Overnight vs Intraday Market Returns

One indicator we like to track regularly in the equity market is the percentage of the market's gains (or losses) that come overnight versus the regular trading day.  To do this, on a daily basis we track the percentage change in the S&P 500 tracking ETF (SPY) from the prior close to the open and then from the open to close.  In the chart below, we show the cumulative gains of each strategy over the last twelve months.

As shown in the chart, a simple buy and hold strategy over the course of the last year has resulted in a gain of 16.2% (green line).  Interestingly, when we break out those returns based on overnight (green) vs. intraday (red) trading, the S&P 500's gains under each strategy is the exact same (7.8%).  Back in March when the S&P 500 saw its first pullback of 6% this year, there was a wide divergence between overnight and intraday returns (overnight was weak, while intraday was strong).  In the current pullback, however, the losses have been more evenly split, although declines during the trading day have been modestly outpacing the losses during overnight trading.

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