I have looked into the year report of XLE, an oil index fund. These SPDR index funds are based on the S&P 500. The S&P 500 is divided into 9 sectors. Every company of the S&P 500 is a member of one of these sectors.

It is not clear to me whether a company can be a member of more than one sector.

 The each Select Sector fund (SPDR) tries to invest such that the fund matches the performance of the sector. This is achieved by buying exactly the same funds as contained in the sector.

When I look at the bar diagrams (results for the last 8 years) I see three good sectors: Utilities, Financials, Energy and Industry.  The sectors Health Case, Technlogy, Materials, Consumer Staples and Consumer Discretionary have either returns that are too low or returns that fluctuate too much.