S&P 500 Sector Returns (2024)

Returns as of 31 August 2024
Currency: USD

On this page, we present the key metrics of the main US Sectors. The calculations are in USD currency over recent years.

The best performing in the last 10 Years is Information Technology, that granted a +20.09% annualized return.

The worst is Energy, with a +3.26% annualized return in the last 10 Years.

Each asset presented here is carefully evaluated. Please research and study in depth if you want to include it in your portfolio.

By exploring these metrics, you can gain insights into performance trends, volatility, and other crucial factors that can help you build a well-diversified and efficient investment strategy. Whether you are a seasoned investor or just starting, this information aims to support your decision-making process in constructing a robust lazy portfolio.

Metrics as of 31 August 2024

Columns are sortable, US Sectors are pre-ordered by 10Y return.

US SECTORS - USD CURRENCY

Return - Risk - Drawdown

Last Update as of 31 August 2024

Highlighted values indicate returns lower than the US Inflation recorded in the same period. US Inflation is updated to Aug 2024. Inflation (annualized) is 1Y: 2.59% , 3Y: 4.81% , 5Y: 4.17% , 10Y: 2.84%
Returns over 1 year are annualized. Last update: 31 August 2024.

Risk is represented as the annualized Standard Deviation of monthly returns.
High values of Standard Deviation mean high fluctuations in prices.
Last update: 31 August 2024.

The maximum Drawdown is calculated considering the end of month prices.
Low Risk Assets usually grant less severe drawdowns.
Last update: 31 August 2024.

Highlighted values indicate returns lower than the US Inflation recorded in the same period. US Inflation is updated to Aug 2024. 2024: 1.74%, 2023: 3.32%, 2022: 6.41%, 2021: 7.18%
Last update: 31 August 2024.

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USD		Return (%) - Aug 31, 2024							St.Dev. (%)				Ann. Return / St.Dev.				Max Drawdown (%)			Return / Drawdown			Ulcer Index			YTD(%)	Yearly Returns (%)
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	2024	2023	2022	2021	2020	2019	2018	2017
XLK	Information Technology	0.70	5.02	6.81	26.40	12.47	23.81	20.09	18.92	23.36	22.11	19.00	1.40	0.53	1.08	1.06	-31.22	-31.22	-31.22	0.40	0.76	0.64	13.44	10.80	8.21	14.86	56.02	-27.73	34.83	43.62	49.86	-1.66	34.25
SPY		2.34	7.23	11.65	26.92	9.28	15.85	12.88	13.46	17.60	17.85	15.17	2.00	0.53	0.89	0.85	-23.93	-23.93	-23.93	0.39	0.66	0.54	9.92	8.35	6.40	19.34	26.19	-18.17	28.74	18.37	31.22	-4.56	21.70
XLY	Consumer Discretionary	-0.20	6.57	1.91	10.48	1.45	10.37	11.82	18.23	25.00	23.93	19.66	0.57	0.06	0.43	0.60	-36.27	-36.27	-36.27	0.04	0.29	0.33	19.19	15.27	11.17	5.10	39.64	-36.27	27.93	29.63	28.39	1.59	22.82
XLI	Industrials	2.82	6.80	9.35	23.43	9.70	13.58	11.37	15.82	19.74	21.07	18.32	1.48	0.49	0.64	0.62	-20.74	-27.13	-27.13	0.47	0.50	0.42	6.68	7.71	6.51	16.08	18.13	-5.58	21.09	10.96	29.09	-13.24	23.97
XLF	Financials	4.57	10.28	14.26	35.34	8.02	13.46	11.34	14.78	19.85	22.28	19.42	2.39	0.40	0.60	0.58	-23.13	-31.75	-31.75	0.35	0.42	0.36	10.72	12.05	9.62	22.59	12.03	-10.60	34.82	-1.68	31.87	-13.04	22.00
XLV	Healthcare	5.06	9.82	9.37	19.92	6.68	13.52	11.18	11.35	14.78	14.85	14.13	1.75	0.45	0.91	0.79	-13.07	-13.07	-13.21	0.51	1.03	0.85	5.35	4.72	5.05	16.14	2.06	-2.09	25.59	13.34	20.45	6.28	21.77
XLU	Utilities	4.81	5.76	24.86	25.33	6.66	7.26	9.30	15.88	18.16	17.92	15.27	1.60	0.37	0.41	0.61	-17.63	-18.82	-18.82	0.38	0.39	0.49	7.91	8.31	6.96	22.44	-7.17	1.42	16.81	0.57	25.91	3.92	12.03
XLP	Consumer Staples	5.99	7.49	12.48	16.76	7.33	9.20	9.09	9.52	13.91	13.91	12.60	1.76	0.53	0.66	0.72	-12.86	-13.28	-13.63	0.57	0.69	0.67	4.61	4.50	4.37	16.26	-0.83	-0.83	17.20	10.15	27.43	-8.07	12.98
XLB	Materials	2.32	3.50	8.58	16.05	5.41	13.01	8.62	16.30	21.60	21.65	19.18	0.98	0.25	0.60	0.45	-23.73	-26.15	-26.15	0.23	0.50	0.33	8.86	8.36	8.41	11.14	12.45	-12.31	27.45	20.52	24.13	-14.87	24.01
XLC	Communication Services	1.78	5.15	10.62	30.26	1.60	13.01	8.04	12.69	21.01	20.58	17.43	2.38	0.08	0.63	0.46	-43.46	-43.46	-43.46	0.04	0.30	0.19	24.26	19.09	14.54	20.82	52.81	-37.63	15.96	26.91	31.05	-16.77	-5.50
XLRE	Real Estate	5.73	15.62	13.25	21.88	0.14	5.51	7.42	21.70	22.47	20.50	17.70	1.01	0.01	0.27	0.42	-32.25	-32.25	-32.25	0.00	0.17	0.23	19.76	15.99	12.01	10.56	12.37	-26.25	45.26	-2.11	28.69	-2.37	10.69
XLE	Energy	-2.07	-1.27	7.68	6.09	28.53	15.41	3.26	13.00	27.84	36.33	29.76	0.47	1.02	0.42	0.11	-17.12	-50.44	-63.42	1.67	0.31	0.05	5.92	17.99	27.21	10.64	-0.64	64.17	53.31	-32.51	11.73	-18.21	-0.90
Return over 1 year are annualized \| Gray background returns are below inflation for the same period

For further information about the market seasonality, check the Asset Class Seasonality page.

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Correlations as of 31 August 2024

Monthly correlations are calculated over different timeframes.

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US SECTORS MONTHLY CORRELATIONS - USD CURRENCY

Last Update as of 31 August 2024

Swipe left to see all data

	SPY	XLK	XLY	XLC	XLU	XLRE	XLF	XLI	XLV	XLP	XLB	XLE
SPY	-	0.90	0.86	0.95	0.42	0.85	0.84	0.86	0.88	0.77	0.80	0.15
XLK	0.90	-	0.73	0.90	0.18	0.68	0.60	0.60	0.68	0.54	0.52	-0.14
XLY	0.86	0.73	-	0.69	0.28	0.84	0.75	0.88	0.73	0.57	0.80	0.16
XLC	0.95	0.90	0.69	-	0.33	0.72	0.76	0.71	0.84	0.67	0.67	0.12
XLU	0.42	0.18	0.28	0.33	-	0.58	0.58	0.57	0.37	0.67	0.70	0.22
XLRE	0.85	0.68	0.84	0.72	0.58	-	0.87	0.88	0.84	0.76	0.84	0.05
XLF	0.84	0.60	0.75	0.76	0.58	0.87	-	0.91	0.89	0.81	0.88	0.27
XLI	0.86	0.60	0.88	0.71	0.57	0.88	0.91	-	0.82	0.80	0.95	0.31
XLV	0.88	0.68	0.73	0.84	0.37	0.84	0.89	0.82	-	0.85	0.74	0.19
XLP	0.77	0.54	0.57	0.67	0.67	0.76	0.81	0.80	0.85	-	0.76	0.14
XLB	0.80	0.52	0.80	0.67	0.70	0.84	0.88	0.95	0.74	0.76	-	0.45
XLE	0.15	-0.14	0.16	0.12	0.22	0.05	0.27	0.31	0.19	0.14	0.45	-

	SPY	XLK	XLY	XLC	XLU	XLRE	XLF	XLI	XLV	XLP	XLB	XLE
SPY	-	0.92	0.86	0.85	0.66	0.86	0.82	0.91	0.80	0.69	0.87	0.40
XLK	0.92	-	0.84	0.83	0.48	0.72	0.59	0.74	0.60	0.51	0.68	0.19
XLY	0.86	0.84	-	0.72	0.41	0.78	0.66	0.76	0.52	0.40	0.74	0.24
XLC	0.85	0.83	0.72	-	0.53	0.69	0.66	0.68	0.56	0.47	0.68	0.21
XLU	0.66	0.48	0.41	0.53	-	0.72	0.55	0.67	0.69	0.74	0.73	0.36
XLRE	0.86	0.72	0.78	0.69	0.72	-	0.73	0.82	0.76	0.73	0.86	0.22
XLF	0.82	0.59	0.66	0.66	0.55	0.73	-	0.86	0.69	0.60	0.83	0.58
XLI	0.91	0.74	0.76	0.68	0.67	0.82	0.86	-	0.81	0.75	0.92	0.49
XLV	0.80	0.60	0.52	0.56	0.69	0.76	0.69	0.81	-	0.80	0.76	0.35
XLP	0.69	0.51	0.40	0.47	0.74	0.73	0.60	0.75	0.80	-	0.73	0.36
XLB	0.87	0.68	0.74	0.68	0.73	0.86	0.83	0.92	0.76	0.73	-	0.49
XLE	0.40	0.19	0.24	0.21	0.36	0.22	0.58	0.49	0.35	0.36	0.49	-

	SPY	XLK	XLY	XLC	XLU	XLRE	XLF	XLI	XLV	XLP	XLB	XLE
SPY	-	0.92	0.89	0.89	0.59	0.86	0.85	0.91	0.82	0.75	0.88	0.59
XLK	0.92	-	0.86	0.85	0.42	0.73	0.62	0.73	0.67	0.59	0.69	0.38
XLY	0.89	0.86	-	0.79	0.44	0.80	0.69	0.77	0.63	0.54	0.78	0.45
XLC	0.89	0.85	0.79	-	0.48	0.73	0.74	0.75	0.65	0.57	0.74	0.47
XLU	0.59	0.42	0.44	0.48	-	0.69	0.50	0.59	0.59	0.70	0.64	0.27
XLRE	0.86	0.73	0.80	0.73	0.69	-	0.74	0.80	0.74	0.73	0.84	0.41
XLF	0.85	0.62	0.69	0.74	0.50	0.74	-	0.90	0.67	0.65	0.85	0.73
XLI	0.91	0.73	0.77	0.75	0.59	0.80	0.90	-	0.74	0.78	0.91	0.64
XLV	0.82	0.67	0.63	0.65	0.59	0.74	0.67	0.74	-	0.79	0.77	0.46
XLP	0.75	0.59	0.54	0.57	0.70	0.73	0.65	0.78	0.79	-	0.77	0.44
XLB	0.88	0.69	0.78	0.74	0.64	0.84	0.85	0.91	0.77	0.77	-	0.61
XLE	0.59	0.38	0.45	0.47	0.27	0.41	0.73	0.64	0.46	0.44	0.61	-

	SPY	XLK	XLY	XLC	XLU	XLRE	XLF	XLI	XLV	XLP	XLB	XLE
SPY	-	0.91	0.90	0.84	0.46	0.73	0.84	0.91	0.80	0.71	0.87	0.61
XLK	0.91	-	0.85	0.77	0.34	0.60	0.62	0.74	0.62	0.56	0.69	0.41
XLY	0.90	0.85	-	0.76	0.34	0.69	0.70	0.79	0.65	0.55	0.77	0.48
XLC	0.84	0.77	0.76	-	0.40	0.63	0.67	0.71	0.58	0.57	0.70	0.51
XLU	0.46	0.34	0.34	0.40	-	0.69	0.31	0.43	0.43	0.64	0.40	0.18
XLRE	0.73	0.60	0.69	0.63	0.69	-	0.57	0.66	0.65	0.68	0.63	0.34
XLF	0.84	0.62	0.70	0.67	0.31	0.57	-	0.87	0.65	0.56	0.80	0.69
XLI	0.91	0.74	0.79	0.71	0.43	0.66	0.87	-	0.73	0.68	0.88	0.64
XLV	0.80	0.62	0.65	0.58	0.43	0.65	0.65	0.73	-	0.69	0.72	0.44
XLP	0.71	0.56	0.55	0.57	0.64	0.68	0.56	0.68	0.69	-	0.62	0.37
XLB	0.87	0.69	0.77	0.70	0.40	0.63	0.80	0.88	0.72	0.62	-	0.64
XLE	0.61	0.41	0.48	0.51	0.18	0.34	0.69	0.64	0.44	0.37	0.64	-

Terms and Definitions

Correlation values range between -1 and +1

A correlation of +1 indicates that the returns of the two assets move in perfect synchrony; when one asset's returns go up, the other asset's returns also go up by the same percentage, and vice versa. This perfect positive correlation implies that the assets perform similarly in different market conditions.
A correlation of -1 indicates a perfect inverse relationship between the returns of the two assets. When one asset's returns go up, the other asset's returns go down by the same percentage. This perfect negative correlation suggests that the assets move in opposite directions, providing a diversification benefit by reducing overall portfolio risk.
A correlation of 0 means that there is no linear relationship between the returns of the two assets. The returns of one asset do not predict the returns of the other.

Understanding the correlation coefficient between different assets is crucial for several reasons:

Diversification: Knowing the correlation helps investors diversify their portfolios effectively. By selecting assets that have low or negative correlations with each other, investors can reduce overall portfolio risk.
Risk Management: It helps in managing risk by understanding how different assets react to market events. High correlation means that asset prices move together, increasing risk, while low correlation means they move independently, reducing risk.
Optimizing Returns: Correlation analysis aids in optimizing returns by combining assets that complement each other, potentially enhancing the risk-adjusted returns of the portfolio.
Strategic Asset Allocation: It informs strategic asset allocation decisions, helping investors align their portfolios with their risk tolerance and investment goals.

In summary, the correlation coefficient is a vital tool for constructing a balanced and resilient investment portfolio.

You can also focus on more specific Investment Themes, like the following:

Main Asset Classes
Megatrends
World Countries Stock Indexes
Commodities