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Below is a table that shows the performance of a large number of ETFs across all asset classes over the last month, quarter and year to date. Over the last month, every ETF shown was down except for 4 fixed income ETFs. Silver (NYSEARCA:SLV) was down the most of all ETFs with a decline of 28.53%, while Materials (NYSEARCA:XLB) was down more than any other sector at -16.94%. Outside of the US, Russia (NYSEARCA:RSX) actually fell the most in September with a decline of 24.25%, while Japan (NYSEARCA:EWJ) held up the best with a decline of 3.96%. You know it was a bad month when a decline of 3.96% was the BEST performance number. Even gold (NYSEARCA:GLD) was down more than 10% in September.

For the third quarter, Europe took the trophy for the most miserable performance numbers. Russia (RSX) was down the most at -34.35%, followed by Italy (NYSEARCA:EWI) at -32.54%, Germany (NYSEARCA:EWG) at -32.06%, and France (NYSEARCA:EWQ) at -31.08%. These were the only ETFs across all asset classes that fell more than 30% during the quarter.

In the US, the Nasdaq 100 ETF (NASDAQ:QQQ) held up the best among the index ETFs in Q3 with a decline of 7.99%. The Russell 2000 (NYSEARCA:IWM) was the worst performing US index ETF in Q3 with a decline of 22.34%. The S&P Midcap 400 (NYSEARCA:IJH) and S&P Smallcap 600 (NYSEARCA:IJR) weren't far behind, though, with declines of 20.17% and 20.16% respectively. Surprisingly, the S&P 500 Growth ETF (NYSEARCA:IVW) outperformed the S&P 500 Value ETF (NYSEARCA:IVE) in the third quarter by about 500 basis points.

Four sectors here in the US fell more than 20% in the third quarter -- Energy (NYSEARCA:XLE), Financials (NYSEARCA:XLF), Materials (XLB), and Industrials (NYSEARCA:XLI). On the other hand, Utilities (NYSEARCA:XLU) actually gained in the third quarter!

In terms of commodities and currencies, the yen (NYSEARCA:FXY) and gold (GLD) both gained during the third quarter, while everything else highlighted fell. The euro (NYSEARCA:FXE) fell 7.62% during the quarter, oil (NYSEARCA:USO) and natural gas (NYSEARCA:UNG) were both down 18%, and silver (SLV) was down 14.57%.

As noted earlier, the one asset class that has done extremely well in 2011 is fixed income. And the best performing fixed income ETF has been the 20-Year+ Treasury ETF (NYSEARCA:TLT). As shown below, it was up 12.87% in September, 28.37% in the third quarter, and it's up 28.35% year to date.

click to enlarge

Source: A Disastrous Quarter