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S&P 500 Sectors: Beta, Correlation, R2 & Weightings

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S&P 500 Sectors: Beta, Correlation, R2 & Weightings

Most of the information from Table 5 comes from State Street’s SPDR ETF website. SPDR ETF symbols are shown in parentheses. R2 figures are from Morningstar and represent fund categories; not shown are precious metals funds (R2 = 12) and natural resource funds (R2 = 77).

 

Table 5

S&P 500 Sector Stats, November 2015

 

SPDR ETF Sector  (symbol)

Beta

Correlationa

R2

Weightingb

Consumer Discretionary  (XLY)

1.0

0.90

--

13%

Consumer Staples  (XLP)

0.8

0.85

--

10

Energy  (XLE)

1.2

0.70

--

7

Financial Services  (XLFS)

--

--

--

13

Financials  (XLF)

1.0

0.90

81

17

Health Care  (XLV)

1.0

0.85

61

15

Industrials  (XLI)

1.0

0.95

--

10

Materials  (XLB)

1.0

1.00

12

3

Real Estate  (XLRE)

n/a

n/a

59

3

Technology  (XLK)

1.0

0.90

72

23

Utilities  (XLU)

0.7

0.60

43

3

Note: All data as of November 2015

a3-year return correlation to the S&P 500 (total weighting is > 100% due to SPDR ETF holdings)

bWeighting of sector to the S&P 500

 

Table 6

Additional S&P 500 Sector Stats, November 2015

 

SPDR ETF Sector 

SDa

P/E Ratio

P/B Ratio

Consumer Discretionary

11%

22

4.8

Consumer Staples

--

23

5.3

Energy

17

26

1.6

Financial Services

14

13

1.1

Financials

11

15

1.3

Health Care

12

24

3.7

Industrials

12

19

3.7

Materials

16

27

3.0

Real Estate

14

31

17.7

Technology

12

22

3.8

Utilities

14

16

1.7

aP/E ratios are for iShares ETF sector funds as of October 2015

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