Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JOI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Investing
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Investing

The Journal of Investing

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JOI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

Homemade Sector Hedge Funds

Can Investors Replicate the Returns Without Paying the Fees?

Lorenzo Newsome and Pamela A. Turner
The Journal of Investing Winter 2007, 16 (4) 175-189; DOI: https://doi.org/10.3905/joi.2007.698990
Lorenzo Newsome Jr.
The president and chief investment officer of Xavier Capital Management in Largo,MD.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: lnewsome@xaviercapital.com
Pamela A. Turner
An assistant professor in the Department of Finance, International Business and Insurance at Howard University in Washington D.C.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: pturner@howard.edu
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

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

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Investing
Vol. 16, Issue 4
Winter 2007
  • Table of Contents
  • Index by author
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Investing.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Homemade Sector Hedge Funds
(Your Name) has sent you a message from The Journal of Investing
(Your Name) thought you would like to see the The Journal of Investing web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Homemade Sector Hedge Funds
Lorenzo Newsome, Pamela A. Turner
The Journal of Investing Nov 2007, 16 (4) 175-189; DOI: 10.3905/joi.2007.698990

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Homemade Sector Hedge Funds
Lorenzo Newsome, Pamela A. Turner
The Journal of Investing Nov 2007, 16 (4) 175-189; DOI: 10.3905/joi.2007.698990
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • Sector Rotation with Macroeconomic Factors
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN: 1068-0896 | E-ISSN: 2168-8613

  • Site Map
  • Terms & Conditions
  • Cookies
  • Privacy Policy