I recently argued that the near-peak profit margins of U.S. companies would fall over the next several quarters, resulting in negative earnings surprises and putting pressure on stock prices. It's possible this process began in the second quarter, during which sentiment soured, unemployment remained stubbornly high, and the recovery in housing flagged. In that context, which sectors are well-protected and which are vulnerable?

Think defensively
I've made no secret about favoring defensive sectors in this environment, and health care and consumer staples provide some buffers going into this earnings season. Their second-quarter earnings estimates have already begun to come down since the end of March and health care is the cheapest sector in the S&P 500 (11.3 times its 2010 earnings per share estimate).

The Consumer Staples Select SPDR ETF (NYSE: XLP) and the Healthcare Select SPDR ETF (NYSE: XLV) track these S&P 500 sectors. Both of them look likely to outperform the SPDR S&P 500 ETF (NYSE: SPY) over the next 12-18 months. (For three individual stocks in these sectors that look attractive, see "3 Stocks and 3 ETFs to Salvage 2010.")

Cyclical is suspect
On the other hand, industrials and financials look particularly vulnerable to disappointments because they're cyclical and they're two of the three sectors that have experienced the highest increase in their second-quarter EPS estimates since the end of March. Worse, for industrials, it's the most expensive sector on the basis of its price-to-earnings multiple (14.8 times its 2010 EPS estimate against 13.1 for the S&P 500).

3 bellwethers
Less than 5% of the S&P 500 will report earnings next week, but that number includes cyclical bellwethers Bank of America (NYSE: BAC), Intel, and General Electric (NYSE: GE). GE has significant industrial and financial businesses, yet its earnings estimates have not budged in at least 60 days. Meanwhile, Bank of America's have declined over the past 30 days and the past seven days (the same is true of another Dow financial, JPMorgan Chase (NYSE: JPM)). If GE meets or exceeds those estimates -- for the right reasons (watch the top line) -- it could indicate that economic activity is holding up better than expected.

If you're concerned about the impact of slowing growth and ballooning government debt on U.S. stocks, there are alternatives for your money. Tim Hanson explains how to make more in 2010.

Fool contributor Alex Dumortier has no beneficial interest in any of the stocks mentioned in this article. Try any of our Foolish newsletters today, free for 30 days. The Motley Fool has a disclosure policy.