COVID-19 impact on the Spanish stock exchange with mean-variance and diversification-based portfolios

Luisa Martínez-Nieto, Francisco Fernández-Navarro, Teresa Montero-Romero and Mariano Carbonero-Ruz

Applied Economics Letters, 2023, vol. 30, issue 4, 416-422

Abstract: This paper examines the out-of-sample performance of thirteen portfolio strategies in the Spanish financial market (Ibex 35) during the COVID-19 pandemic (considering four different periods) by using three standard financial metrics. The main findings of the study are as follows: (i) the only methods outperforming Ibex 35 are those based on risk parity or diversification; (ii) unstable period data caused underperformance of strategies that require a previous estimation of certain hyper-parameters in their formulations.

Date: 2023
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DOI: 10.1080/13504851.2021.1990203

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