| Sector | Corr. to SPY |
|---|---|
| Loading… | |
Reuses the same daily adjusted-close history already fetched for Sector Performance (the 11 SPDR sector ETFs plus SPY, ~2 years of daily bars) rather than pulling any new Alpha Vantage data. This page is pure client-side analysis of an existing dataset. Daily % returns are computed from those closes, and every pairwise Pearson correlation is computed directly from the aligned daily return series (no smoothing or resampling).
The rolling correlation series takes a 63-trading-day (~one calendar quarter) trailing window, recomputes the average of all 55 sector-pair correlations at each day, and slides that window forward one day at a time. The scatter panel pairs that same rolling series against a rolling 63-day annualized realized volatility of SPY (standard deviation of daily returns × √252), then runs the same Pearson/Spearman regression check used throughout Factor Analysis. Note that adjacent days in a rolling-window series share almost all of their underlying data, so this regression's n overstates how many truly independent observations exist. Treat the r/p values as a rough gauge of direction and strength, not as a rigorous hypothesis test the way the non-overlapping-annual checks on other pages are.
The heatmap intentionally excludes SPY itself (an average of the sectors, not a peer of them). The market-relationship table below the heatmap covers each sector's own correlation to SPY separately.