Last Update: 30 November 2023
The best performing Sector in the last 10 years is Information Technology, that granded a +19.89% annualized return.
The worst is Energy, with a +3.73% annualized return in the last 10 years.
The main S&P 500 Sectors can be easily replicated by ETFs.
S&P 500 Sector Metrics
Columns are sortable, assets are pre-ordered by 10 year return.
ASSET CLASSES
Metrics: Return - Risk - Drawdown
Last Update: 30 November 2023
Highlighted values indicate returns lower than the US Inflation recorded in the same period.
US Inflation is updated to Oct 2023.
Waiting for updates, inflation of Nov 2023 is set to 0%.
Current inflation (annualized) is
1Y: 3.35%
, 3Y: 5.74%
, 5Y: 4.07%
, 10Y: 2.82%
Returns over 1 year are annualized. Last update: 30 November 2023.
Returns over 1 year are annualized. Last update: 30 November 2023.
Risk is represented as the annualized Standard Deviation of monthly returns.
High values of Standard Deviation mean high fluctuations in prices.
Last update: 30 November 2023.
High values of Standard Deviation mean high fluctuations in prices.
Last update: 30 November 2023.
The maximum Drawdown is calculated considering the end of month prices.
Low Risk Assets usually grant less severe drawdowns.
Last update: 30 November 2023.
Low Risk Assets usually grant less severe drawdowns.
Last update: 30 November 2023.
Highlighted values indicate returns lower than the US Inflation recorded in the same period.
US Inflation is updated to Oct 2023.
Waiting for updates, inflation of Nov 2023 is set to 0%.
2023: 3.66%, 2022: 6.45%, 2021: 7.04%, 2020: 1.36%
Last update: 30 November 2023.
Last update: 30 November 2023.
Swipe left to see all data
Return (%) - Nov 30, 2023 |
St.Dev. (%) |
Ann. Return / St.Dev. |
Max Drawdown (%) |
Return / Drawdown |
Ulcer Index |
YTD(%) |
Yearly Returns (%) |
Dividend Yield (%) |
|||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ticker | Asset | 1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y ▾ | 1Y | 3Y | 5Y | 10Y | 1Y | 3Y | 5Y | 10Y | 3Y | 5Y | 10Y | 3Y | 5Y | 10Y | 3Y | 5Y | 10Y | 2023 | 2022 | 2021 | 2020 | 2023 | 2022 | 2021 | 2020 |
|
XLK
|
Information Technology |
12.90
|
5.63
|
13.19
|
37.46
|
15.48
|
23.54
|
19.89
|
22.45 | 22.76 | 22.97 | 18.67 | 1.67 | 0.68 | 1.02 | 1.07 | -31.22 | -31.22 | -31.22 | 0.50 | 0.75 | 0.64 | 13.39 | 10.88 | 8.18 |
49.75
|
-27.73
|
34.83
|
43.62
|
0.84 | 0.75 | 0.87 | 1.31 |
|
SPY
|
[Benchmark] S&P 500 |
9.13
|
1.71
|
10.02
|
13.73
|
9.65
|
12.49
|
11.72
|
15.65 | 17.29 | 18.82 | 15.06 | 0.88 | 0.56 | 0.66 | 0.78 | -23.93 | -23.93 | -23.93 | 0.40 | 0.52 | 0.49 | 9.90 | 8.45 | 6.40 |
20.68
|
-18.17
|
28.74
|
18.37
|
1.24 | 1.34 | 1.54 | 1.78 |
|
XLY
|
Consumer Discretionary |
10.97
|
-0.95
|
11.75
|
16.58
|
3.19
|
10.45
|
11.25
|
26.27 | 24.53 | 24.60 | 19.59 | 0.63 | 0.13 | 0.42 | 0.57 | -36.27 | -36.27 | -36.27 | 0.09 | 0.29 | 0.31 | 18.52 | 14.82 | 10.84 |
31.57
|
-36.27
|
27.93
|
29.63
|
0.83 | 0.63 | 0.68 | 1.06 |
|
XLV
|
Healthcare |
5.44
|
-1.02
|
3.57
|
-4.01
|
7.69
|
8.28
|
10.78
|
11.36 | 14.53 | 15.54 | 14.04 | -0.35 | 0.53 | 0.53 | 0.77 | -13.07 | -13.07 | -13.21 | 0.59 | 0.63 | 0.82 | 5.27 | 5.16 | 5.03 |
-2.17
|
-2.09
|
25.59
|
13.34
|
1.16 | 1.42 | 1.66 | 1.67 |
|
XLI
|
Industrials |
8.83
|
-0.69
|
11.43
|
7.03
|
8.41
|
10.05
|
9.89
|
17.05 | 19.85 | 22.42 | 18.18 | 0.41 | 0.42 | 0.45 | 0.54 | -20.74 | -27.13 | -27.13 | 0.41 | 0.37 | 0.36 | 6.68 | 7.87 | 6.52 |
10.33
|
-5.58
|
21.09
|
10.96
|
1.27 | 1.53 | 1.50 | 1.70 |
|
XLF
|
Financials |
10.94
|
4.89
|
14.05
|
0.88
|
10.89
|
8.13
|
9.58
|
20.20 | 20.92 | 23.59 | 19.26 | 0.04 | 0.52 | 0.34 | 0.50 | -23.13 | -31.75 | -31.75 | 0.47 | 0.26 | 0.30 | 10.72 | 12.18 | 9.61 |
6.44
|
-10.60
|
34.82
|
-1.68
|
1.35 | 1.80 | 2.17 | 1.96 |
|
XLU
|
Utilities |
5.14
|
0.49
|
-1.77
|
-9.31
|
2.80
|
5.59
|
8.60
|
14.19 | 18.00 | 17.13 | 14.98 | -0.66 | 0.16 | 0.33 | 0.57 | -17.63 | -18.82 | -18.82 | 0.16 | 0.30 | 0.46 | 7.07 | 7.78 | 6.67 |
-8.86
|
1.42
|
16.81
|
0.57
|
2.21 | 2.91 | 3.23 | 3.09 |
|
XLB
|
Materials |
8.35
|
-0.10
|
10.93
|
1.66
|
7.21
|
10.87
|
8.58
|
20.39 | 21.48 | 22.32 | 19.02 | 0.08 | 0.34 | 0.49 | 0.45 | -23.73 | -26.15 | -26.15 | 0.30 | 0.42 | 0.33 | 8.86 | 8.41 | 8.39 |
7.59
|
-12.31
|
27.45
|
20.52
|
1.45 | 1.96 | 2.05 | 2.05 |
|
XLP
|
Consumer Staples |
4.13
|
-2.23
|
-1.41
|
-6.07
|
4.49
|
7.49
|
7.90
|
12.26 | 14.53 | 14.77 | 12.74 | -0.50 | 0.31 | 0.51 | 0.62 | -12.86 | -13.28 | -13.63 | 0.35 | 0.56 | 0.58 | 4.66 | 4.63 | 4.37 |
-3.44
|
-0.83
|
17.20
|
10.15
|
1.83 | 2.41 | 2.63 | 2.71 |
|
XLRE
|
Real Estate |
12.48
|
1.38
|
5.15
|
-1.63
|
3.95
|
5.26
|
7.54
|
20.93 | 21.38 | 20.16 | 17.05 | -0.08 | 0.18 | 0.26 | 0.44 | -32.24 | -32.24 | -32.24 | 0.12 | 0.16 | 0.23 | 17.54 | 14.36 | 10.90 |
3.33
|
-26.25
|
45.26
|
-2.11
|
2.47 | 2.67 | 3.75 | 3.02 |
|
XLC
|
Communication Services |
7.80
|
3.27
|
12.56
|
36.72
|
3.05
|
10.06
|
6.39
|
20.13 | 20.86 | 21.57 | 17.23 | 1.82 | 0.15 | 0.47 | 0.37 | -43.46 | -43.46 | -43.46 | 0.07 | 0.23 | 0.15 | 24.07 | 19.00 | 14.45 |
46.38
|
-37.63
|
15.96
|
26.91
|
0.88 | 0.69 | 0.85 | 0.85 |
|
XLE
|
Energy |
-0.72
|
-4.18
|
12.24
|
-3.74
|
37.71
|
10.54
|
3.73
|
18.00 | 30.20 | 37.69 | 29.78 | -0.21 | 1.25 | 0.28 | 0.13 | -17.12 | -52.34 | -63.92 | 2.20 | 0.20 | 0.06 | 6.06 | 19.52 | 27.91 |
-0.71
|
64.17
|
53.31
|
-32.51
|
2.51 | 5.90 | 6.27 | 3.65 |
| Return over 1 year are annualized. | |||||||||||||||||||||||||||||||||
For further information about the seasonality, check the Asset Class and Commodity Seasonality page.
Readings that may interest you
S&P 500 Sector Correlations
Monthly correlations of S&P 500 Sectors, over different timeframes.
If your screen resolution is not wide enough, scroll table horizzontally to explore the full dataset. You can click on header columns to sort them and hover on cells for tooltip details.
S&P 500 SECTORS MONTHLY CORRELATIONS
Monthly correlations as of 30 November 2023
Swipe left to see all data
|
SPY
|
XLK
|
XLY
|
XLC
|
XLU
|
XLRE
|
XLF
|
XLI
|
XLV
|
XLP
|
XLB
|
XLE
|
|
|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
SPY
|
-
|
0.87
|
0.93
|
0.88
|
0.60
|
0.91
|
0.72
|
0.87
|
0.73
|
0.70
|
0.87
|
0.42
|
|
XLK
|
0.87
|
-
|
0.84
|
0.85
|
0.43
|
0.68
|
0.38
|
0.64
|
0.43
|
0.47
|
0.57
|
0.00
|
|
XLY
|
0.93
|
0.84
|
-
|
0.88
|
0.31
|
0.85
|
0.69
|
0.82
|
0.51
|
0.46
|
0.87
|
0.38
|
|
XLC
|
0.88
|
0.85
|
0.88
|
-
|
0.45
|
0.78
|
0.51
|
0.60
|
0.45
|
0.52
|
0.71
|
0.35
|
|
XLU
|
0.60
|
0.43
|
0.31
|
0.45
|
-
|
0.58
|
0.34
|
0.57
|
0.78
|
0.91
|
0.53
|
0.37
|
|
XLRE
|
0.91
|
0.68
|
0.85
|
0.78
|
0.58
|
-
|
0.85
|
0.85
|
0.69
|
0.63
|
0.92
|
0.44
|
|
XLF
|
0.72
|
0.38
|
0.69
|
0.51
|
0.34
|
0.85
|
-
|
0.76
|
0.56
|
0.46
|
0.84
|
0.50
|
|
XLI
|
0.87
|
0.64
|
0.82
|
0.60
|
0.57
|
0.85
|
0.76
|
-
|
0.74
|
0.68
|
0.93
|
0.49
|
|
XLV
|
0.73
|
0.43
|
0.51
|
0.45
|
0.78
|
0.69
|
0.56
|
0.74
|
-
|
0.87
|
0.69
|
0.63
|
|
XLP
|
0.70
|
0.47
|
0.46
|
0.52
|
0.91
|
0.63
|
0.46
|
0.68
|
0.87
|
-
|
0.66
|
0.52
|
|
XLB
|
0.87
|
0.57
|
0.87
|
0.71
|
0.53
|
0.92
|
0.84
|
0.93
|
0.69
|
0.66
|
-
|
0.63
|
|
XLE
|
0.42
|
0.00
|
0.38
|
0.35
|
0.37
|
0.44
|
0.50
|
0.49
|
0.63
|
0.52
|
0.63
|
-
|
|
SPY
|
XLK
|
XLY
|
XLC
|
XLU
|
XLRE
|
XLF
|
XLI
|
XLV
|
XLP
|
XLB
|
XLE
|
|
|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
SPY
|
-
|
0.93
|
0.91
|
0.90
|
0.62
|
0.84
|
0.87
|
0.93
|
0.82
|
0.78
|
0.90
|
0.64
|
|
XLK
|
0.93
|
-
|
0.89
|
0.85
|
0.50
|
0.73
|
0.69
|
0.79
|
0.68
|
0.66
|
0.75
|
0.45
|
|
XLY
|
0.91
|
0.89
|
-
|
0.83
|
0.49
|
0.80
|
0.72
|
0.79
|
0.65
|
0.60
|
0.80
|
0.50
|
|
XLC
|
0.90
|
0.85
|
0.83
|
-
|
0.50
|
0.74
|
0.77
|
0.78
|
0.64
|
0.61
|
0.77
|
0.52
|
|
XLU
|
0.62
|
0.50
|
0.49
|
0.50
|
-
|
0.72
|
0.48
|
0.60
|
0.62
|
0.71
|
0.63
|
0.29
|
|
XLRE
|
0.84
|
0.73
|
0.80
|
0.74
|
0.72
|
-
|
0.70
|
0.77
|
0.72
|
0.74
|
0.80
|
0.44
|
|
XLF
|
0.87
|
0.69
|
0.72
|
0.77
|
0.48
|
0.70
|
-
|
0.90
|
0.66
|
0.67
|
0.85
|
0.76
|
|
XLI
|
0.93
|
0.79
|
0.79
|
0.78
|
0.60
|
0.77
|
0.90
|
-
|
0.75
|
0.80
|
0.91
|
0.68
|
|
XLV
|
0.82
|
0.68
|
0.65
|
0.64
|
0.62
|
0.72
|
0.66
|
0.75
|
-
|
0.79
|
0.78
|
0.52
|
|
XLP
|
0.78
|
0.66
|
0.60
|
0.61
|
0.71
|
0.74
|
0.67
|
0.80
|
0.79
|
-
|
0.78
|
0.49
|
|
XLB
|
0.90
|
0.75
|
0.80
|
0.77
|
0.63
|
0.80
|
0.85
|
0.91
|
0.78
|
0.78
|
-
|
0.64
|
|
XLE
|
0.64
|
0.45
|
0.50
|
0.52
|
0.29
|
0.44
|
0.76
|
0.68
|
0.52
|
0.49
|
0.64
|
-
|
|
SPY
|
XLK
|
XLY
|
XLC
|
XLU
|
XLRE
|
XLF
|
XLI
|
XLV
|
XLP
|
XLB
|
XLE
|
|
|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
SPY
|
-
|
0.91
|
0.91
|
0.82
|
0.47
|
0.73
|
0.85
|
0.92
|
0.79
|
0.71
|
0.88
|
0.62
|
|
XLK
|
0.91
|
-
|
0.86
|
0.76
|
0.37
|
0.61
|
0.64
|
0.76
|
0.63
|
0.58
|
0.72
|
0.43
|
|
XLY
|
0.91
|
0.86
|
-
|
0.76
|
0.35
|
0.68
|
0.71
|
0.79
|
0.66
|
0.56
|
0.78
|
0.49
|
|
XLC
|
0.82
|
0.76
|
0.76
|
-
|
0.39
|
0.62
|
0.66
|
0.71
|
0.56
|
0.56
|
0.70
|
0.52
|
|
XLU
|
0.47
|
0.37
|
0.35
|
0.39
|
-
|
0.70
|
0.30
|
0.42
|
0.44
|
0.64
|
0.39
|
0.18
|
|
XLRE
|
0.73
|
0.61
|
0.68
|
0.62
|
0.70
|
-
|
0.56
|
0.64
|
0.65
|
0.67
|
0.62
|
0.35
|
|
XLF
|
0.85
|
0.64
|
0.71
|
0.66
|
0.30
|
0.56
|
-
|
0.87
|
0.64
|
0.55
|
0.80
|
0.70
|
|
XLI
|
0.92
|
0.76
|
0.79
|
0.71
|
0.42
|
0.64
|
0.87
|
-
|
0.72
|
0.69
|
0.88
|
0.65
|
|
XLV
|
0.79
|
0.63
|
0.66
|
0.56
|
0.44
|
0.65
|
0.64
|
0.72
|
-
|
0.67
|
0.72
|
0.44
|
|
XLP
|
0.71
|
0.58
|
0.56
|
0.56
|
0.64
|
0.67
|
0.55
|
0.69
|
0.67
|
-
|
0.62
|
0.39
|
|
XLB
|
0.88
|
0.72
|
0.78
|
0.70
|
0.39
|
0.62
|
0.80
|
0.88
|
0.72
|
0.62
|
-
|
0.64
|
|
XLE
|
0.62
|
0.43
|
0.49
|
0.52
|
0.18
|
0.35
|
0.70
|
0.65
|
0.44
|
0.39
|
0.64
|
-
|
