Fomc Meeting Effect Variant

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 calendar effect: hold the equity index only around scheduled Federal Reserve (FOMC) announcements, following the documented pre-FOMC drift. This version tests an alternative pre-announcement holding window rather than the original one.

What we found

The alternative pre-FOMC window also fails the screen gate. After realistic modelled costs there is no robust tradeable FOMC-window edge left in this variant. It did not advance to the deeper robustness stage, so no risk-adjusted, placebo, or worst-year figures were established for it. In short, the timing tweak does not turn the calendar pattern into something that survives costs.

How we tested it

2005–2026 test windowmodelled liquidity-aware costssurvivorship na

Data: 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), pre-FOMC drift (variant window)
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.