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Article

Buy and Hold Versus Timing Strategies: The Winner Is …

Todd Feldman, Alan Jung and Jim Klein
The Journal of Portfolio Management Fall 2015, 42 (1) 110-118; DOI: https://doi.org/10.3905/jpm.2015.42.1.110
Todd Feldman
is a professor of finance at San Francisco State University in San Francisco, CA.
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  • For correspondence: tfeldman@sfsu.edu
Alan Jung
is a professor of finance at San Francisco State University in San Francisco, CA.
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  • For correspondence: alanjung@sfsu.edu
Jim Klein
was a professor of economics at San Francisco State University in San Francisco, CA.
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Abstract

The authors propose three simple market-timing strategies and compare them to other commonly known strategies, such as the yield curve, earnings yield vs. Treasury yield, Shiller CAPE, and S&P 500 200-day simple moving average. The first strategy uses the leading economic indicator (LEI) from the Conference Board. The other two use sentiment indexes from the Baker-Wurger index and the Feldman perceived loss index to trigger the switch between the S&P 500 and three-month Treasury bills. The Conference Board’s LEI strategy earns the highest return of the three strategies, beating the benchmark strategy, which consists of simply holding the S&P 500, by 1.66% per year from 1970 to 2012. Corresponding monthly returns are significantly different from those of the benchmark strategy at the 10% level. The authors also combine strategies and find that a mix of both fundamental and technical strategies produces even greater returns than does any single market timing strategy. The combination of the Conference Board LEI and S&P 500 200-day moving average beats the benchmark strategy by 2.76% annually. Lastly, they find that the Shiller CAPE underperforms all of the market-timing strategies in question, as well as the S&P 500 benchmark strategy.

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The Journal of Portfolio Management: 42 (1)
The Journal of Portfolio Management
Vol. 42, Issue 1
Fall 2015
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Buy and Hold Versus Timing Strategies: The Winner Is …
Todd Feldman, Alan Jung, Jim Klein
The Journal of Portfolio Management Oct 2015, 42 (1) 110-118; DOI: 10.3905/jpm.2015.42.1.110

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Buy and Hold Versus Timing Strategies: The Winner Is …
Todd Feldman, Alan Jung, Jim Klein
The Journal of Portfolio Management Oct 2015, 42 (1) 110-118; DOI: 10.3905/jpm.2015.42.1.110
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  • Article
    • Abstract
    • LITERATURE REVIEW
    • CONFERENCE BOARD STRATEGY
    • YIELD CURVE STRATEGY
    • FED MODEL STRATEGY
    • SHILLER CAPE STRATEGY
    • 200-DAY SIMPLE AVERAGE STRATEGY
    • PERCEIVED LOSS INDEX SENTIMENT STRATEGY
    • BAKER AND WURGLER STRATEGY
    • EMPIRICAL MODEL STRATEGY
    • RESULTS
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
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  • PDF (Subscribers Only)

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