Calendar Effects & the Pre-FOMC Drift
Some of the market's return has historically clustered in oddly specific windows — most famously the hours before a Fed meeting. A grounded tour of which calendar effects were real, and why the famous ones fade.
Markets are supposed to be unpredictable, yet researchers keep finding pockets of the calendar where returns clustered far more than chance allows — the turn of the month, the days before holidays, certain windows around the Fed. The most striking of all is the pre-FOMC drift. Understanding these effects is valuable not because they hand you free money (mostly they don't anymore) but because they teach the single most important lesson about any pattern you'll ever find: the obvious ones get arbitraged away, and a backtest is not a promise.
The pre-FOMC drift
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