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Stats › Intraday en marktmicrostructuur › 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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Below this point there are 6 sections, 1 chart, 1 table and 3 named sources, roughly 500 words of it. Every figure carries the source it came from and the date the data is from.

Je kunt elke statistiek in de bibliotheek gratis blijven bekijken. De intro en de samenvatting zijn altijd open.