How US sectors performed when liquidity was tight
Since Jan 3, 1983, the record reads this regime on 28.7% of trading days, across 322 episodes with a typical run of 5 sessions. Across those sessions since Dec 22, 1998, Utilities did best at +7.9% a year and Financials did worst at -17.3%, against -5.1% 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 |
|---|---|---|---|---|---|---|
| Utilities XLU | +7.9% | +5.4% | +15.5% | 53% | 22% | 1,251 |
| Real Estate XLREsince 2015 | +5.9% | +5% | -0% | 52% | 21.5% | 387 |
| Communication Services XLCsince 2018 | +2.3% | +12.3% | -3.1% | 53% | 20.8% | 336 |
| Materials XLB | +0.3% | +8.5% | +7.9% | 50% | 25.8% | 1,251 |
| Health Care XLV | -0.1% | +8.5% | +7.5% | 51% | 19.3% | 1,251 |
| Energy XLE | -2.1% | +10.2% | +5.5% | 50% | 29.2% | 1,251 |
| Consumer Staples XLP | -2.5% | +5.3% | +5.1% | 50% | 17% | 1,251 |
| Industrials XLI | -5.6% | +9.4% | +2% | 53% | 22.7% | 1,251 |
| Consumer Discretionary XLY | -7.4% | +10.4% | +0.3% | 50% | 24.4% | 1,251 |
| Information Technology XLK | -12.6% | +12.4% | -5% | 51% | 30.4% | 1,251 |
| Financials XLF | -17.3% | +7.8% | -9.7% | 48% | 27.6% | 1,251 |
Context
| Asset | In this regime | All days | vs S&P 500 | Up sessions | Volatility | Sessions |
|---|---|---|---|---|---|---|
| S&P 500 SPY | -5.1% | +10.2% | — | 52% | 20.3% | 1,558 |
| Nasdaq 100 QQQsince 1999 | -11.7% | +13.4% | -4.1% | 52% | 33% | 1,251 |
| Russell 2000 IWMsince 2000 | -3.6% | +9.8% | +0.6% | 52% | 25.2% | 1,167 |
| Long Treasuries TLTsince 2002 | +16.3% | +1% | +13.8% | 55% | 15.7% | 948 |
| Gold GLDsince 2004 | +34.8% | +11.7% | +33.9% | 57% | 18.4% | 830 |
How this regime is defined
Market liquidity reads Tight 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 tight?
- Utilities +7.9%, Materials +0.3%, Health Care -0.1%. Annualised mean next-session returns since Dec 22, 1998; the S&P 500 returned -5.1%.
- How common is this regime, and how long does it last?
- It appears on 28.7% of trading days since 1983, in 322 separate episodes. The typical run is 5 sessions; the longest lasted 104 sessions.
- Is this regime in force today?
- No. It was last seen Oct 17, 2025 – Oct 28, 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.