Fomc Meeting Effect Primary

The three-gate gauntlet · genuine only if it clears all three and survives adversarial refutation

Gate 1

Survivorship-free

n/a

not a factor universe

Gate 2

Placebo ≥ P95

not run

Gate 3

Cost-aware net

RF n/a

Failedfailed refutation

Did not clear our screen — no tradeable net edge survived modelled costs.

This is a macro-calendar effect: the paper documents a tendency for the equity index to drift upward in the hours before scheduled FOMC announcements. We ported the primary pre-FOMC window and tested it as a rule on the index.

What we found

In our sample the pre-FOMC drift on SPY does not survive the initial screen. The direction documented in the paper is present as a raw tendency, but once realistic trading costs are applied to the ported rule, the effect no longer clears our screen gate. Because it failed at the screen stage, it did not proceed to the robustness tests (placebo, risk-adjusted RF, worst-year RF), so those figures are not available. The honest reading: as ported, this calendar effect is not a net-positive, cost-aware building block.

How we tested it

2005–2026 test windowmodelled liquidity-aware costssurvivorship na

Tested on the index (e.g. SPY), daily. Realistic modelled costs.
Placebo / robustness test: real result vs random baskets or shuffled signals (real vs the 95th percentile of random)

Source: Lucca & Moench (2015), "The Pre-FOMC Announcement Drift", J. Finance
Read the paper ↗

← The Academic Audit — all 54 studies

Research, not investment advice. “Validated” factor-legs are market-neutral diversifying building blocks with a losing worst year — none is a standalone tradeable strategy. Metrics are cost-aware and modelled (not live fills); the 2005–2026 test window is out-of-sample versus the source paper. Dollar figures are not returns and are omitted by design.