kotika98

'Long S&P 500 Overnight' Is Not an Advisable Strategy in Bear Markets

there is one little problem with Goldman analysis, and a big one with Raymonds.

I have a problem with Goldman, in that before a couple of years ago, SPY was listed on the AMEX, which means you did not get decent executions, specialists there were notorious crooks. Costs of this strategy would far outweight the benefits in those days. These days SPY is trading electronically so it would not be so hard to execute the strategy, but you get my point. I would check if this conclusions hold if you did it with futures, around 9:30am, and i am not too sure it would still be profitable. We are talking about an average alpha of less than 10 basis points per day here.

The second one is with Raymonds analysis - anyone who is serious about quantitative strategies would know that the way to cure the bear market performance is simply to be long during the night, and short during the day. Thats a very efficient and clear way to avoid the bear market, or in the jargon of the profession to capture "alpha" instead of "beta".