The best diversifying assets over the past year have been long-term treasuries and gold. I used bloomberg to look at the correlation between ETFs to get an idea of what goes up when the S&P 500 Index goes down. Over the past year, long-term treasuries (TLT), have had the most negative correlation to the market. Only 2 other ETFs had a negative correlation, GLD and LQD. Gold had a significantly negative correlation, almost as large at treasuries. Investment grade corporate bonds (LQD) had a small negative correlation, so effectively corporate bonds were flat when the market sold off. This check on correlation is a good exercise because different investment only diversify a portfolio if they don't move together. Other sectors with relatively low correlation to the market are utilities and real estate. What had the highest correlation to the market? Financials, technology and industrials. This is not surprising because all 3 sectors are cyclical in nature. Technology is by far the largest sector at 21.1% of the S&P, so by definition, they will be highly correlated. Financials is the second largest sector at 14.7%.