Wednesday, September 23, 2009

A Long-Term Look At Fed Days

Below is a long term chart of market performance on scheduled Fed days. I didn’t include non-scheduled meetings. Those are generally surprise rate cuts that are aimed at boosting the market. They’re inherently bullish yet unpredictable since the meetings aren’t scheduled. Therefore there is no point in including them in this study.
(click chart to enlarge)

Over the last 27 years there’s been a persistent upside edge. The average Fed day has ourperformed the average day by about 7.5 times.

For more studies on Fed days make sure to check out the Fed day link.


DONG said...

Is the trade based on entry on Fed day and exit on close of the day?

Rob Hanna said...

Entry is the SPX previous day's close and exit is the close of the Fed day.

- Rob

David Merkel said...

Wouldn't this be skewed by the prior 25 years being a period of mostly loosening, and thus positive surprises?

Or has a split of the data been done into tightening and loosening cycles?

Anonymous said...

Great study Rob. Where can I get the dates you used?