How US sectors performed when volatility was extreme
Since Jan 3, 1983, the record reads this regime on 4.1% of trading days, across 187 episodes with a typical run of 1 sessions. Across those sessions since Dec 22, 1998, Information Technology did best at +38.3% a year and Energy did worst at -11.4%, against +35.2% 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 |
|---|---|---|---|---|---|---|
| Information Technology XLK | +38.3% | +12.4% | +16.5% | 55% | 52.4% | 323 |
| Financials XLF | +21.8% | +7.8% | -0% | 51% | 67.7% | 323 |
| Consumer Staples XLP | +13% | +5.3% | -8.8% | 56% | 32.4% | 323 |
| Consumer Discretionary XLY | +5.6% | +10.4% | -16.2% | 53% | 47% | 323 |
| Health Care XLV | +3.5% | +8.5% | -18.3% | 52% | 38.3% | 323 |
| Communication Services XLCsince 2018 | +0.2% | +12.3% | +1% | 55% | 50.4% | 94 |
| Materials XLB | +0.1% | +8.5% | -21.7% | 52% | 50.4% | 323 |
| Utilities XLU | -2.9% | +5.4% | -24.7% | 53% | 46.3% | 323 |
| Industrials XLI | -5.6% | +9.4% | -27.4% | 53% | 46.2% | 323 |
| Energy XLE | -11.4% | +10.2% | -33.2% | 52% | 66.6% | 323 |
| Real Estate XLREsince 2015 | -43.1% | +5% | -39.7% | 52% | 52% | 113 |
Context
| Asset | In this regime | All days | vs S&P 500 | Up sessions | Volatility | Sessions |
|---|---|---|---|---|---|---|
| S&P 500 SPY | +35.2% | +10.2% | — | 57% | 45.1% | 375 |
| Nasdaq 100 QQQsince 1999 | +40.3% | +13.4% | +18.5% | 51% | 49.6% | 323 |
| Russell 2000 IWMsince 2000 | -9.3% | +9.8% | -27.8% | 52% | 51.2% | 320 |
| Long Treasuries TLTsince 2002 | -9.4% | +1% | -27.9% | 45% | 24.2% | 290 |
| Gold GLDsince 2004 | +2% | +11.7% | -13% | 51% | 31.4% | 284 |
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?
- Information Technology +38.3%, Financials +21.8%, Consumer Staples +13%. Annualised mean next-session returns since Dec 22, 1998; the S&P 500 returned +35.2%.
- How common is this regime, and how long does it last?
- It appears on 4.1% of trading days since 1983, in 187 separate episodes. The typical run is 1 sessions; the longest lasted 29 sessions.
- Is this regime in force today?
- No. It was last seen Mar 31, 2026 – Mar 31, 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.