ES Journal Archive (2009 - 2010)

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March 12 (Bloomberg) -- Investors should take advantage of others’ “fear” of the night, according to a study by Goldman Sachs Group Inc. that shows holding U.S. stocks overnight since 1993 would have quadrupled an investment.

Buying futures on the Standard & Poor’s 500 Index, or a fund that replicates the benchmark for U.S. equities, just as the trading session ends and selling them when the market opens the next day has yielded 309 percent since 1993, New York-based analyst Peter Berezin wrote in a report sent to clients today. The inverse strategy lost 58 percent.


Overnight Spread

The difference between market-close and market-open prices has widened to 9 basis points since October 2008, the study said, from a “long-term” average of 5 basis points. A basis point is 0.01 percentage point.

The best way to benefit is to hold the S&P 500 at night, while short-selling it during the day, Berezin wrote. The strategy would have returned 507 percent in the period, the analyst said, while acknowledging the increased costs of such a trading-intensive strategy. Short-sellers sell borrowed securities on expectations they will be able to repurchase them at a cheaper price before their loan is due. ...



The full article: http://www.bloomberg.com/apps/news?pid=newsarchive&sid=aXhs9g9il2rk
 
Quote from Nagelis:

Buying futures on the Standard & Poor’s 500 Index, just as the trading session ends and selling them when the market opens the next day has yielded 309 percent since 1993,
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Observations:

1. Return % without telling what leverage was used is meaningless.

2. They just discovered the go long overnight after an SDD strategy! :)
 
Quote from Pekelo:

Observations:

1. Return % without telling what leverage was used is meaningless.

2. They just discovered the go long overnight after an SDD strategy! :)
More...


3. They just discovered closing the gap...
 
Quote from Nagelis:

3. They just discovered closing the gap...
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Actually not. They just discovered MAKING the gap....

Basicly they are saying that there are more and bigger upgaps than downgaps, which is not surprizing considering the overall bullish nature of the market over decades...
 
Quote from Pekelo:

Actually not. They just discovered MAKING the gap....

Basicly they are saying that there are more and bigger upgaps than downgaps, which is not surprizing considering the overall bullish nature of the market over decades...
More...

You are right, I got ya.


I was also thinking what we wrote here a few months ago regarding this specific strategy (although I look at it less structured than you do: my point is that I often simply fade a a move during the night, which has worked quite well too):



01-15-09 12:30 PM



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Quote from Pekelo:

I didn't post it because you guys should notice by now, but keeping going long during the night was a simple play because of the 2nd gap rule guarantee...
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Nagelis:


i often fade the extreme moves / continuations during the night, this works usually quite well (except yesterday!)
 
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