Sector Correlations This Year

Here’s a look at sector correlations. I took the ten sector indexes for this year and divided each one by the S&P 500. (With REITS being spun off, there are now eleven.) I then took the results and calculated the correlation each one has to all the others.

To reiterate, I only used the data for this year, and this is the correlation of the relative strength of the indexes, not the indexes themselves.

Here are the results:

Sector Ener Mats Inds Disc Stpl HC Fins Tech Telco Utes
Energy 84.86% 59.31% -52.78% -29.28% -44.88% -20.05% -45.87% 28.52% 28.81%
Material 84.86% 78.57% -52.96% -44.63% -59.59% -19.92% -21.30% 21.52% 17.90%
Industrials 59.31% 78.57% -30.00% -9.43% -74.42% -42.92% -15.15% 44.09% 34.45%
Discretionar -52.78% -52.96% -30.00% 23.85% 8.92% 32.06% -9.25% -28.91% -23.76%
Staples -29.28% -44.63% -9.43% 23.85% 10.64% -45.12% -35.49% 57.72% 69.14%
Health Care -44.88% -59.59% -74.42% 8.92% 10.64% 21.50% -13.29% -25.29% -19.02%
Financials -20.05% -19.92% -42.92% 32.06% -45.12% 21.50% -2.44% -87.13% -76.57%
Tech -45.87% -21.30% -15.15% -9.25% -35.49% -13.29% -2.44% -27.22% -44.49%
Telecom 28.52% 21.52% 44.09% -28.91% 57.72% -25.29% -87.13% -27.22% 89.97%
Utilities 28.81% 17.90% 34.45% -23.76% 69.14% -19.02% -76.57% -44.49% 89.97%

I find this analysis fascinating. For example, you can see that Energy and Materials are closely related as are Utilities and Telecom. Industrials are a close cousin to the Energy/Materials family while Staples aren’t far from the Utes/Telecom family. But Financials are nearly the complete opposite of Utes/Telecom.

Posted by on September 7th, 2016 at 1:02 pm


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