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Stats › Intraday et microstructure de marché › Pre-announcement drift

The S&P 500 pays you before the data, not after it

Non-announcement days: 0.69+0.69Non-announcementdaysGDP: 7.46+7.46GDPISM: 9.14+9.14ISMNon-farm payrolls: 10.10+10.10Non-farmpayrolls

Average S&P 500 E-mini return in basis points from the prior 16:00 close to five minutes before the release, September 1994 to May 2018. t statistics 2.08, 2.10 and 3.63 across 233, 276 and 243 events. Days coinciding with an FOMC announcement are excluded.

Holding E-mini futures from the close before a scheduled release until five minutes before the print earned about 9.5 basis points an event across non-farm payrolls, ISM and GDP. The hour after the release paid nothing at all.

+9.48 bpAverage per event across NFP, ISM and GDP, t = 4.40, 1994 to 2018
3.41%Annualised, across about 36 events a year
+0.69 bpThe same window on non-announcement days
6.98 bpThe ex-FOMC bundle in 2012 to 2018, down from 10.88 in 2001 to 2011

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