To offer returns which have low or even no correlation with the market index is one of the most widely cited benefits of the market neutral strategies. Thus, market neutral strategies can be applied to generate relative stable returns against the backdrop of increased economic uncertainty. Using market neutral strategies to construct portfolios with stocks from each of the five representative sectors: consumer cyclical sector, healthcare sector, energy sector, technology sector and financial sector, this paper analyzes the return on each portfolio and their linear correlation with the market to figure out which sectors the market neutral strategies are better suited for. The result shows that the portfolios with stocks from each of the healthcare sector, energy sector and financial sector outperformed the market, while the rest of the constructed portfolios underperformed the market. Moreover, the linear correlation analysis demonstrates that the market neutral strategy cannot effectively diversify market risk when the portfolio is from technology sector. Therefore, the market neutral strategy may be more applicable in healthcare sector and energy sector due to the higher return and better risk diversification results, while it may not be well applied to technology sector for the negative return and suboptimal risk diversification result.