An Analysis of Risk-Adjusted Returns for Trading Moving Average Crossovers Versus a Straight Buy-and-Hold Strategy

This study analyzes the returns of an S&P 500 exchange-traded fund from 1997-2016 to determine the impact to a portfolio’s risk (standard deviation) and return of a straight buy-and-hold investing strategy versus trading... [ view full abstract ]

This study analyzes the returns of an S&P 500 exchange-traded fund from 1997-2016 to determine the impact to a portfolio’s risk (standard deviation) and return of a straight buy-and-hold investing strategy versus trading moving average crossovers. Four moving average pairs (20/100, 20/200,50/200, and 100/200) are analyzed. Results indicate that trading moving averages reduces the risk to an investment portfolio over a straight buy-and-hold strategy.  In addition, the long-term returns associated with trading moving averages are generally comparable to that of a buy-and-hold strategy.