The two-month equity surge that started off the New Year has lifted virtually all of the marina. But looking back a bit further in time shows that not all shares have been rallying.

In a study prepared by MSCI for Financial Advisor, the global data miner revealed that trailing-one-year returns through February 21, 2012, have been all over the place. Despite current bullishness, average market return over the past 12 months was a modest 3.76%.

But certain sectors have been leading the market forward. Three years since the market bottomed in March 2009, it's surprising to see that defensive stocks have been the top performers over the past 12 months.

Total returns of U.S. utility shares were up 14.28%. Consumer staple shares ranked second, having risen a robust 13.61%. And health-care stocks followed with average gains of nearly 12%.1

Within this parade of defensive shares, cyclical consumer discretionary and information technology shares came in fourth and fifth, up 8.67% and 8.34%, respectively. Despite last year's volatility, the performance of these growth-oriented sectors has reflected the shift in market sentiment from cautious recovery to expansion.

Remnants of the financial crisis, however, are still evident. Financial shares have been the worst drag on the market, having lost 11.71% over the last 12 months. And two key growth-sensitive sectors, materials and industrials, were the second and third worst-performing shares, having declined 2.25% and 0.16%, respectively. This suggests that so far consumers, not manufacturers, have been leading the recovery.

The MSCI study also revealed that global returns-measured in U.S. dollars-have in a number of cases been very different from U.S. returns.

All developed markets (MSCI World Index) and developed plus emerging markets (MSCI All Country World Index) underperformed domestic shares by around 5.7% over the past year. The difference would've been even greater had the U.S. dollar not appreciated over that time. Using the euro as a foreign currency proxy, the dollar had gained 3.91% in value, which boosted the value of foreign equities (at least those denominated in euros) by the same amount.

The largest performance gap between the U.S. and global indices was seen in utility shares. Both developed and all-country indices underperformed U.S. utilities by around 20% over the past year. According to Jennifer Bender, vice president of research at MSCI, this huge gap was the direct result of Japan's nuclear disaster. "Regulatory response to Fukushima was far more aggressive in Europe and Asia than it was in the States," she explained, "hitting foreign utility shares much harder."

For telecom services and materials, the differential was around 8%. The gap for consumer staples was around 6.5%, and for IT it ranged between 5.5% and 6%.