Equal-weight across names; 2006-2026; costs 10bps/side.
series ann sharpe total cal val
overnight (c->o) 0.0894 0.7630 3.9978 0.5307 2.2650 intraday (o->c) 0.0699 0.4885 2.5560 1.4535 0.4494 full day (c->c) 0.1635 0.8179 16.2045 2.6605 3.7000 ON strategy gross 0.0894 0.7630 3.9978 0.5307 2.2650 ON strategy net -0.3415 -3.3569 -0.9996 -0.9865 -0.9711 TOM hold gross 0.0340 0.4227 0.8725 0.3482 0.3889 TOM hold net 0.0094 0.1505 0.1925 0.0775 0.1067
Mean daily bps by days-from-month-end (1 = last day)
1 -0.3 2 16.6 3 11.0 4 27.1 5 2.5 6 2.1 7 -5.4 8 3.7 9 -1.7 10 -0.3 11 25.0 12 -0.4 13 8.5 14 -0.4 15 24.8 16 5.7 17 2.0 18 8.8 19 0.5 20 23.7 21 0.8 22 -13.2 23 -19.9
Mean daily bps by days-from-month-start
0 8.2 1 12.6 2 10.6 3 -2.7 4 8.1 5 8.1 6 9.7 7 -3.4
ALL DONE