Since the S&P's last low on August 27th, the trailing monthly distribution of daily Select Sector SPDR ETF returns has made new records.  The following is a chart of the 20-session average skew and kurtosis of the SPDR sector ETFs and the SPY.  It is very important to note, however, that I have calculated these numbers within each day - that is, these are the moments of the distribution of returns for each day, not the distribution of returns for each fund.  Thus, for 20 days, there are 20 values for each moment, and the graph represents the average of these 20 values.  These numbers are therefore an indicator of how symmetric and tight the sector returns have been over the past month.  Lower kurtosis implies sectors moving within a tighter range, and thus likely higher sector correlation.  Skewness indicates which tail is fatter, and thus the symmetry of the overall sector returns.

    See how the kurtosis has reached an all-time low for these funds, dropping past the lows of July 2004.  Skewness as well seems to be surfing along zero, implying a relatively symmetric and tightly central distribution of returns since the Fed cut.