I am actually reading a paper on this now and trying to figure out if I can come up with a tradeable strategy from it. They use monthly returns from an index that should be closely correlated with the S&P and a list of 35 or so industries based on SIC codes. It looks like their results say the most negatively correlated industries are petroleum, metals, and mining. They actually do have a market timing strategy in their paper but its results are not what most of us would consider tradeable - they get a lower return than the market but a higher sharpe ratio. I think it is not really supposed to be useable, it is more to prove their point that industries can forecast the market. I am wondering if it might be stronger at a shorter time frame or with some extra variables added. Do you have a good list of sector indexes or etfs to work with? I am starting with their industries but I think they would be a pain to use in real time. Here is a link to the paper: http://www.princeton.edu/~hhong/industry-12-05-05.pdf
Do your own homework. I mean, how hard is it to take historical data and run a simple correlation analysis!?