How US sectors performed during a credit crunch
Since 2 Jan 1985, the record reads this regime on 1.8% of trading days, across 8 episodes with a typical run of 6 sessions. Across those sessions since 22 Dec 1998, Energy did best at +26.3% a year and Materials did worst at -22.9%, against -1.1% for the S&P 500.
Figures as of 6 Nov 2026 · recomputed every trading day
The regime in the record
Sector by sector
Annualised mean return on the session after each regime day. Sorted by the regime figure.
| Asset | In this regime | All days | vs S&P 500 | Up sessions | Volatility | Sessions |
|---|---|---|---|---|---|---|
| Energy XLE | +26.3% | +10.1% | +28.2% | 52% | 72.5% | 187 |
| Consumer Discretionary XLY | +16.4% | +10.6% | +18.3% | 48% | 51% | 187 |
| Health Care XLV | +8.1% | +8.8% | +10% | 45% | 37% | 187 |
| Utilities XLU | +3.9% | +5.7% | +5.8% | 50% | 47.7% | 187 |
| Consumer Staples XLP | +2.2% | +5.6% | +4.1% | 49% | 30.3% | 187 |
| Information Technology XLK | +1.9% | +11.8% | +3.9% | 45% | 50.5% | 187 |
| Financials XLF | -6.5% | +7.9% | -4.6% | 46% | 82% | 187 |
| Industrials XLI | -15% | +9.2% | -13% | 50% | 47.6% | 187 |
| Materials XLB | -22.9% | +8.6% | -21% | 47% | 56.7% | 187 |
| Communication Services XLCsince 2018 | — | +11.3% | — | — | — | 16 |
| Real Estate XLREsince 2015 | — | +5.5% | — | — | — | 16 |
Context
| Asset | In this regime | All days | vs S&P 500 | Up sessions | Volatility | Sessions |
|---|---|---|---|---|---|---|
| S&P 500 SPY | -1.1% | +10.1% | — | 52% | 49.2% | 193 |
| Nasdaq 100 QQQsince 1999 | -2.9% | +12.9% | -1% | 44% | 47.2% | 187 |
| Russell 2000 IWMsince 2000 | +5.8% | +9.6% | +7.8% | 52% | 54.3% | 187 |
| Long Treasuries TLTsince 2002 | +40.7% | +1% | +42.6% | 52% | 20.6% | 187 |
| Gold GLDsince 2004 | +4.5% | +11.4% | +6.4% | 50% | 35.9% | 187 |
How this regime is defined
Credit conditions read stressed or distressed while liquidity reads stressed.
Method and limits
Descriptive statistics over the published regime record — not a backtest, a forecast or advice. Each regime day is credited with the NEXT session's return, so a regime never earns the move that revealed it. Returns are ETF price returns (dividends excluded), annualised as 252 × the mean session return; volatility likewise. Sector funds start in December 1998 (Real Estate in 2015, Communication Services in 2018); the regime record starts in 1980. Labels are the engine's as currently published and are recomputed when its method improves. A figure with fewer than 60 sessions is not shown.
This page's data as JSONQuestions
- Which sectors did best during a credit crunch?
- Energy +26.3%, Consumer Discretionary +16.4%, Health Care +8.1%. Annualised mean next-session returns since 22 Dec 1998; the S&P 500 returned -1.1%.
- How common is this regime, and how long does it last?
- It appears on 1.8% of trading days since 1985, in 8 separate episodes. The typical run is 6 sessions; the longest lasted 67 sessions.
- Is this regime in force today?
- No. It was last seen 23 Mar 2020 – 13 Apr 2020. The daily nine-axis reading is on the Regime Radar.
- Is this a backtest?
- No. It describes how assets behaved on the session after each day the regime was read, with no portfolio, costs or selection. A backtest would test a rule; this records a history.