Trading is thin, and analysts from Goldman seem to have enough time left to do some silly research. Today analyst Peter Berezin announced holding overnight positions returned nice profits over the last 15 years. Buying at the close and selling in the opening yielded a 309% profit. The other way around, buying at the opening and selling at the close would have lost 58% over the same period. Overnight long positions in the S&P and short positions during the day yielded an impressive 507% profit. Figures don’t add up but we’re dealing with compounding returns.

The fear of holding overnight positions when markets abroad may tumble would be the root of this phenomenon. Curious how these returns would be during another time span, for example excluding the current crisis. Although there’s a theory constructed constructed behind it, my theory is this may very well be a neat example of a data mining bias.

On the other hand, this isn’t very new research. Traderfeed explored it already three years ago. Note that most fireworks takes place outside tradinghours, as macro economic US figures are released one hour before opening.

Jack
Jack