FDS vs XLF: Correlation
FactSet (FDS) and Financial Select Sector SPDR Fund (XLF) show a moderate relationship: their 3-year correlation of weekly returns is 0.32.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are FDS and XLF?
Over the past 3 years, FDS and XLF moved with a correlation of 0.32, which is moderate. Lately the two have drifted apart, with the 1-year correlation at 0.17 versus 0.32 over 3 years. Over 5 years the correlation is 0.39, and the annualized covariance of weekly returns is 163.5 %².
Within FDS's tracked universe of 32 assets, XLF comes in at #20 by 3-year correlation. Correlation aside, the last 12 months split them widely, with XLF ahead by 27.9 points (-18.6% versus +9.3%). The rolling one-year correlation moved between 0.17 and 0.66 over the past three years, a moderate range. One caveat on sizing: FDS is 2.0 times as volatile as the other leg, so an equal-dollar split is far from equal-risk.
How is this computed?
Pearson correlation on weekly returns: ρ(A,B) = cov(rA, rB) / (σA · σB), over windows of 52, 156 and 260 weeks. Covariance is annualized (×52) and expressed in %². Full definitions on the methodology page.
FDS vs XLF: side by side
| FDS (FactSet) | XLF (Financial Select Sector SPDR Fund) | |
|---|---|---|
| 1-year return | -18.6% | +9.3% |
| 5-year return | -15.8% | +64.2% |
| Volatility (ann.) | 31.9% | 16.2% |
| Beta vs S&P 500 | 0.56 | 0.84 |
| Max drawdown (3Y) | -61.1% | -15.5% |
| Market cap | $10.8B | – |
| P/E (trailing) | 19.5 | – |
| Dividend yield | 1.51% | 1.42% |
| Expense ratio | – | 0.08% |
| Assets under management | – | $57.9B |
| Sector / category | Financials | Sector ETF |
XLF is a Financial fund from State Street Investment Management: $57.9B under management, 77 holdings, a 0.08% expense ratio, a 1.42% trailing dividend yield.
Year-by-year returns
| Year | FDS | XLF |
|---|---|---|
| 2022 | -16.7% | -10.6% |
| 2023 | +20.0% | +12.0% |
| 2024 | +1.6% | +30.6% |
| 2025 | -38.9% | +14.9% |
| 2026 | +6.0% | +6.6% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Fund exposure
FDS represents 0.13% of XLF's portfolio, so part of any move in XLF is FDS itself, and the correlation between them is partly mechanical.
Are FDS and XLF good diversifiers for each other?
Reasonably. At 0.32, FDS and XLF keep a meaningful degree of independence, and combining them has historically reduced portfolio volatility.
FAQ
What is the correlation between FDS and XLF?
As of 2026-08-27, the correlation of weekly returns between FDS and XLF is 0.32 over 3 years, 0.17 over 1 year and 0.39 over 5 years.
Is XLF a good diversifier for FDS?
Reasonably. At 0.32, FDS and XLF keep a meaningful degree of independence, and combining them has historically reduced portfolio volatility.
What does a correlation of 0.32 mean?
On the −1 to +1 scale, 0.32 describes how much the two returns move together: +1 is lockstep, 0 is independence, negative values mean opposite directions. It says nothing about which performed better.
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Related comparisons
Hubs: FDS correlations · XLF correlations
