How US sectors performed when liquidity was stressed
Since 2 Jan 1985, the record reads this regime on 3.1% of trading days, across 9 episodes with a typical run of 24 sessions. Across those sessions since 22 Dec 1998, Energy did best at +30.6% a year and Industrials did worst at -16%, against +10.6% 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 | +30.6% | +10.1% | +30% | 54% | 58.8% | 312 |
| Health Care XLV | +16.4% | +8.8% | +15.8% | 49% | 30.3% | 312 |
| Utilities XLU | +13.1% | +5.7% | +12.5% | 53% | 38.5% | 312 |
| Consumer Staples XLP | +7.6% | +5.6% | +7% | 52% | 25.5% | 312 |
| Information Technology XLK | +4.6% | +11.8% | +4% | 49% | 41.5% | 312 |
| Consumer Discretionary XLY | -1% | +10.6% | -1.6% | 47% | 42.1% | 312 |
| Materials XLB | -5.9% | +8.6% | -6.5% | 49% | 46.8% | 312 |
| Financials XLF | -10.3% | +7.9% | -10.9% | 45% | 66.8% | 312 |
| Industrials XLI | -16% | +9.2% | -16.6% | 51% | 38.9% | 312 |
| 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 | +10.6% | +10.1% | — | 52% | 39.8% | 330 |
| Nasdaq 100 QQQsince 1999 | +9.7% | +12.9% | +9% | 50% | 39.7% | 312 |
| Russell 2000 IWMsince 2000 | -4.7% | +9.6% | -1.3% | 51% | 46.3% | 288 |
| Long Treasuries TLTsince 2002 | +33.8% | +1% | +37.3% | 53% | 18% | 288 |
| Gold GLDsince 2004 | +30.8% | +11.4% | +34.2% | 52% | 31.3% | 288 |
How this regime is defined
Market liquidity reads Stressed in the daily regime record.
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 when liquidity was stressed?
- Energy +30.6%, Health Care +16.4%, Utilities +13.1%. Annualised mean next-session returns since 22 Dec 1998; the S&P 500 returned +10.6%.
- How common is this regime, and how long does it last?
- It appears on 3.1% of trading days since 1985, in 9 separate episodes. The typical run is 24 sessions; the longest lasted 106 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.