Peter Ciampi
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​​I'm a Private investor focused on closed-end fund events and statistical arbitrage of ETFs

25. Daytime and Nighttime returns during SPY’s 4th quarter plunge

12/30/2018

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Followers of this blog may recall the Feb 4, 2018 New York Times article reporting that most of the S&P’s gains occur overnight rather than during the day. I found (and sent two unanswered notes to the NY Times) that this phenomenon was concentrated in years 1994-2008 while from 2008 until Aug 2018, intraday and overnight returns were about equal:  68% intraday and 72% overnight. Now SPY's 14% plunge in the 4th quarter renewed my interest in intraday vs overnight.  Surprise. The 1994-2008 phenomenon has returned. During this quarter SPY’s intraday return has been negative 19 percent while its overnight return has been positive 5 percent.

News certainly moves markets so this 24 percent difference is startling if one compares news volume in the 17.5 hours between 4pm and 9:30 - China and other Asian countries trading between 9 and 4am and European countries trading between 5am and 9:30  - versus news volume in the 6.5 hours between 9:30 and 4pm when news comes only from the US plus 2 hours of Europe trading. Your comments will be appreciated.

Seeing this intraday loss (SPY fell 19%) might support an intuition that trading SPY at noon hasn’t been the best strategy during this period but actually it’s been positive. GDP-based momentum returned 2 percent.  So while buy-and-hold lost 15%, SPY-at-noon was positive.

Over the longer term since since this blog started on July 11, 20  SPY-at-noon (+6%) and buy-and-hold (+7%) have been about equal.

Enjoy 2019

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    May23 Return .31%


    Out-of-Sample return 62%








    Updated at 12 and 4:15pm on trade days

    Author

    Peter Ciampi is the Managing Director of CEF Events LTD, a British Virgin Islands business company and the Managing Partner of Time-Zone Arbitrage,a Delaware LP. Both companies invest in special situations of closed-end funds and statistical arbitrage of international ETFs.

@ 2017 Peter Ciampi
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