Strategies for Investing in the S&P 500

Strategies for Investing in the S&P 500, 2015

202 Pages Posted: 3 Sep 2015

Date Written: January 22, 2015

Abstract

This book presents different investment strategies for the S&P 500 stock-market index. Some of the strategies use fixed rebalancing in which a predetermined part of the portfolio is invested in the S&P 500 while the remainder is invested in government bonds. Other strategies adapt the rebalancing using the P/Book of the S&P 500 and the yield on government bonds. Stop-loss strategies are also presented. The strategies are tested for all starting days and investment periods up to ten years during 1978-2013, which gives a total of more than 75,000 test periods. Extensive performance statistics and comparisons show the advantages and disadvantages of the different investment strategies.

Keywords: S&P 500, Portfolio Optimization, Rebalancing, Stop-Loss

Suggested Citation

Pedersen, Magnus, Strategies for Investing in the S&P 500 (January 22, 2015). Strategies for Investing in the S&P 500, 2015, Available at SSRN: https://ssrn.com/abstract=2653676

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