How US sectors performed when the composite regime read strong risk off
Since 3 Jan 1986, the record reads this regime on 19.4% of trading days, across 66 episodes with a typical run of 14 sessions. Across those sessions since 22 Dec 1998, Materials did best at +23.6% a year and Utilities did worst at +4.3%, against +15.2% 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 |
|---|---|---|---|---|---|---|
| Communication Services XLCsince 2018 | +37.8% | +11.3% | -3.2% | 57% | 29.4% | 402 |
| Materials XLB | +23.6% | +8.6% | +11.7% | 52% | 27.1% | 1,506 |
| Consumer Discretionary XLY | +20% | +10.6% | +8.1% | 52% | 27.9% | 1,506 |
| Industrials XLI | +19.9% | +9.2% | +8% | 53% | 25.2% | 1,506 |
| Energy XLE | +16.3% | +10.1% | +4.4% | 51% | 32% | 1,506 |
| Financials XLF | +13.9% | +7.9% | +2% | 51% | 31.9% | 1,506 |
| Real Estate XLREsince 2015 | +12.1% | +5.5% | -28.1% | 53% | 26.6% | 465 |
| Health Care XLV | +11.5% | +8.8% | -0.4% | 52% | 20.2% | 1,506 |
| Consumer Staples XLP | +10.3% | +5.6% | -1.6% | 51% | 17.4% | 1,506 |
| Information Technology XLK | +7% | +11.8% | -4.9% | 52% | 33.6% | 1,506 |
| Utilities XLU | +4.3% | +5.7% | -7.6% | 51% | 20.4% | 1,506 |
Context
| Asset | In this regime | All days | vs S&P 500 | Up sessions | Volatility | Sessions |
|---|---|---|---|---|---|---|
| S&P 500 SPY | +15.2% | +10.1% | — | 53% | 23.4% | 1,623 |
| Nasdaq 100 QQQsince 1999 | +2.5% | +12.9% | -8.3% | 52% | 35.8% | 1,466 |
| Russell 2000 IWMsince 2000 | +21.5% | +9.6% | +10.6% | 54% | 26.6% | 1,422 |
| Long Treasuries TLTsince 2002 | +0.8% | +1% | -23.8% | 51% | 16.8% | 1,065 |
| Gold GLDsince 2004 | +16.1% | +11.4% | -9% | 54% | 20.2% | 947 |
How this regime is defined
Composite regime reads Strong risk off 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 the composite regime read strong risk off?
- Materials +23.6%, Consumer Discretionary +20%, Industrials +19.9%. Annualised mean next-session returns since 22 Dec 1998; the S&P 500 returned +15.2%.
- How common is this regime, and how long does it last?
- It appears on 19.4% of trading days since 1986, in 66 separate episodes. The typical run is 14 sessions; the longest lasted 158 sessions.
- Is this regime in force today?
- Yes — in force since 5 Nov 2026. 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.