Volatility shock

How US sectors performed during a volatility shock

Since 2 Jan 1985, the record reads this regime on 5.5% of trading days, across 30 episodes with a typical run of 8 sessions. Across those sessions since 22 Dec 1998, Information Technology did best at +57.6% a year and Consumer Staples did worst at +14.4%, against +40.8% for the S&P 500.

Figures as of 6 Nov 2026 · recomputed every trading day

The regime in the record

Share of trading days
5.5%
Separate episodes
30
Typical run
8 sessions
Longest run
196 sessions
Last seen
6 Nov 2026
Today
In force, since 5 Nov

Sector by sector

Annualised mean return on the session after each regime day. Sorted by the regime figure.

AssetIn this regimeAll daysvs S&P 500Up sessionsVolatilitySessions
Communication Services XLCsince 2018+72.6%+11.3%-2%62%29.8%206
Information Technology XLK+57.6%+11.8%+16.9%56%38.2%579
Financials XLF+50.7%+7.9%+9.9%51%63.7%579
Consumer Discretionary XLY+41.6%+10.6%+0.8%54%40.1%579
Energy XLE+41.5%+10.1%+0.7%55%51.8%579
Industrials XLI+41.4%+9.2%+0.6%54%37.9%579
Materials XLB+34.1%+8.6%-6.7%54%42.2%579
Real Estate XLREsince 2015+31.3%+5.5%-43.4%52%27%206
Health Care XLV+30.9%+8.8%-9.9%54%27.1%579
Utilities XLU+25.7%+5.7%-15.1%54%30.1%579
Consumer Staples XLP+14.4%+5.6%-26.4%55%22.8%579

Context

AssetIn this regimeAll daysvs S&P 500Up sessionsVolatilitySessions
S&P 500 SPY+40.8%+10.1%—56%36.8%579
Nasdaq 100 QQQsince 1999+51.8%+12.9%+11%55%37%579
Russell 2000 IWMsince 2000+44.5%+9.6%+3.8%55%44%579
Long Treasuries TLTsince 2002-11.1%+1%-51.9%47%21%579
Gold GLDsince 2004+8.5%+11.4%-31.4%52%25.2%570

How this regime is defined

Volatility reads high or extreme while market sentiment reads bearish or very bearish.

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 JSON

Questions

Which sectors did best during a volatility shock?
Information Technology +57.6%, Financials +50.7%, Consumer Discretionary +41.6%. Annualised mean next-session returns since 22 Dec 1998; the S&P 500 returned +40.8%.
How common is this regime, and how long does it last?
It appears on 5.5% of trading days since 1985, in 30 separate episodes. The typical run is 8 sessions; the longest lasted 196 sessions.
Is this regime in force today?
Yes — in force since 5 Nov 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.