A Comparative Analysis of Overnight vs. Daytime Static and Momentum Strategies Across Sector ETFs

This study examines overnight vs. daytime static and momentum strategies applied to ten sector Exchange-traded funds (ETFs) over a 27-year period from 1999 to 2025. Our findings reveal that several such strategies, particularly reversal strategies, consistently outperform static and buy-and-hold strategies. This outperformance decreases significantly when transaction costs are taken into account. We consider two transaction-cost scenarios (1 bps vs. 2 bps), which are industry standards for institutional and retail investors, respectively. We provided a detailed analysis of volatility and drawdowns. Our results indicate that by considering night and daytime separately, it is possible to outperform passive strategies for most sector ETFs.