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Select Sector SPDR Returns and Volatility Relative to the S&P 500 As Of November 30th, 2007

Posted December 1st, 2007 by Michael J Bomma...

  The past week provided the first signs of support in the overall market for a long while, with financials rising, energy falling, and two consecutive overall days in the black.  The top gainers relative to the S&P for the week were financials and materials, with energy and technology falling the hardest compared to the market.  Crude fell below $90 on Friday as well, likely decreasing inflationary pressure and giving the Fed less downside risk for lowering rates, further widening the difference between financials and energy.

  With respect to volatility, utilities and staples remained the least risky relative to the S&P, with financials and discretionary coming up on top on the other side.

  Here are the table summaries.

 Return

Symbol Week 2 Week Month 3 Month
XLF 2.7% -1.3% -1.6% -7.4%
XLB 2.2% 1.3% -0.1% 4.8%
XLV 0.5% 0.9% 4.3% 4.4%
XLY 0.1% -0.3% -1.5% -6.6%
XLI 0.1% -0.6% 0.4% -0.6%
XLP -0.8% 0.5% 6.3% 8.0%
XLU -1.2% 0.4% 4.3% 8.3%
XLK -1.3% -0.9% -5.2% -0.8%
XLE -3.9% 1.6% 0.3% 1.7%

Volatility

Symbol Week 2 Week Month 3 Month
XLU -1.1% -0.9% -0.6% -0.2%
XLP -1.0% -0.8% -0.8% -0.5%
XLV -0.8% -0.4% -0.5% -0.3%
XLI -0.4% -0.3% -0.2% -0.0%
XLK -0.1% -0.0% 0.2% 0.1%
XLE 0.3% 0.7% 1.1% 0.8%
XLB 0.4% 0.5% 0.6% 0.5%
XLY 0.5% 0.3% 0.1% 0.2%
XLF 1.5% 1.2% 1.1% 0.8%