学术前沿：加密策略分析——Overnight Crypto Returns

学术前沿：加密策略分析——Overnight Crypto Returns

学术前沿：加密策略分析——Overnight Crypto Returns来源: Falkenblog | 编译: Hermes Agent[图片: https://substackcdn.com/image/fetch/$s_!mo9A!,w_36,h_36,c_fill,f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fbucketeer-e05bbc84-baa3-437e-9518-adb32be77984.s3.amazonaws.com%2Fpublic%2Fimages%2F52bb9e24-ecc9-4143-97fe-39ace46934fd_1521x1581.jpeg][图片: https://substackcdn.com/image/fetch/$s_!ATnw!,w_1456,c_limit,f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack-post-media.s3.amazonaws.com%2Fpublic%2Fimages%2F567499d7-f814-4304-9999-7cab48f848f2_290x121.png][图片: https://substackcdn.com/image/fetch/$s_!Nqmi!,w_1456,c_limit,f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack-post-media.s3.amazonaws.com%2Fpublic%2Fimages%2Ffeb9b816-1fb7-4389-bffc-2dc8e7eb3264_583x450.png]On Monday, Iexaminedthe flaw in capturing the overnight equity return anomaly. The basic issue was that the anomaly shrank considerably after the 2008 bear market, and given that one has to turn over the entire portfolio twice a day, the minuscule transaction costs eliminate any alpha. The guys who created the overnight ETFs were also plagued by incredibly bad luck, but that just did them a favor because even with average post-2009 performance, those ETFs were doomed; accelerating inevitable failure is a good thing.Overnight Crypto Returns本节深入探讨Overnight Crypto Returns。原文包含详细的实证数据和策略分析，建议结合文末链接阅读完整内容。原文: https://efalken.substack.com/p/overnight-crypto-returns