FOMC Hawkish Tone Short Duration
In plain terms
The older calendar implementation stays blocked; the replacement uses dated Fed announcements.
How it works
Pre-FOMC announcement drift (Lucca-Moench 2015): large, robust POSITIVE equity excess returns accrue in the ~24h window before each of the 8 scheduled FOMC announcements, with no reversal afterward; Hu-Pan-Wang-Zhu (2022) attribute it to a premium for heightened uncertainty resolved at the announcement. This family expresses the drift on the duration-/rate-sensitive basket (long Treasuries, REITs, high-multiple growth tech), the assets most sensitive to the rate path the announcement resolves; the broad-index expression is family #51 pre_fomc_drift.
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Reported return
- +49 bps avg SPX excess return in the ~24h pre-announcement window per scheduled FOMC (1994-2011); roughly 80% of the annual equity premium accrues in these windows, no post-announcement reversal
- Tested over
- pre-event: ~24h before each scheduled FOMC announcement (implemented as entries on T-3/T-2/T-1, exit at announcement-day close)
+30 to +50 bps per scheduled FOMC event in the pre-announcement window (paper: SPX ~+49 bps avg); basket variant targets the same window on higher-beta duration-sensitive names.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
Explore FOMC Hawkish Tone Short Duration on alphactor.ai
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