A new ETF launch from NightShares seeks to tap into a little-known phenomenon in the stock market that has historically generated outsized gains.
The NightShares 500 ETF seeks to replicate the strategy of buying the exchange at the 4 p.m. close, then selling the position the next day when the exchange opens at 9:30 a.m. And then rinse and repeat, because the strategy does not hold exposure to the stock market for the majority of its intraday trading hours.
A body of academic research has backed the strategy, showing that most, if not all, of the stock market’s gains over the past 30 years have been made during night trading sessions rather than during the day.
Data from Bruce Knuteson, a former quantitative trader at DE Shaw, showed that from 1991 to 2021, the S&P 500 overnight session generated a cumulative return of over 1,700%, while the intraday sessions generated a negative cumulative return. The phenomenon was also observed in international markets and several individual stocks.
“This remarkable model is robust, well-established, undisputed, and easily reproducible. You can recreate all of the plots in this article using publicly available data,” Knuteson said.
A 2021 New York Fed Overnight Effect Report stated, “despite the 24-hour nature of the market, returns do not accumulate linearly over the 24 hours.”
Now, NightShares wants to offer investors an effective way to take advantage of this proven strategy.
But ETFs won’t buy all the shares every night and sell them back the next morning because that would create a high level of transaction costs, according to NightShares. Instead, the strategies will use stock index futures and swaps to replicate the strategy.
NightShares has created two ETFs: the NightShares 500 ETF, which trades the S&P 500, and the NightShares 2000 ETF, which trades the Russell 2000 small cap index. Both ETFs are listed on the New York Stock Exchange and have a
“While overnight market outperformance has been identified and documented by a large body of research for some time, until now there was no easy way for ETF investors to capture value. of this phenomenon,” said the CEO of NightShares. said Bruce Lavine.
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