Suspicious Returns in Your Investments 

More than all the positive returns to the world's major stock market indices over the past three decades occurred overnight.

These extraordinary plots are suspicious.  No variation of "returns are due to the bearing of risk" can explain the significantly negative intraday returns in these plots.  The uncoordinated actions of millions of individual traders should not produce such strikingly consistent return patterns.

You can easily reproduce these plots yourself.  Details are provided in Refs. [2023, data] below.

Frequently Asked Questions

Do these plots have a plausible innocuous explanation?

No.  All innocuous explanations so far proposed have serious problems [2020, 2021].

Is the explanation in [2016] a conspiracy theory?

No.  According to Wikipedia: "A conspiracy theory is an explanation for an event or situation that invokes a conspiracy by sinister and powerful groups, often political in motivation, when other explanations are more probable."

The literature currently contains no plausible alternative explanations for these plots.  The explanation in [2016] is not political in motivation.  "Nerdy and scared" describes most of the quant perps in [2016] more accurately than "sinister and powerful."

The explanation in [2016] involves at most a few firms.  If more than one firm is involved, the explanation in [2016] requires no explicit conspiracy among those firms.  The explanation in [2016] does not require more than one firm.

The explanation in [2016] is easy for regulators to check.

Why then does the Financial Times refer to the explanation in [2016] as "conspiratorial"?

The FT understands the phrase "conspiracy theory" is not appropriate here, but the FT wants to use the phrase anyway, so the FT uses "conspiratorial theory."

On the list of misleading mistakes in the FT's description of this issue, this choice of phrasing doesn't even make the top ten.  Eight of the FT's more important, objective, factual, material, misleading mistakes are noted in a brief rejoinder.  The FT has chosen to leave each of these eight objective, factual, easily checkable errors on the record without correction.

Is the explanation in [2016] crazy?

No.  These plots are crazy, but there they are.  You can reproduce them yourself [data].  The story in [2016] is a straightforward, sane explanation for these crazy plots.

Is the explanation in [2016] complicated?

Not really.  This explanation is provided in varying levels of detail in [2016, 2018, 2019].  The main text of these articles are only 1, 2, and 3 pages, respectively.

What does all this mean for me?


[2016] Information, Impact, Ignorance, Illegality, Investing, and Inequality (SSRN, arXiv)

[2018] How to Increase Global Wealth Inequality for Fun and Profit (SSRN, arXiv)

[2019] Celebrating Three Decades of Worldwide Stock Market Manipulation (SSRN, arXiv)

[2020] Strikingly Suspicious Overnight and Intraday Returns (SSRN, arXiv)

[2021] They Chose to Not Tell You (SSRN, arXiv)

[2022] They Still Haven't Told You (SSRN, arXiv)

[2023] Nothing to See Here: How to Say It When You Need to (SSRN)

[data] The code used to produce these plots is publicly available.  Data are publicly available from Yahoo Finance (e.g., S&P 500 data).  The plots show data through 2023-09-30.