The purpose of this research was to examine risk and return characteristics of pairs trading in different sectors. We collected low frequency price data from January 2, 2005 to December 31, 2014 and our focus was on evaluating the performance of a simple trading strategy for stocks within the same sector. We found that the finance sector generated better risk adjusted returns relative to the other sectors. We also discovered that pairs trading can outperform buy-and-hold of the market index in times of high uncertainty.