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

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.

KEYWORDS:

• COVID-19
• Spanish stock exchange
• Ibex 35
• mean-variance portfolios
• diversified strategies
• out-sample performance

JEL CLASSIFICATION:

• G11
• G13
• C11

Acknowledgments

The research work of F.F.N. is funded by the Spanish Ministry of Science under Project ENE2017-88889-C2-1-R.

Disclosure statement

No potential conflict of interest was reported by the author(s).

Additional information

Funding

This work was supported by the Spanish Ministry of Science and Innovation [ENE2017-88889-C2-1-R].