How US sectors performed when volatility was elevated
Since 2 Jan 1985, the record reads this regime on 22.7% of trading days, across 141 episodes with a typical run of 11 sessions. Across those sessions since 22 Dec 1998, Materials did best at +12.4% a year and Financials did worst at -4.7%, against +2.8% 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 |
|---|---|---|---|---|---|---|
| Materials XLB | +12.4% | +8.6% | +13.1% | 52% | 24.9% | 1,799 |
| Energy XLE | +9.6% | +10.1% | +10.3% | 51% | 29% | 1,799 |
| Industrials XLI | +3.8% | +9.2% | +4.5% | 53% | 21.8% | 1,799 |
| Consumer Staples XLP | +2.9% | +5.6% | +3.7% | 50% | 17% | 1,799 |
| Consumer Discretionary XLY | +1.3% | +10.6% | +2% | 51% | 25% | 1,799 |
| Information Technology XLK | -1.5% | +11.8% | -0.8% | 52% | 29.5% | 1,799 |
| Real Estate XLREsince 2015 | -1.6% | +5.5% | -7% | 54% | 21.7% | 554 |
| Utilities XLU | -2.4% | +5.7% | -1.7% | 51% | 18.8% | 1,799 |
| Health Care XLV | -3.7% | +8.8% | -2.9% | 50% | 19% | 1,799 |
| Financials XLF | -4.7% | +7.9% | -4% | 50% | 28.5% | 1,799 |
| Communication Services XLCsince 2018 | -5.8% | +11.3% | -7.4% | 54% | 24.5% | 495 |
Context
| Asset | In this regime | All days | vs S&P 500 | Up sessions | Volatility | Sessions |
|---|---|---|---|---|---|---|
| S&P 500 SPY | +2.8% | +10.1% | — | 51% | 20% | 2,073 |
| Nasdaq 100 QQQsince 1999 | -0.4% | +12.9% | +0.5% | 53% | 33.1% | 1,782 |
| Russell 2000 IWMsince 2000 | +7.8% | +9.6% | +10.9% | 52% | 24.5% | 1,510 |
| Long Treasuries TLTsince 2002 | +3.8% | +1% | +0.6% | 51% | 15.2% | 1,175 |
| Gold GLDsince 2004 | +27.8% | +11.4% | +27.2% | 55% | 19.5% | 1,105 |
How this regime is defined
Volatility structure reads Elevated 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 volatility was elevated?
- Materials +12.4%, Energy +9.6%, Industrials +3.8%. Annualised mean next-session returns since 22 Dec 1998; the S&P 500 returned +2.8%.
- How common is this regime, and how long does it last?
- It appears on 22.7% of trading days since 1985, in 141 separate episodes. The typical run is 11 sessions; the longest lasted 91 sessions.
- Is this regime in force today?
- No. It was last seen 2 Apr 2026 – 10 Apr 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.