Author: Maheu, John M.; McCurdy, Thomas H.; Song, Yong
Title: Bull and bear markets during the COVID-19 pandemic() Cord-id: 12ugt9d6 Document date: 2021_4_27
ID: 12ugt9d6
Snippet: The COVID-19 pandemic has caused severe disruption worldwide. We analyze the aggregate U.S. stock market during this period, including implications for both short and long-horizon investors. We identify bull and bear market regimes including their bull correction and bear rally components, demonstrate our model’s performance in capturing periods of significant regime change, and provide weekly forecasts that improve risk management and investment decisions. An investment strategy that uses out
Document: The COVID-19 pandemic has caused severe disruption worldwide. We analyze the aggregate U.S. stock market during this period, including implications for both short and long-horizon investors. We identify bull and bear market regimes including their bull correction and bear rally components, demonstrate our model’s performance in capturing periods of significant regime change, and provide weekly forecasts that improve risk management and investment decisions. An investment strategy that uses out-of-sample forecasts for market states outperforms a buy and hold strategy during the pandemic by a wide margin, both in terms of annualized returns and Sharpe ratios.
Search related documents:
Co phrase search for related documents- Try single phrases listed below for: 1
Co phrase search for related documents, hyperlinks ordered by date