Week and Month Select SPDR, S&P 500, and Russell 2000 Correlation Matrices
Week
| IWM | SPY | XLB | XLE | XLF | XLI | XLK | XLP | XLU | XLV | XLY | |
| IWM | 90% | 36% | 66% | 88% | 56% | 38% | 67% | 75% | 59% | 58% | |
| SPY | 90% | 69% | 89% | 65% | 84% | 73% | 83% | 93% | 84% | 82% | |
| XLB | 36% | 69% | 79% | -8% | 92% | 96% | 89% | 87% | 92% | 95% | |
| XLE | 66% | 89% | 79% | 40% | 80% | 80% | 75% | 85% | 77% | 78% | |
| XLF | 88% | 65% | -8% | 40% | 17% | -3% | 28% | 37% | 19% | 15% | |
| XLI | 56% | 84% | 92% | 80% | 17% | 97% | 91% | 96% | 99% | 98% | |
| XLK | 38% | 73% | 96% | 80% | -3% | 97% | 85% | 89% | 95% | 95% | |
| XLP | 67% | 83% | 89% | 75% | 28% | 91% | 85% | 94% | 95% | 97% | |
| XLU | 75% | 93% | 87% | 85% | 37% | 96% | 89% | 94% | 96% | 96% | |
| XLV | 59% | 84% | 92% | 77% | 19% | 99% | 95% | 95% | 96% | 99% | |
| XLY | 58% | 82% | 95% | 78% | 15% | 98% | 95% | 97% | 96% | 99% |
|
Month
| IWM | SPY | XLB | XLE | XLF | XLI | XLK | XLP | XLU | XLV | XLY | |
| IWM | 94% | 90% | 93% | 94% | 81% | 84% | 68% | 83% | 92% | 90% | |
| SPY | 94% | 97% | 95% | 92% | 95% | 96% | 73% | 84% | 96% | 98% | |
| XLB | 90% | 97% | 95% | 82% | 96% | 97% | 66% | 77% | 91% | 99% | |
| XLE | 93% | 95% | 95% | 86% | 89% | 93% | 57% | 72% | 88% | 95% | |
| XLF | 94% | 92% | 82% | 86% | 79% | 80% | 73% | 82% | 90% | 85% | |
| XLI | 81% | 95% | 96% | 89% | 79% | 98% | 65% | 73% | 87% | 97% | |
| XLK | 84% | 96% | 97% | 93% | 80% | 98% | 70% | 77% | 91% | 97% | |
| XLP | 68% | 73% | 66% | 57% | 73% | 65% | 70% | 92% | 83% | 65% | |
| XLU | 83% | 84% | 77% | 72% | 82% | 73% | 77% | 92% | 89% | 75% | |
| XLV | 92% | 96% | 91% | 88% | 90% | 87% | 91% | 83% | 89% | 92% | |
| XLY | 90% | 98% | 99% | 95% | 85% | 97% | 97% | 65% | 75% | 92% |
Week - Month Difference
| IWM | SPY | XLB | XLE | XLF | XLI | XLK | XLP | XLU | XLV | XLY | |
| IWM | -4% | -54% | -27% | -6% | -24% | -46% | -1% | -9% | -33% | -33% | |
| SPY | -4% | -28% | -6% | -27% | -11% | -23% | 10% | 10% | -12% | -16% | |
| XLB | -54% | -28% | -16% | -91% | -4% | -1% | 22% | 10% | 1% | -4% | |
| XLE | -27% | -6% | -16% | -46% | -9% | -13% | 18% | 13% | -12% | -18% | |
| XLF | -6% | -27% | -91% | -46% | -62% | -83% | -46% | -45% | -71% | -70% | |
| XLI | -24% | -11% | -4% | -9% | -62% | 0% | 26% | 23% | 12% | 1% | |
| XLK | -46% | -23% | -1% | -13% | -83% | 0% | 14% | 12% | 4% | -3% | |
| XLP | -1% | 10% | 22% | 18% | -46% | 26% | 14% | 2% | 12% | 32% | |
| XLU | -9% | 10% | 10% | 13% | -45% | 23% | 12% | 2% | 7% | 21% | |
| XLV | -33% | -12% | 1% | -12% | -71% | 12% | 4% | 12% | 7% | 7% | |
| XLY | -33% | -16% | -4% | -18% | -70% | 1% | -3% | 32% | 21% | 7% |
- Michael J Bommarito II's blog
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