How US sectors performed when volatility was extreme
Since 2 Jan 1985, the record reads this regime on 3.2% of trading days, across 23 episodes with a typical run of 6 sessions. Across those sessions since 22 Dec 1998, Materials did best at +49.8% a year and Utilities did worst at +2.9%, against +47.6% 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 | +49.8% | +8.6% | +11.9% | 55% | 61.1% | 243 |
| Consumer Discretionary XLY | +49.6% | +10.6% | +11.7% | 54% | 56.7% | 243 |
| Information Technology XLK | +49.6% | +11.8% | +11.7% | 51% | 58.8% | 243 |
| Financials XLF | +43.6% | +7.9% | +5.7% | 51% | 89.9% | 243 |
| Health Care XLV | +41.7% | +8.8% | +3.8% | 51% | 44.5% | 243 |
| Energy XLE | +33.4% | +10.1% | -4.6% | 55% | 77.8% | 243 |
| Industrials XLI | +23.5% | +9.2% | -14.4% | 54% | 57.1% | 243 |
| Consumer Staples XLP | +19.1% | +5.6% | -18.8% | 54% | 37.2% | 243 |
| Utilities XLU | +2.9% | +5.7% | -35% | 50% | 54.6% | 243 |
| Communication Services XLCsince 2018 | — | +11.3% | — | — | — | 52 |
| Real Estate XLREsince 2015 | — | +5.5% | — | — | — | 52 |
Context
| Asset | In this regime | All days | vs S&P 500 | Up sessions | Volatility | Sessions |
|---|---|---|---|---|---|---|
| S&P 500 SPY | +47.6% | +10.1% | — | 53% | 54.4% | 266 |
| Nasdaq 100 QQQsince 1999 | +49.5% | +12.9% | +11.6% | 51% | 54.3% | 243 |
| Russell 2000 IWMsince 2000 | +17.1% | +9.6% | -20.9% | 55% | 62.5% | 243 |
| Long Treasuries TLTsince 2002 | -14.5% | +1% | -52.4% | 47% | 27.7% | 232 |
| Gold GLDsince 2004 | +17.2% | +11.4% | -12% | 51% | 33.5% | 216 |
How this regime is defined
Volatility structure reads Extreme 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 extreme?
- Materials +49.8%, Consumer Discretionary +49.6%, Information Technology +49.6%. Annualised mean next-session returns since 22 Dec 1998; the S&P 500 returned +47.6%.
- How common is this regime, and how long does it last?
- It appears on 3.2% of trading days since 1985, in 23 separate episodes. The typical run is 6 sessions; the longest lasted 68 sessions.
- Is this regime in force today?
- No. It was last seen 4 Apr 2025 – 14 Apr 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.