Abstract
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
- © 2007 Pageant Media Ltd
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600
Log in using your username and password
In this issue
