SPY daily 2004-01-02..2026-08-27 (23y). Overnight = prev close -> event-day open; net @2bps round trip. All events scheduled in advance (no look-ahead).
M1. Event composite — per leg (overnight into the event day)
| event | n | /yr | mean ON | t | net/event | net/yr (full cap) |
|---|---|---|---|---|---|---|
| FOMC | 197 | 8.7 | +0.213% | +4.34 | +0.193% | +1.68% |
| month_end | 272 | 12.0 | +0.018% | +0.52 | -0.002% | -0.02% |
| quarter_end | 90 | 4.0 | +0.102% | +1.90 | +0.082% | +0.32% |
| opex | 266 | 11.7 | +0.127% | +2.92 | +0.107% | +1.26% |
| pre_holiday | 209 | 9.2 | +0.058% | +1.52 | +0.038% | +0.35% |
Combined union (any event night, held once if overlapping)
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events: 867 (38.3/yr), mean overnight +0.097% (t +4.43), net/event +0.077%, net/yr (full cap) +2.94%
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utilisation: 15.2% of sessions (~38 nights/yr)
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corr(composite daily, SPY close-to-close) = +0.19 (the sleeve is flat ~96% of days)
M2. Book sleeve (add as 4th equal-weight sleeve)
- sleeve standalone: ~+2.94%/yr on its own account at full capital on event nights.
- average capital deployed: 15.19% of the year (38 nights x 1 night).
- book contribution at equal weight (1/4): ~+0.74%/yr on book capital — the account sits idle ~85% of the time.
Verdict: capital-inefficient as a standalone book sleeve; the allocator's equal-weight would fund an account that is almost always flat.
M3. Cash overlay (run on another sleeve's idle cash)
- incremental return on the idle cash: +2.94%/yr (+0.077%/event x 38.3 events).
- added risk: one unhedgeable overnight gap per event, flat before the statement; the sleeve is flat the other ~85% of days, so it does not compete for capital with the host sleeve's positions.
- cost: couples the FOMC order flow into the host account (attribution + reconciliation complexity); needs a host that holds cash on event eves.
Verdict: the capital-efficient combination — near-free return on otherwise-idle cash, no drawdown overlap. Preferred over M2.
Recommendation
- Keep FOMC as its own observe-first sleeve (done) for clean forward attribution.
- Combine at the CAPITAL level as a cash overlay (M3), not as a 4th equal-weight book sleeve (M2) — a 9-nights/yr sleeve is wasted on dedicated equal-weight capital.
- M1 event composite: adopt only the legs that clear cost on their own; do not dilute FOMC with the weaker calendar legs.
Time 0s.