Overnight and Daytime Returns in Commodity ETFs: Do Session Anomalies Survive Trading Costs and Multiple Testing?
Year: 2026
Type: article
Abstract: We ask whether session-return patterns in commodity exchange-traded funds (ETFs) survive trading costs, multiple testing and implementation constraints. For nine U.S.-listed products over 2007–2025, we evaluate 25 session-specific combinations of Cash, Long, Short, Momentum and Reversal with a self-financing ledger charging actual traded notional. Overnight means are positive for eight funds. The overnight-minus-daytime difference survives a nine-fund Holm adjustment for DBA and SLV, but only DBA survives joint adjustment across 27 session-mean tests. Same-session regressions show no reliable predictability. Of 207 active strategy–fund combinations, 68 beat buy-and-hold before costs, 24 at 1 basis point and four at 2 basis points. Two of these four lose money; the other two, DBE and SLV, show no significant Sharpe-ratio improvement. SPA and stepwise tests reject in none of 27 fund–cost families. Remaining advantages are sensitive to borrow spreads and retrospective outlier treatments. Illustrative participation-rate calculations also indicate limited scale for the least-liquid funds. We find no statistically robust evidence of net outperformance within the tested sample and rule family. This nonrejection does not establish market efficiency or rule out other strategies.
Source: Commodities
Authors: Zhefan Wu, Eugene Pinsky
Institution: Boston University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: gold
Estimated APC paid: $1,207
OpenAlex ID: W7225729198