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Select Sector SPDR Returns and Volatility Relative to the S&P 500

Posted November 21st, 2007 by Michael J Bomma...

    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.

Excess Returns 

Symbol Week 2 Week Month 3 Month
XLF -6.3% -4.1% -8.5% -14.3%
XLY -2.4% -1.5% -4.3% -8.0%
XLI -0.7% -1.0% -0.3% -0.4%
XLB -0.7% -3.4% -0.9% 3.3%
XLK 0.8% -3.3% -1.2% 2.9%
XLV 2.2% 4.5% 4.2% 4.5%
XLE 2.9% -0.3% 3.7% 8.9%
XLP 3.3% 6.2% 6.9% 7.4%
XLU 4.2% 4.8% 10.3% 11.0%

Excess Volatility

Symbol Week 2 Week Month 3 Month
XLE 1.9% 1.6% 1.4% 0.8%
XLB 0.9% 0.7% 0.8% 0.5%
XLK 0.5% 0.6% 0.3% 0.1%
XLF 0.2% 1.2% 1.1% 0.7%
XLY 0.1% -0.0% -0.0% 0.2%
XLI -0.2% -0.1% -0.1% 0.1%
XLU -0.2% -0.2% -0.1% -0.1%
XLP -0.3% -0.7% -0.5% -0.5%
XLV -0.4% -0.6% -0.5% -0.4%