How US sectors performed when liquidity was stressed
Since Jan 3, 1983, the record reads this regime on 11.4% of trading days, across 280 episodes with a typical run of 2 sessions. Across those sessions since Dec 22, 1998, Information Technology did best at +47.2% a year and Utilities did worst at +2.9%, against +33.3% for the S&P 500.
Figures as of Sep 23, 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 |
|---|---|---|---|---|---|---|
| Communication Services XLCsince 2018 | +64.8% | +12.3% | +24.1% | 58% | 29.4% | 400 |
| Information Technology XLK | +47.2% | +12.4% | +16% | 55% | 38.4% | 992 |
| Consumer Discretionary XLY | +39.8% | +10.4% | +8.6% | 54% | 35.6% | 992 |
| Financials XLF | +31.3% | +7.8% | +0.1% | 53% | 53.9% | 992 |
| Health Care XLV | +27% | +8.5% | -4.2% | 53% | 26.3% | 992 |
| Materials XLB | +23.4% | +8.5% | -7.8% | 54% | 37% | 992 |
| Industrials XLI | +23.3% | +9.4% | -8% | 55% | 33.9% | 992 |
| Consumer Staples XLP | +18.7% | +5.3% | -12.5% | 54% | 22.3% | 992 |
| Energy XLE | +14% | +10.2% | -17.2% | 55% | 46.8% | 992 |
| Utilities XLU | +2.9% | +5.4% | -28.4% | 52% | 30.3% | 992 |
| Real Estate XLREsince 2015 | +1.7% | +5% | -35.9% | 51% | 30.9% | 450 |
Context
| Asset | In this regime | All days | vs S&P 500 | Up sessions | Volatility | Sessions |
|---|---|---|---|---|---|---|
| S&P 500 SPY | +33.3% | +10.2% | — | 54% | 32.2% | 1,068 |
| Nasdaq 100 QQQsince 1999 | +52.4% | +13.4% | +21.2% | 56% | 37.4% | 992 |
| Russell 2000 IWMsince 2000 | +24.3% | +9.8% | -5.4% | 53% | 38.2% | 980 |
| Long Treasuries TLTsince 2002 | -6.7% | +1% | -29.5% | 48% | 18.9% | 939 |
| Gold GLDsince 2004 | +6.7% | +11.7% | -16.6% | 50% | 23% | 921 |
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?
- Information Technology +47.2%, Consumer Discretionary +39.8%, Financials +31.3%. Annualised mean next-session returns since Dec 22, 1998; the S&P 500 returned +33.3%.
- How common is this regime, and how long does it last?
- It appears on 11.4% of trading days since 1983, in 280 separate episodes. The typical run is 2 sessions; the longest lasted 207 sessions.
- Is this regime in force today?
- No. It was last seen Aug 29, 2025 – Sep 18, 2025. 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.