Industry correlation matrix.
49 U.S. equity industries · Value-weighted monthly returns
Correlation heat map
Across all 49 industries
Industry returns are not trader alpha.
This map compares historical industry portfolios, not individual traders or their skill. Low positive correlation can offer diversification; negative correlation means returns tended to move in opposite directions over the selected period. Neither guarantees protection in a future downturn.
Data and calculation
Source: Kenneth R. French Data Library · 49 Industry Portfolios. Industries follow SIC classifications, not GICS sectors. Stocks on NYSE, AMEX and NASDAQ are assigned to portfolios each June.
Pearson correlation is calculated from value-weighted monthly portfolio returns, using the latest 36, 60 or 120 observations. Return percentages are used, not price levels. Missing source values (−99.99 or −999) are excluded pairwise; each pair reports its actual shared-month count. Fewer than three shared months or a constant series is shown as unavailable.
Data retrieved September 21, 2026. This is a fixed, reproducible snapshot, not a live market feed. Historical figures and classifications may be revised by the provider. Display rounds to two decimals; ranking uses full precision. Descriptive labels use these thresholds: negative below 0, low positive from 0 to below 0.30, moderate positive from 0.30 to below 0.70, and high positive from 0.70 upward.
Original returns archive · Industry definitions · Download calculation data
Industry code directory
What this means for an alpha exchange
Use the heat map to identify candidates for further comparison. A partnership needs evidence from both traders’ actual returns, after costs, and their benchmark-adjusted performance. A sector relationship does not establish either trader’s skill, and a 50/50 capital split does not imply equal risk.