Calendar · daily rule · Indexes & ETFs
Pre-FOMC Drift on S&P 500 ETF
What the play says
SPY with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of $10,000 since 2005
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding SPY over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +2.8% | +11.0% | +3.3% | +13.9% |
| Total return | +83% | +861% | +18% | +91% |
| Worst drawdown | −4.3% | −55.2% | −4.3% | −24.5% |
| Volatility | 3.5% | 18.9% | 3.7% | 17.1% |
| Sharpe ratio | 0.31 | 0.55 | −0.12 | 0.62 |
| Time invested | 3% | 100% | ||
| Switches per year | 15.9 | 0 |
Every call, graded
Right on 151 of 348 closed calls (43%). In calls averaged +0.2%; out calls saw SPY move +1.2% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Sep 16, 2026 | OUT | $752.18 | now | +3.4% | open |
| Sep 15, 2026 | IN | $755.51 | Sep 16, 2026 | −0.4% | ✕ wrong |
| Jul 29, 2026 | OUT | $727.65 | Sep 15, 2026 | +3.8% | ✕ wrong |
| Jul 28, 2026 | IN | $739.02 | Jul 29, 2026 | −1.5% | ✕ wrong |
| Jun 17, 2026 | OUT | $737.23 | Jul 28, 2026 | +0.2% | ✕ wrong |
| Jun 16, 2026 | IN | $746.55 | Jun 17, 2026 | −1.2% | ✕ wrong |
| Apr 29, 2026 | OUT | $707.99 | Jun 16, 2026 | +5.4% | ✕ wrong |
| Apr 28, 2026 | IN | $708.10 | Apr 29, 2026 | 0.0% | ✕ wrong |
| Mar 18, 2026 | OUT | $656.30 | Apr 28, 2026 | +7.9% | ✕ wrong |
| Mar 17, 2026 | IN | $665.59 | Mar 18, 2026 | −1.4% | ✕ wrong |
| Jan 28, 2026 | OUT | $690.03 | Mar 17, 2026 | −3.5% | ✓ right |
| Jan 27, 2026 | IN | $690.10 | Jan 28, 2026 | 0.0% | ✕ wrong |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 12 of 349 calls shown.
How the play works
- In at the close of the session before each scheduled FOMC announcement day (the last day of a scheduled meeting).
- Out at the close of the announcement day.
- Out on all other days. Conference calls, unscheduled meetings and notation votes are ignored.
The paper measures 2 p.m. to 2 p.m. Daily closes capture 4 p.m. to 4 p.m. instead, which includes about 2 hours after the statement.
Dates are the 271 scheduled meetings from 1994 to 2027 on federalreserve.gov. Before 1994 the Fed made no same-day announcements, so the rule is out. Dates after 2027 are added as the Fed publishes them.
Kurov, Wolfe and Gilbert (2021) find the drift essentially disappeared after 2015. The rule is kept to show that.
Crypto is held over the same calendar day, which also contains the 2 p.m. statement.
Where the rules come from
The case against
Valeriy Zakamulin tested moving-average timing on up to 155 years of U.S. stock data and found no statistically significant edge in the second half of that record. The rules earned their keep in a few severe bear markets and lagged buy and hold for long stretches in between.