@article {Feldman110, author = {Todd Feldman and Alan Jung and Jim Klein}, title = {Buy and Hold Versus Timing Strategies: The Winner Is {\textellipsis} }, volume = {42}, number = {1}, pages = {110--118}, year = {2015}, doi = {10.3905/jpm.2015.42.1.110}, publisher = {Institutional Investor Journals Umbrella}, 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{\textquoteright}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.TOPICS: Portfolio theory, statistical methods}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/42/1/110}, eprint = {https://jpm.pm-research.com/content/42/1/110.full.pdf}, journal = {The Journal of Portfolio Management} }