Originally Posted by
Harry
If Billy hasn't answered, I'd like at add a thought to this question.
In addition to day-to-day carryover, what about same day impacts? Recently, I read a article quoting Doug Kass attributing much of the recent volatility due to ETF's and leveraged ETF's as they need to re-balance their holdings by the close. I don't know enough to comment if this would be a large enough impact to move the markets? Anyway, this article and Paul's recent TICK comments on the extreme market moves in the last hour or so has prompted an idea - are the Algo's getting turned on late in the day for these ETF's and can we anticipate the moves by watching the underlying index up to a certain point during the trading day (i.e. 3 PM)?
I do not have the ability to backtest such an observation yet, but I wonder what the winning percentages are?
By the way, I assume the answer is no ... but wanted to solicit Billy's thoughts before I ruled it out. I know we can get many nasty reversals in the last half hour of the trading day.