Investing In The S&P 500 Index: Can Anything Beat The Buy-And-Hold Strategy?

61 Pages Posted: 17 Dec 2019

See all articles by Hubert Dichtl

Hubert Dichtl

dichtl research & consulting GmbH; University of Hamburg

Date Written: February 2018


Determining whether investment strategies exist that provide higher (risk-adjusted) returns than buying and holding the S&P 500 stock market index is not only highly relevant for finance theory, but also for the asset management industry. This study conducts a comprehensive test using realistic investment strategies based on monthly seasonalities, technical indicators, and fundamental factors (over 4,100 strategies in total). To assess statistical significance, we use Hansen’s (2005) data-snooping-resistant SPA test. The results show that only investment strategies trying to exploit underreaction and overreaction effects with technical indicators dominate the buy-and-hold strategy in some simulation setups. These investment strategies are clearly superior to the strategies based on seasonalities and fundamental factors. Given that underreaction and overreaction effects are mainly justified with cognitive biases, our results support the economic relevance of behavioral finance insights.

Keywords: S&P 500 index, investment strategies, monthly seasonalities, fundamental factors, technical indicators, market anomalies, behavioral finance, superior predictive ability test

JEL Classification: G11, G12, G14

Suggested Citation

Dichtl, Hubert, Investing In The S&P 500 Index: Can Anything Beat The Buy-And-Hold Strategy? (February 2018). Available at SSRN: or

Hubert Dichtl (Contact Author)

dichtl research & consulting GmbH ( email )

Am Bahnhof 7
65812 Bad Soden am Taunus


University of Hamburg ( email )

Moorweidenstr. 18
Hamburg, 20148

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