Maheu John M, McCurdy Thomas H, Song Yong
DeGroote School of Business, McMaster University, Canada.
Rotman School of Management, University of Toronto, 105 St. George Street, Toronto, ON M5S 3E6, Canada.
Financ Res Lett. 2021 Oct;42:102091. doi: 10.1016/j.frl.2021.102091. Epub 2021 Apr 27.
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.
新冠疫情在全球范围内造成了严重破坏。我们分析了这一时期美国股票市场的总体情况，包括对短期和长期投资者的影响。我们识别出牛市和熊市状态，包括它们的牛市回调和熊市反弹部分，展示了我们的模型在捕捉重大状态变化时期的表现，并提供每周预测以改善风险管理和投资决策。在疫情期间，一种使用市场状态样本外预测的投资策略在年化回报率和夏普比率方面都大幅优于买入并持有策略。
