312 FOMC dates from the Fed. Extends reports/fomc_drift_probe.md (SPY overnight +0.213%, t+4.34).
P1. Intraday location (SPY 1-min, 2020-2025)
48 FOMC sessions of 1506.
| window | FOMC mean | non-FOMC mean | FOMC t | placebo p |
|---|---|---|---|---|
| prevC->09:30 | +0.296% | +0.023% | +3.75 | 0.0108 |
| 09:30->14:00 | +0.119% | +0.018% | +1.74 | 0.1748 |
| 14:00->16:00 | -0.104% | +0.009% | -0.69 | 0.9412 |
| prevC->close | +0.313% | +0.050% | +1.51 | 0.0792 |
P2. Day-of-week control (SPY overnight, full history)
| weekday | FOMC mean | non-FOMC same-weekday | diff | FOMC n |
|---|---|---|---|---|
| Mon | +0.652% | +0.021% | +0.632% | 5 |
| Tue | +0.313% | +0.061% | +0.252% | 33 |
| Wed | +0.173% | +0.044% | +0.129% | 143 |
| Thu | +0.126% | +0.011% | +0.115% | 11 |
| Fri | +0.467% | +0.031% | +0.436% | 5 |
FOMC announcements are mostly Wednesday: Wednesday-only FOMC overnight +0.173% vs non-FOMC Wednesdays +0.044%, placebo p 0.0034.
P3. Cross-asset overnight on FOMC days
| asset | FOMC mean | unconditional | t | placebo p | n |
|---|---|---|---|---|---|
| EEM | +0.216% | +0.043% | +2.52 | 0.0228 | 197 |
| EFA | +0.189% | +0.010% | +2.53 | 0.0050 | 197 |
| VGK | +0.283% | +0.014% | +3.20 | 0.0002 | 188 |
| VWO | +0.230% | +0.049% | +2.32 | 0.0136 | 188 |
| VPL | +0.263% | +0.039% | +3.20 | 0.0008 | 188 |
| HYG | +0.148% | +0.032% | +4.65 | 0.0002 | 171 |
| LQD | +0.044% | +0.023% | +1.78 | 0.2130 | 197 |
| MTUM | +0.265% | +0.073% | +4.76 | 0.0038 | 110 |
| VTV | +0.206% | +0.067% | +3.89 | 0.0050 | 196 |
| VUG | +0.271% | +0.065% | +5.20 | 0.0000 | 196 |
| GLD | +0.028% | +0.044% | +0.52 | 0.5960 | 190 |
| TLT | +0.033% | +0.002% | +0.79 | 0.2522 | 197 |
| IEF | +0.023% | +0.007% | +1.10 | 0.2282 | 197 |
| UUP | -0.066% | +0.023% | -2.12 | 0.9974 | 172 |
| BTC | +0.046% | +0.004% | +0.92 | 0.0258 | 79 |
| ETH | +0.007% | +0.007% | +0.12 | 0.4424 | 72 |
P4. Cross-sectional breadth (~500-name panel, overnight)
| metric | FOMC | unconditional | t | placebo p | n |
|---|---|---|---|---|---|
| equal-weight mean | +0.184% | +0.029% | +3.75 | 0.0032 | 176 |
| cross-sec dispersion | +1.028% | +0.903% | +27.17 | - | 176 |
A broad equal-weight lift with normal dispersion = a market-wide (beta) drift, tradeable at the index level; a concentrated or dispersion-spike pattern would not be.
P5. SPY overnight FOMC — year by year
| year | n | mean | t |
|---|---|---|---|
| 2004 | 8 | +0.192% | +2.80 |
| 2005 | 8 | +0.146% | +1.87 |
| 2006 | 8 | +0.040% | +0.54 |
| 2007 | 11 | -0.077% | -0.59 |
| 2008 | 13 | +0.479% | +1.01 |
| 2009 | 10 | +0.592% | +1.95 |
| 2010 | 9 | +0.106% | +0.73 |
| 2011 | 10 | +0.507% | +1.11 |
| 2012 | 8 | +0.353% | +2.56 |
| 2013 | 9 | +0.146% | +1.53 |
| 2014 | 9 | +0.092% | +0.58 |
| 2015 | 8 | +0.116% | +0.78 |
| 2016 | 8 | -0.070% | -0.80 |
| 2017 | 8 | +0.129% | +2.89 |
| 2018 | 8 | +0.024% | +0.36 |
| 2019 | 9 | +0.141% | +1.85 |
| 2020 | 9 | +0.726% | +3.22 |
| 2021 | 8 | -0.073% | -0.48 |
| 2022 | 8 | +0.572% | +2.88 |
| 2023 | 6 | +0.054% | +0.78 |
| 2024 | 8 | +0.250% | +1.24 |
| 2025 | 9 | +0.134% | +2.35 |
| 2026 | 5 | -0.045% | +nan |
Time 12s.