Pre-Fed-Meeting Drift
In plain terms
The 24 hours before each scheduled Fed announcement, the market drifts up ~0.5% — one of the cleanest known anomalies, especially on press-conf meetings.
How it works
Pre-FOMC drift: SPX abnormally returns ~+0.50% in the 24h before each scheduled FOMC announcement (1994-2011 sample, Lucca-Moench 2015 NY Fed SR-512). The 2024 Applied Economics update finds the drift persists post-2011 but concentrates on press-conference meetings (every meeting since 2019). This family extends the basic version by sweeping multiple pre-windows (1d/2d/3d before), a pre+post combo (long ~3d pre, short 1d post the fade), and a press-conference meeting filter.
Live results
20 times picked on its own · 93 times inside a blend (76 beat the stock) · updated 2026-06-06Data dependencies
- Fomc calendar
FOMC decision dates + scheduled-press-conference flags for pre-FOMC drift.
- Daily bars
Daily OHLCV bars used by all price-based generators.
Expected edge
- Reported return
- ~3.9% ann. (Lucca-Moench 2015); persists post-2011
- Tested over
- 1994-2011
~3.9% ann. from this drift alone (Lucca-Moench 2015)
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
Uses Fed-funds, term spread, and credit spread (FRED data) to flag risk-off vs risk-on regimes and scale exposure accordingly.
Three calendar quirks: turn-of-month (last/first days outperform), pre-FOMC drift, and day-of-week (Mon weak, Wed-Thu strong).
Explore Pre-Fed-Meeting Drift on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.