The COVID-19 pandemic was brutal to equity investors. In February and March of 2020, the S&P 500 index suffered a nearly 34% drop in just 23 trading days, after reaching its peak in mid-February. In March, the net flow out of U.S. equity funds and into money market funds reached record amounts, dwarfing the outflows during the 2008–2009 financial crisis or the 2001–2002 market downturn.

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Despite the assertions of many experts that trying to time the market is futile, StoneTurn’s skilled economists Drs. Atanu Saha and Yong Xu propose a simple, hindsight-free, rule-based method of entry and exit into the stock market, with the goal of improving returns by averting large losses.

Based on nearly a century’s worth of data, the authors demonstrate that a market timing strategy delivers robust and statistically significant outperformance over the benchmark S&P 500 total return index.

Read the full paper in the Journal Of Investment Management.

About the Authors

Antanu Saha Headshot

Atanu Saha

Atanu Saha, a Partner with StoneTurn, has over 25 years of experience in the application of economics and finance to complex business issues. He has served as an expert witness […]

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Yong Xu

Dr. Yong Xu, a Managing Director with StoneTurn, brings over 20 years of experience in the application of economics, finance, and statistics to complex business issues. He has provided expert […]

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