It is known that many sectors/industries within the stock market are correlated with each other. For example, using VIF as a measure of correlation, I have the following result:
Sector ENERGY CONSUMER STAPLES CONSUMER DISCR MATERIALS INFORMATION TECH INDUSTIRALS HEALTH CARE FINANCIALS UTILITIES TELECOM SVC VIF 2.937214 4.268179 10.755497 6.150606 5.023864 14.064349 2.795279 6.054236 2.985639 3.360512
As you can see, VIF for most industries are greater than 5. I was just wondering if
1) there exists data for the uncorrelated sectors or
2) there eixsts a way to extract the "pure" part of a given return stream which is uncorrelated with other parts. I am not even sure if it's possible.