In this paper, we show that simple buy-and-hold strategies over-perform market-timing strategies effectively used by Italian investors in equity mutual funds. We estimate returns from market-timing strategies using aggregate data on net flows for a large sample of equity mutual funds, available to Italian investors, that buy stocks in the following markets: Europe and the euro area, the United States and Emerging markets. In all cases, buy-and-hold over-performs market-timing with extra returns that go from 0.24 per cent per quarter (Europe and euro area) to 0.87 per cent per quarter (US market). These differences are not explained by differences in risk and risk exposure. Investors should re-consider their investment strategies and choose cheaper, in terms of fees and simpler, in terms of portfolio allocation, passive strategies.(J.E.L.: G1, G2).

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