Investing in these defensive sectors has been a good move during down markets. In the 10 worst performing quarters since 1995, the three defensive sectors outperformed the benchmark in every quarter.

On average, the defensive sectors outperformed the S&P Composite 1500 by 4.9 percentage points in the 10 worst performing sectors over the past two decades, with a quarterly average return of -9.1%, compared to the broader benchmark’s -14% return.

However, the three sectors’ more conservative nature dragged on their performance during bullish periods. In the 10 best performing quarters since 1995, the defensive names underperformed the benchmark in every quarter, trailing the broader S&P Composite 1500 by 5.9 percentage points, with defensives showing an average return of 8.8%, compare to the benchmark’s 14.7% return.

The defensive sectors also typically outperform the benchmark when the CBOE Volatility Index, or so-called VIX, spiked, according to FactSet data. When the average daily VIX levels surpassed 50, defensive sectors saw an average monthly return of -3.9%, compared to the S&P Composite 1500 return of -6.9%.

Max Chen contributed to this article.