Defensive Breadth
Defensive breadth at 25% — neutral risk posture
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% of defensive sector groups (staples, utilities, healthcare, REITs) beating SPY over a rolling 63-day window — a risk-on / risk-off regime gauge.
- 0 signals since 2005-01-01.
- Defensive breadth at 25% — neutral risk posture
Defensive Breadth
25%
10-80%
RS Spread
-2.5%
defensive − SPY 63d
Risk-On 1Y Med
+15.2%
88% win
As of
2026-07-20
When to run this study
Run daily. Gauges risk-on vs risk-off by how many defensive sector groups are beating SPY over the last 63 days. Below 10% = defensives broadly lagging (bullish/risk-on); above 80% = defensives leading (risk-off warning, the 2022 bear setup).
Historical results
Forward SPY returns by defensive-breadth band
| Defensive Breadth Band | N (days) | 1M Win% | 1M Med | 3M Win% | 3M Med | 6M Win% | 6M Med | 1Y Win% | 1Y Med |
|---|---|---|---|---|---|---|---|---|---|
| <10% | 1444 | 68.40 | 1.63 | 73 | 4.05 | 84.20 | 7.64 | 88.20 | 15.17 |
| 10-80% | 2694 | 69 | 1.51 | 75.70 | 3.94 | 76.90 | 7.28 | 83.20 | 14.47 |
| >80% | 1197 | 63.20 | 1.73 | 69.40 | 4.60 | 70.60 | 6.35 | 78.50 | 15.03 |