RT Journal Article
SR Electronic
T1 Homemade Sector Hedge Funds
JF The Journal of Investing
FD Institutional Investor Journals
SP 175
OP 189
DO 10.3905/joi.2007.698990
VO 16
IS 4
A1 Lorenzo Newsome, Jr.
A1 Pamela A. Turner
YR 2007
UL https://pm-research.com/content/16/4/175.abstract
AB This article examines the monthly returns of sectorexchange-traded funds (ETFs) during the period of January1999 to December 2005 to determine whether employinga momentum/oscillating-based trading strategy (relativestrength index) could yield returns comparable to those ofsimilar hedge fund indices. The sectors used are energy,healthcare, financials, and technology. There is no statisticaldifference in mean returns for either of the four sectorETFs and the hedge fund indices. However, there is sub-stantial economic difference in the hedge fund index returnsand those of the ETFs using the relative strength index (RSI).Based on the RSI strategies, investors would not be able toreplicate hedge fund returns.TOPICS: Real assets/alternative investments/private equity, quantitative methods, statistical methods