Monday, 30 March 2009

Not a Morning Person

Volatility Explained

Since the start of 2008, the cumulative return to holding the S&P500 between 9.30am and 2pm been -54%. In contrast, the cumulative return to holding the S&P500 between 2pm and 4pm has been +35%.

This has been worked out by those charitable folk at Goldman Sachs. We must suppose, now that they have told us, that their prop desk has decided it no longer behaves like this.

But I believe that this is yet more evidence that a good City lunch, paid for by someone else's shareholders, benefits everyone.

7 comments:

electro-kevin said...

I'm sure you're right.

Imagine what a good golf course in the heart of the City would do for business then !

Alceste said...

That's not volatility. It's periodicity.

Yes, I know I'm an arse.

William Gruff said...

No one can have had a properly good luncheon before 14:00, that's just not possible, and no one can function properly after a properly good luncheon at 16:00. I suspect that a hearty breakfast at a civilised time (I'm not a morning person either) eaten in the expectation of a first-class dinner, as a prelude to a night on the bottle, is the real cause of the improvement you've observed.

rvi said...

No connection with the opening of the US markets then?

idle said...

The times shown are New York, rvi.

vi said...

Ah....

Elby the Beserk said...

Morning becomes Electra.

But what of evening?