How US sectors performed when volatility was elevated
Since Jan 3, 1983, the record reads this regime on 16.4% of trading days, across 365 episodes with a typical run of 3 sessions. Across those sessions since Dec 22, 1998, Utilities did best at +7.7% a year and Information Technology did worst at -14.5%, against -2.6% 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 | +7.7% | +5.4% | +15.4% | 52% | 20.3% | 1,287 |
| Energy XLE | +3.6% | +10.2% | +11.3% | 50% | 31.4% | 1,287 |
| Health Care XLV | +2.8% | +8.5% | +10.6% | 51% | 20.1% | 1,287 |
| Materials XLB | -0.2% | +8.5% | +7.6% | 50% | 26.7% | 1,287 |
| Consumer Staples XLP | -0.3% | +5.3% | +7.5% | 49% | 16.9% | 1,287 |
| Industrials XLI | -1.3% | +9.4% | +6.5% | 50% | 24.5% | 1,287 |
| Real Estate XLREsince 2015 | -1.3% | +5% | +10.2% | 51% | 23.1% | 440 |
| Consumer Discretionary XLY | -7.6% | +10.4% | +0.1% | 49% | 26.8% | 1,287 |
| Financials XLF | -9.4% | +7.8% | -1.7% | 49% | 30.4% | 1,287 |
| Information Technology XLK | -14.5% | +12.4% | -6.7% | 49% | 31.7% | 1,287 |
| Communication Services XLCsince 2018 | -24.5% | +12.3% | -13.3% | 52% | 27.4% | 355 |
Context
| Asset | In this regime | All days | vs S&P 500 | Up sessions | Volatility | Sessions |
|---|---|---|---|---|---|---|
| S&P 500 SPY | -2.6% | +10.2% | — | 50% | 21.2% | 1,593 |
| Nasdaq 100 QQQsince 1999 | -13.9% | +13.4% | -5.3% | 51% | 34.7% | 1,245 |
| Russell 2000 IWMsince 2000 | -8.1% | +9.8% | +2.2% | 49% | 27.4% | 1,161 |
| Long Treasuries TLTsince 2002 | +14.9% | +1% | +25.8% | 54% | 15.9% | 1,031 |
| Gold GLDsince 2004 | +29.5% | +11.7% | +38.5% | 56% | 17.5% | 898 |
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?
- Utilities +7.7%, Energy +3.6%, Health Care +2.8%. Annualised mean next-session returns since Dec 22, 1998; the S&P 500 returned -2.6%.
- How common is this regime, and how long does it last?
- It appears on 16.4% of trading days since 1983, in 365 separate episodes. The typical run is 3 sessions; the longest lasted 52 sessions.
- Is this regime in force today?
- No. It was last seen Apr 9, 2026 – Apr 13, 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.