EQUITY / QUANT
AXIOM RESEARCH
OVERNIGHT ALPHA DECAY
04 / 12
The Overnight Edge Is Eroding
Mean overnight excess return by calendar year, AX 500 constituents
▼ −80.5%
From 2019 peak
Annual Return %
20
15
10
5
0
16.4%
14.8%
12.1%
9.7%
6.4%
3.2%
2019
2020
2021
2022
2023
2024
−28% CAGR