Stats › Intraday and market microstructure › Overnight returns

QQQQ paid 23.7% a year overnight and lost 23.3% by day

QQQQ close to open: 23.7%+23.7%QQQQ closeto openQQQQ open to close: -23.3%-23.3%QQQQ opento closeFutures overnight: 2.6%+2.6%FuturesovernightFutures close to close: 4.3%+4.3%Futures closeto close

Left pair: Kelly and Clark, QQQQ risk premia, 1999 to 2006. Right pair: Boyarchenko, Larsen and Whelan, E-mini S&P 500 futures, 1998 to 2019, where close to close is the total and overnight is a component of it, not a separate leg to be added.

US equity returns split into an overnight leg and a session leg. Almost all the long run gain has accrued overnight: QQQQ paid 23.7% a year close to open and minus 23.3% open to close. Trading costs have stopped anyone harvesting it.

+23.7%QQQQ, close to open
-23.3%QQQQ, open to close
1.1Best hour Sharpe, gross
-0.5Same hour, after spreads

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