How US sectors performed when the composite regime read strong risk off
Since Jan 3, 1983, the record reads this regime on 15.7% of trading days, across 197 episodes with a typical run of 5 sessions. Across those sessions since Dec 22, 1998, Utilities did best at +22.8% a year and Financials did worst at +0.6%, against +7.4% 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 | +22.8% | +5.4% | +16.5% | 55% | 17.4% | 1,333 |
| Real Estate XLREsince 2015 | +12.3% | +5% | +4.5% | 53% | 21.5% | 532 |
| Industrials XLI | +12% | +9.4% | +5.7% | 52% | 21.2% | 1,333 |
| Consumer Staples XLP | +11.3% | +5.3% | +5% | 52% | 14.5% | 1,333 |
| Materials XLB | +10.4% | +8.5% | +4.2% | 51% | 23% | 1,333 |
| Energy XLE | +9.1% | +10.2% | +2.8% | 52% | 27.4% | 1,333 |
| Information Technology XLK | +7.5% | +12.4% | +1.3% | 52% | 26.1% | 1,333 |
| Consumer Discretionary XLY | +4.6% | +10.4% | -1.7% | 51% | 23.4% | 1,333 |
| Communication Services XLCsince 2018 | +3.7% | +12.3% | -4.8% | 54% | 24.6% | 390 |
| Health Care XLV | +3.3% | +8.5% | -3% | 52% | 17.3% | 1,333 |
| Financials XLF | +0.6% | +7.8% | -5.6% | 51% | 25.2% | 1,333 |
Context
| Asset | In this regime | All days | vs S&P 500 | Up sessions | Volatility | Sessions |
|---|---|---|---|---|---|---|
| S&P 500 SPY | +7.4% | +10.2% | — | 52% | 18.2% | 1,479 |
| Nasdaq 100 QQQsince 1999 | +8.8% | +13.4% | +3.3% | 53% | 27.1% | 1,330 |
| Russell 2000 IWMsince 2000 | +6.4% | +9.8% | +1.3% | 52% | 23.5% | 1,307 |
| Long Treasuries TLTsince 2002 | +7.4% | +1% | -0.3% | 53% | 14.7% | 1,214 |
| Gold GLDsince 2004 | +3.3% | +11.7% | -1.1% | 50% | 17.1% | 1,076 |
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?
- Utilities +22.8%, Industrials +12%, Consumer Staples +11.3%. Annualised mean next-session returns since Dec 22, 1998; the S&P 500 returned +7.4%.
- How common is this regime, and how long does it last?
- It appears on 15.7% of trading days since 1983, in 197 separate episodes. The typical run is 5 sessions; the longest lasted 41 sessions.
- Is this regime in force today?
- No. It was last seen Aug 17, 2026 – Aug 21, 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.