This chart plots compounded return for SPY day and night (open-close, close-open) for the prior bull market of 3/03-10/07. Most of the period's gain occurred overnight, though day returns were strong in the initial rally. The overnight returns were consistently good over the period.
This is a similar chart of compounded SPY day and night returns for the recent bull market 3/09-present. Unlike the prior one, the current bull market was up both day and night with advantage going to daytime returns.
One possible explanation would be the visible hand of Ben and Co: heavily pulling levers during market hours to maximize return (of voters).
Source: www.dailyspeculations.com
