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.

中文翻译：

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投资标准普尔 500 指数：有什么能打败买入并持有的策略吗？

确定是否存在提供比购买和持有标准普尔 500 股票市场指数更高（风险调整后）回报的投资策略，不仅与金融理论高度相关，而且与资产管理行业密切相关。本研究使用基于每月季节性、技术指标和基本因素（总共超过 4,100 种策略）的现实投资策略进行了全面测试。为了评估统计显着性，我们使用 Hansen (2005) 的数据窥探抵抗 SPA 测试。结果表明，在某些模拟设置中，只有试图利用技术指标来利用反应不足和反应过度效应的投资策略才能主导买入并持有策略。这些投资策略明显优于基于季节性和基本面因素的策略。