Elm Wealth’s Haghani Shares Award for Uncovering Causes of Overnight Drift in Meme Stocks, Bitcoin

Haghani, Dewey and Ragulin receive the Journal of Investment Management’s Top Honor, the Harry Markowitz Award, for their research

Victor Haghani, founder of Elm Wealth, an independent investment management firm dedicated to cost-effective wealth management, along with his co-researchers Richard Dewey and Vladimir Ragulin, have been awarded the Journal of Investment Management’s (JOIM) 2024 Harry Markowitz award for their research on the overnight drift. This refers to the tendency of some stocks, and other speculative assets such as Bitcoin, to enjoy outsized returns when the markets are closed. The trio’s research article, “Night Moves: Is the Overnight Drift the Grandmother of All Market Anomalies?” extended the existing research on this topic by looking at the behavior of individual stocks in addition to broad stock market indexes.

“Over the past 30 years, $1 invested in the S&P 500 ETF SPY from the open to the close of the stock market would have grown to $1.21, a rate of return below that of Treasury Bills,” Haghani explained regarding his research. “Meanwhile, $1 invested over those 30 years when the stock exchange was closed– buying each day at the market close and selling at the market open the next day– would have grown to $17.17. For many individual stocks, the results are even more dramatic. For example, over the past 15 years since Tesla went public, $1 invested during the day would have turned into just 48 cents, while $1 invested in TSLA in the nighttime would have grown to $476.”

Haghani and team consider the overnight drift to be “one of the most consistent, significant, and overlooked puzzles in finance, referring to it as ‘the grandmother’ of all anomalies.” The trio’s 13-page article was published by the JOIM in the second quarter 2024 edition. They are set to receive the 2024 Harry Markowitz award during the JOIM Spring Conference in April at Santa Clara University.

To receive the Markowitz award, which supports future research and innovation in practical asset management, candidates are selected by JOIM editors and final prize winners are reviewed by the Nobel Prize Laureates of the JOIM Advisory Board.

The researchers have published an update to their article and made a tool available which calculates the day-time and overnight return for any stock or exchange-traded fund (ETF) here.

In addition to Haghani’s award winning paper, he co-authored The Missing Billionaires: A Guide to Better Financial Decisions with Elm Wealth CEO James White, which was selected by The Economist as one of its Best Books of 2023.

Elm Wealth recently launched its first ETF, the Elm Market Navigator ETF. It utilizes the wealth management firm’s proprietary Dynamic Index Investing® strategy that seeks to maximize risk-adjusted returns by algorithmically adjusting its holding of low-cost broad market ETFs in reaction to changing market conditions. Elm Wealth does not offer investment strategies related to the overnight effect.

For more information about ELM, contact Elm Partner and Chief Commercial Officer Jerry Bell at jerry@elmwealth.com.

About Elm Wealth

A Philadelphia-based independent investment firm, Elm Wealth was created as the solution to Founder Victor Haghani’s pursuit of a cost-effective and intelligent way to manage his family’s wealth. Elm Wealth manages more than $2 billion in assets, including its ELM ETF, for approximately 500 families as of 2/5/2025.

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