How US sectors performed during a volatility shock
Since Jan 3, 1983, the record reads this regime on 11% of trading days, across 301 episodes with a typical run of 2 sessions. Across those sessions since Dec 22, 1998, Information Technology did best at +45.3% a year and Energy did worst at +3.2%, against +30.9% 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 | +45.3% | +12.4% | +18.5% | 55% | 42% | 902 |
| Communication Services XLCsince 2018 | +40.4% | +12.3% | +7.2% | 57% | 35.3% | 272 |
| Financials XLF | +29.9% | +7.8% | +3% | 53% | 56% | 902 |
| Consumer Discretionary XLY | +25.3% | +10.4% | -1.5% | 55% | 38.3% | 902 |
| Industrials XLI | +18.8% | +9.4% | -8.1% | 54% | 37.1% | 902 |
| Materials XLB | +18.4% | +8.5% | -8.5% | 54% | 40% | 902 |
| Health Care XLV | +16.9% | +8.5% | -9.9% | 54% | 30.2% | 902 |
| Consumer Staples XLP | +7.5% | +5.3% | -19.4% | 53% | 25.1% | 902 |
| Real Estate XLREsince 2015 | +6.4% | +5% | -25.9% | 56% | 37.2% | 315 |
| Utilities XLU | +6% | +5.4% | -20.9% | 54% | 34.5% | 902 |
| Energy XLE | +3.2% | +10.2% | -23.7% | 52% | 49.6% | 902 |
Context
| Asset | In this regime | All days | vs S&P 500 | Up sessions | Volatility | Sessions |
|---|---|---|---|---|---|---|
| S&P 500 SPY | +30.9% | +10.2% | — | 56% | 34.2% | 1,050 |
| Nasdaq 100 QQQsince 1999 | +47.1% | +13.4% | +20.4% | 54% | 41% | 901 |
| Russell 2000 IWMsince 2000 | +25.3% | +9.8% | -1.3% | 55% | 40.5% | 882 |
| Long Treasuries TLTsince 2002 | -12.6% | +1% | -43.1% | 47% | 19.7% | 790 |
| Gold GLDsince 2004 | +5.7% | +11.7% | -20.3% | 52% | 25.9% | 732 |
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 JSONQuestions
- Which sectors did best during a volatility shock?
- Information Technology +45.3%, Financials +29.9%, Consumer Discretionary +25.3%. Annualised mean next-session returns since Dec 22, 1998; the S&P 500 returned +30.9%.
- How common is this regime, and how long does it last?
- It appears on 11% of trading days since 1983, in 301 separate episodes. The typical run is 2 sessions; the longest lasted 148 sessions.
- Is this regime in force today?
- No. It was last seen Mar 26, 2026 – Apr 8, 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.