Overnight vs Day Returns
Cumulative return paths
Each leg compounds its own simple returns independently across sessions.
Conditional dependence
Each point pairs a session's Close to open (Gap) return with the following trading session's open-to-close return. The association is descriptive, not a forecast.
Monthly returns
Compounded returns by calendar month for overnight, day, and close-to-close paths. Select a month to inspect daily returns.
Evidence & shape
Per-session means with 95% t-intervals, distribution shape, and where compounded log growth comes from. Intervals are mean ± t·σ/√n — with thousands of sessions they are narrow by construction: tiny means can be statistically real without being economically large.
| Ticker | n | Mean diff | 95% interval | t |
|---|
| Series | Mean | ± 95% | t | Skew | Excess kurtosis | |r−μ|>3σ | Max DD | Overnight share |
|---|
Over time
Mean per-session return by calendar year, by weekday, and on a rolling 252-session window.
Normal reference
Sample quantiles against a fitted normal — straight lines would mean Gaussian returns. Deviations at the ends are the tails.
Summary
Means and medians are per-session returns, not annualized.
Overnight returns span ex-dividend sessions, so dividend drops appear as overnight losses; the decomposition is price-only, not total-return.