Bull and bear markets during the COVID-19 pandemic

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. identify bull bear regimes their correction rally components, demonstrate our model’s performance in capturing periods of significant regime change, provide weekly forecasts that improve risk management investment decisions. An strategy uses out-of-sample states outperforms a buy hold by wide margin, terms annualized returns Sharpe ratios.