Since COVID, different sectors of the economy have outperformed others. Notably, tech has outperformed energy. You could use a Chow test or similar to determine the date that the sectors started to diverge.

A. Collect ETF data you can easily get from yahoo finance (see below). You can run each regression vs the market, for example, one regression could be: (The sectors I chose are raw materials and construction)

returns_XLK = alpha + beta returns_SPY + e

and the Chow test (or other) will give you a breakpoint. Collect information for other sectors of the economy and see which broke with the market first.

The data https://colab.research.google.com/drive/1GI0oPjB8f-yRPd9gdy4f6WmfbeTLXnkD?usp=sharing

Once you have downloaded all the ETF data let me know.

B. Can someone please help me?

C. If this is too difficult just ignore A & B question and collect the ETF data for my aid.