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Stats › Intraday and market microstructure › Overnight drift

The S&P 500's overnight edge paid 3.7% a year, then stopped in 2021

09:00 to 10:00 ET: -1.20-1.2009:00 to 10:00ET00:00 to 01:00 ET: 0.46+0.4600:00 to 01:00ET01:00 to 02:00 ET: 0.43+0.4301:00 to 02:00ET02:00 to 03:00 ET: 1.50+1.5002:00 to 03:00ET

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.

1.5 bpAverage return in the 02:00 to 03:00 ET hour, 1998 to 2020
t = 7.1The only hour of twenty-four significant at 1% after multiple-testing correction
-0.5Sharpe ratio after costs, against 1.1 before, 2004 to 2020
ZeroApproximate average since January 2021, over 1,245 trading days

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