I miss the days when total return information for various indexes were available for download. For some reason, companies have decided to take their information offline. For data nerds like me, this is hard to stomach.
I always liked to follow the sector returns for the Dow Jones Total Market Index. Fortunately, iShares has had exchange-traded funds for all ten of the sectors since mid-2000. That data is easy to find.
To calculate these returns, I used the adjusted closing price from Yahoo!.
By far the best performing ETF of the group over the last 15 years was the iShares Consumer Goods (IYK), which had an average annual ROR of 8.44%. The largest holdings in IYK is Proctor & Gamble, Coca-Cola, and Pepsico. This makes sense because consumer goods are usually defensive and hold up well during rough markets.
By far the worst performer over the same period was Telecom (IYZ), which returned only .68% per year. Ouch!