%0 Journal Article %A Jérôme Gava %A Roxton McNeal %A Julien Turc %T The Early Bird Catches the Intraday Trend %D 2021 %R 10.3905/joi.2021.1.209 %J The Journal of Investing %P joi.2021.1.209 %X Large movements during the night tend to have a lasting influence on the next trading session. By following the resulting trends, investors can benefit from fluctuations in the returns of major equity indices during the trading session. This study extends recent research on late-day trading and shows that trends are best caught early during the day. Intraday patterns are revealed using machine learning techniques, and new evidence on the origin of trends is presented. The defensive nature of intraday trend strategies is illustrated by considering the business cycle, investigating correlation with government bonds and simulating the impact on a multi-asset portfolio.Key Findings▪ This study extends recent research on the ‘overnight effect’ and shows that trends can start early during the trading session.▪ Intraday trends may be caused by important economic news and subsequently amplified by portfolio protection rules and options hedging strategies.▪ Intraday trend strategies can be seen through the lens of two complementary investment rationales: a new way to invest in equity momentum and a defensive strategy that may diversify equity exposure in times of drawdown. %U https://joi.pm-research.com/content/iijinvest/early/2021/11/05/joi.2021.1.209.full.pdf