Overnight vs Day Returns
Cumulative return paths
Each leg compounds its own simple returns independently across sessions.
Return distributions
Empirical CDFs and inverse ECDF quantile functions; endpoints are preserved.
Monthly returns
Compounded basket 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.
| Ticker | n | Mean diff | 95% interval | t |
|---|
| Series | Skew | Excess kurtosis | |r−μ|>3σ | Max drawdown | Overnight log 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.
| Ticker | Date range | Overnight mean | Overnight median | Overnight up | Day mean | Day median | Day up | Close to close mean | Close to close median | Close to close up | Overnight 95% interval | Day 95% interval | Close 95% interval |
|---|
95% intervals are t-intervals on the per-session mean (mean ± t·σ/√n); they are narrow by construction — with thousands of sessions, tiny means are statistically real without being economically large. Overnight returns span ex-dividend sessions, so dividend drops appear as overnight losses; the decomposition is price-only, not total-return.