This article examines the monthly returns of sector exchange-traded funds (ETFs) during the period of January1999 to December 2005 to determine whether employing a momentum/oscillating-based trading strategy (relative strength index) could yield returns comparable to those of similar hedge fund indices. The sectors used are energy,health care, financials, and technology. There is no statistical difference in mean returns for either of the four sector ETFs and the hedge fund indices. However, there is substantial economic difference in the hedge fund index returns and those of the ETFs using the relative strength index (RSI).Based on the RSI strategies, investors would not be able to replicate hedge fund returns.