Key takeaways from “Night Trading: Higher Returns with Lower Risk”:
• Overnight returns show strong long-term persistence (up to 5 years!)
• Some stocks consistently outperform overnight
• Overnight trading strategies can be profitable even after costs
• Potential for lower risk AND higher returns for select stocks
The Overnight Bias Parameter (OBP) model, integrated into the Equities Entity Store, offers a powerful tool for identifying prime night trading opportunities.
The results? An OBP-based portfolio achieved an impressive 24.68% annual return from 1995-2021, with strong risk-adjusted performance (18.58%) and low market correlation (beta of 0.35).
This research challenges traditional risk-return paradigms and opens up exciting possibilities for savvy investors.
Want to learn more about leveraging these overnight return patterns? Check out the full presentation or visit the Equities Entity Store for real-time OBP data and analysis tools.
QUANTITATIVE RESEARCH AND TRADING
The latest theories, models and investment strategies in quantitative research and trading