Defensive plays—either by accident or by design—often exhibit somewhat predictable tilts toward specific sectors with low betas.

I thought it would be interesting to look at the recent performance of the actual sectors through the lens of low beta to compare expectations with reality.

By “recent performance,” I mean the past 12 months—a period that’s seen significant up and down trends in the broad market. The resulting snapshot might look quite different if we choose longer or different periods.

In any case, beta measures relative risk to the market, not the risk of the market itself.

The idea here is simply to look at individual sectors and ask: “If I’m going to maintain some kind of U.S. equity exposure, how can I reduce the risk of this exposure relative to the market using sectors?”

As proxies for the sectors, I used the popular Select SPDR family of funds. (Differences between the various families of sector funds are worthy of their own blog.)

As a proxy for the market, I used the SPDR S&P 500 ETF (NYSEArca: SPY). To get the betas for each sector ETF on SPY, I regressed 12 months of total return net asset values (NAVs) ending May 31, 2012.

The results confirmed some expectations, but held a few surprises too.

The sectors that ranked lowest in beta are about what we’d expect. Consumer staples (things people buy in good times and bad), as well as utilities (the light and power we take for granted in the developed world), led the way with betas of 0.57 each.

Another traditional low-beta sector conformed to expectations: Health care showed a low beta of 0.79.

Tech was the only other sector to come in below 1.0. While tech isn’t exactly a defensive play, its 0.93 beta is quite marketlike, which makes sense considering that top tech firms have a huge market presence. After all, three of the top four holdings in our market proxy SPY are tech stocks: Apple, IBM and Microsoft.

More surprising is how returns for the various sectors looked over the past year.

What is really surprising are the returns for the period: how much they differ from sector to sector, and especially how they relate to the sector beta.

All of the Select SPDR sector funds with betas of 1 or less had positive returns, while those with betas higher than 1 had negative returns.

Again, these results will differ substantially if we choose a different time period. And if I knew this snapshot had real predictive power, I’d be scouting out choice retirement properties.

Still, the results are striking. The shiny rearview mirror says a low-beta sector portfolio would have significantly beaten a high-beta portfolio during this period when the market return was basically flat.

Defensive-minded sector investors are likely hoping for a repeat performance.