Stats › Intraday et microstructure de marché › Overnight drift
The S&P 500's overnight edge paid 3.7% a year, then stopped in 2021
Average return in basis points per day, S&P 500 E-mini futures, 1998 to 2020. These are the four hours the paper states numerically; the other twenty are not quoted here because the paper does not list them individually.
One hour of the overnight session carried the S&P 500 E-mini's entire excess drift for twenty-three years, worth 3.7% a year. Two ETFs launched to harvest it in 2022. Both closed within fifteen months, and the effect has been flat since 2021.
Réservé aux membres
La suite de cette page est réservée aux membres
Below this point there are 7 sections, 1 chart and 2 named sources, roughly 600 words of it. Every figure carries the source it came from and the date the data is from.
Vous pouvez continuer à parcourir gratuitement toutes les statistiques de la bibliothèque. L'introduction et le résumé sont toujours accessibles.