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Building a Strategy to Monetize the Market Overnight Risk Premium

Released on Tuesday, July 26, 2022MARKETS
Over the last 20 years, the majority of market returns occurred during the hours when markets are closed. This points towards a risk premium that has become easier to monetize due to reduced trading commissions on ETFs, allowing investors to turn over portfolios more frequently without incurring large costs.

In this session, Sean Ryan will share his research on how to strategically capitalize on the overnight returns that have driven market performance in the last decade using momentum factors. The presentation will include a breakdown of the research, back tests, and the steps to implement the resulting strategy in your own portfolio.

Historical performance of using momentum factors to forecast overnight returns for ETFs has been astronomical, and based on the research, and it is Sean's opinion that we will continue to see outperformance into the future.

Sean Ryan
Predicting Alpha, CEO

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