Moving Average Beats Buy and Hold

Posted on June 16th, 2009 by admin in Quant

We have the latest result from Ted Wong’s studies of stock market prices and dividend data since 1871. He shows that a straightforward Moving Average Crossover method to buy and sell stocks was superior to “buy and hold” over the same period. Both absolute performance and risk adjusted performance of Moving Average Crossover were superior.

Moving Average vs Buy and Hold

We think this is quite an interesting result from an ambitious study. It adds more weight to Wong’s previous findings that timing matters quite a lot and that Buy and Hold suffers as a result. See his previous work here:

What the “Missing Out” Argument Misses

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