How US sectors performed when volatility was low
Since 2 Jan 1985, the record reads this regime on 26% of trading days, across 91 episodes with a typical run of 17 sessions. Across those sessions since 22 Dec 1998, Information Technology did best at +6.1% a year and Materials did worst at -1.2%, against +7.4% 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 |
|---|---|---|---|---|---|---|
| Communication Services XLCsince 2018 | +11.1% | +11.3% | -0.5% | 54% | 13.8% | 351 |
| Information Technology XLK | +6.1% | +11.8% | +1.3% | 55% | 12.9% | 1,671 |
| Financials XLF | +5.2% | +7.9% | +0.4% | 51% | 12.1% | 1,671 |
| Health Care XLV | +4.9% | +8.8% | +0.1% | 52% | 10.9% | 1,671 |
| Consumer Discretionary XLY | +3.6% | +10.6% | -1.2% | 53% | 11.6% | 1,671 |
| Industrials XLI | +3.1% | +9.2% | -1.7% | 53% | 11.3% | 1,671 |
| Energy XLE | +2.9% | +10.1% | -1.9% | 51% | 18.8% | 1,671 |
| Consumer Staples XLP | +2.8% | +5.6% | -2.1% | 51% | 9.2% | 1,671 |
| Utilities XLU | +2.4% | +5.7% | -2.5% | 53% | 12.8% | 1,671 |
| Materials XLB | -1.2% | +8.6% | -6% | 51% | 13.6% | 1,671 |
| Real Estate XLREsince 2015 | -2.3% | +5.5% | -12.6% | 50% | 13.3% | 754 |
Context
| Asset | In this regime | All days | vs S&P 500 | Up sessions | Volatility | Sessions |
|---|---|---|---|---|---|---|
| S&P 500 SPY | +7.4% | +10.1% | — | 54% | 9.3% | 2,245 |
| Nasdaq 100 QQQsince 1999 | +6.8% | +12.9% | +1.9% | 55% | 12.9% | 1,671 |
| Russell 2000 IWMsince 2000 | +0.5% | +9.6% | -4.4% | 53% | 14.6% | 1,671 |
| Long Treasuries TLTsince 2002 | -0.6% | +1% | -5.4% | 51% | 11.1% | 1,671 |
| Gold GLDsince 2004 | +8.6% | +11.4% | +4% | 52% | 15.1% | 1,653 |
How this regime is defined
Volatility structure reads Low 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 low?
- Information Technology +6.1%, Financials +5.2%, Health Care +4.9%. Annualised mean next-session returns since 22 Dec 1998; the S&P 500 returned +7.4%.
- How common is this regime, and how long does it last?
- It appears on 26% of trading days since 1985, in 91 separate episodes. The typical run is 17 sessions; the longest lasted 202 sessions.
- Is this regime in force today?
- No. It was last seen 3 Dec 2024 – 17 Dec 2024. 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.