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

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

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.

Suggested Citation

  • Luisa Martínez-Nieto & Francisco Fernández-Navarro & Teresa Montero-Romero & Mariano Carbonero-Ruz, 2023. "COVID-19 impact on the Spanish stock exchange with mean-variance and diversification-based portfolios," Applied Economics Letters, Taylor & Francis Journals, vol. 30(4), pages 416-422, February.
    • Handle: RePEc:taf:apeclt:v:30:y:2023:i:4:p:416-422
    DOI: 10.1080/13504851.2021.1990203
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