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. We identify bull and bear market regimes including their bull correction and bear rally compo-nents, demonstrate our model's performance in capturing periods of significant regime change, and provide weekly forecasts that improve risk management and investment decisions. An in-vestment 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.