Objective research to aid investing decisions

Value Investing Strategy (Strategy Overview)

Allocations for December 2022 (Final)
Cash TLT LQD SPY

Momentum Investing Strategy (Strategy Overview)

Allocations for December 2022 (Final)
1st ETF 2nd ETF 3rd ETF

Live Test of the Stock Market Overnight Move Effect

October 21, 2022 • Posted in Calendar Effects

Is the stock market overnight move effect exploitable? To investigate, we look at performances of two recently launched exchange-traded funds (ETF) designed to exploit the effect:

  1. NightShares 500 ETF (NSPY), which “seeks to return the night performance of a portfolio of 500 large cap U.S. companies.” The benchmark is SPDR S&P 500 ETF Trust (SPY).
  2. NightShares 2000 ETF (NIWM), which “seeks to return the night performance of a portfolio of 2000 small cap U.S. companies.” The benchmark is iShares Russell 2000 ETF (IWM).

Because available samples are very short, we focus on daily return correlation with the benchmark, average daily return, standard deviation of daily returns and daily reward/risk (average daily return divided by standard deviation of daily returns). We also look at compound annual growth rates (CAGR) and maximum drawdowns (MaxDD) based on daily data. Using daily total returns for NSPY, NIWM and benchmarks during June 28, 2022 through October 7, 2022, we find that: (more…)

Please or subscribe to continue reading...
Gain access to hundreds of premium articles, our momentum strategy, full RSS feeds, and more!  Learn more

Daily Email Updates
Login
Questions?