A deep dive into the Overnight Returns vs Intra Day Returns of the S&P500 Sector ETFs

This is from a talk I gave at r/finance 2016. To start, I define the Overnight Effect as buying at the close and selling at the open, and the intraday as buying at the open and selling at the close. I applied the above strategy using the 9 sector SPDRs and assuming 2bps roundtrip transaction […]

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Post Preview: The Overnight Returns of the S&P500 vs Day Returns

Quick preview I will be expanding on this in the days to come.

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