A Detailed Look at the "Night Effect" with Bruce Lavine
Excess Returns
00:00
The S&P 500 - Day vs Night?
Over 20 years, the S&P did about 9.5% annualized. About 7.5% of that came at night and just a tad over two came during the day. The volatility of night was about 55 to 60% of the volatility of buy and hold. And thus had a higher sharp ratio than the index itself.
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