5%
Consumer Discret Select Sector SPDR XLY 0.80 -0.6% 0.5%
Consumer Staples Select Sector SPDR XLP 0.52 0.29 -0.2% 0.3%
Energy Select Sector SPDR XLE 0.71 0.46 0.50 -2.9% 1.0%
Financial Select Sector SPDR XLF 0.85 0.68 0.24 0.49 -6.9% 0.9%
Health Care Select Sector SPDR XLV 0.74 0.46 0.51 0.49 0.52 0.1% 0.5%
Industrial Select Sector SPDR XLI 0.88 0.76 0.32 0.63 0.71 0.53 -3.1% 0.6%
Materials Select Sector SPDR XLB 0.85 0.74 0.41 0.61 0.65 0.55 0.89 -2.5% 0.7%
Technology Select Sector SPDR XLK 0.91 0.79 0.37 0.50 0.77 0.62 0.83 0.80 -0.3% 0.5%
Utilities Select Sector SPDR XLU -0.14 -0.29 0.35 0.14 -0.45 0.11 -0.16 -0.13 -0.25 2.7% 0.7%

Select Period: 1 Mo | 3 Mo | 6 Mo | 1 Yr | 2 Yr | 5 Yr | 10 Yr

Intra-portfolio diversification = 0.48
Portfolio return = -1.5%
Start Date = 2017-02-22
End Date = 2017-04-13

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

Notes

1 Returns for periods greater than a year are annualized.
2 Standard deviations are for daily returns.