Select SPDR Sector ETF Correlation to the S&P 500

In the past, I've covered the difference between long-term and short-term sector-to-market correlations as a possible arbitrage opportunity. I've performed the analysis just as before, comparing the correlation over the past 50 periods to the previous 500 periods.

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Note that relative to September, most sectors are much closer to the fair line (50-session correlation = 500-session correlation). Most noticeably changed is energy, which is currently exhibiting a much higher correlation. Note as well that financials and consumer discretionary seem much less attractive in a possible bear market, while utilities comes is actually even less correlated currently than in the long-run.

Here is the table of the actual differences.

The divergence between sectors over the last few weeks has marked, with financials and consumer discretionary getting hit the worst. On the upside, concerned investors have reward the consumer staples and utilities funds, both for their safer profile and attractive dividends with falling rates.

Here are two tables summarizing the performance of the Select SPDR Sector ETFs relative to the S&P 500. The first table shows the excess log-return over the indicated period between the fund and the S&P 500 tracker, while the second table shows the amount of volatility (standard deviation of log-return) above the S&P 500 over the specified interval.