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 6.8% 0.4%
Consumer Discret Select Sector SPDR XLY 0.76 6.0% 0.6%
Consumer Staples Select Sector SPDR XLP 0.53 0.41 7.1% 0.6%
Energy Select Sector SPDR XLE 0.41 0.17 0.06 -1.2% 1.0%
Financial Select Sector SPDR XLF 0.70 0.49 -0.05 0.44 10.0% 0.9%
Health Care Select Sector SPDR XLV 0.39 0.07 0.17 -0.05 0.13 5.3% 0.6%
Industrial Select Sector SPDR XLI 0.76 0.61 0.27 0.35 0.72 0.06 6.9% 0.6%
Materials Select Sector SPDR XLB 0.68 0.58 0.13 0.52 0.62 -0.03 0.63 7.0% 0.7%
Technology Select Sector SPDR XLK 0.80 0.62 0.50 0.05 0.33 0.31 0.49 0.46 9.1% 0.6%
Utilities Select Sector SPDR XLU 0.30 0.20 0.74 -0.12 -0.24 0.13 0.07 0.02 0.34 6.0% 0.9%

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

Intra-portfolio diversification = 0.34
Portfolio return = 6.3%
Start Date = 2016-11-21
End Date = 2017-02-17

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.